MBS 채무불이행의 영향요인 분석: VAR 모형을 중심으로

• 영문명: Study of Factors Impacting on Default in MBS with VAR Model
• 발행기관: 한국부동산정책학회
• 저자명: 조명환(Cho, Myeonghwan) 원재웅(Won, Jaewoong) 전재범(Jun, Jaebum)
• 간행물 정보: 『부동산정책연구』제23집 제3호, 63~81쪽, 전체 19쪽
• 주제분류: 사회과학 > 정책학
• 파일형태: PDF
• 발행일자: 2022.11.30

영문 초록

The purpose of this paper is to identify and study impact factors on the default risk likely to happen in MBS. So, MBS data given from the Korea Housing Finance Corporation and some factors, which are selected based on literature review, seeming relevant to default in MBS are applied to a VAR model. As a result, apartment price and new loan interest rate turn out to be statistically significant for default risk.

목차

Ⅰ. 서론

Ⅱ. 이론 및 선행연구

Ⅲ. 실증분석

Ⅳ. 결론

키워드

MBS(Mortgage-Backed Security) Mortgage Loan Default Risk VAR Model