VAR 모형을 이용한 MBS의 조기상환에 영향을 미치는 요인

• 영문명: Impact Factors on Prepayment Risk in MBS Using Vector Auto-Regressive Model
• 발행기관: 한국부동산정책학회
• 저자명: 조명환(Cho, Myeonghwan) 전재범(Jun, Jaebum)
• 간행물 정보: 『부동산정책연구』제22집 제2호, 45~61쪽, 전체 17쪽
• 주제분류: 사회과학 > 정책학
• 파일형태: PDF
• 발행일자: 2021.09.30

영문 초록

This research aims to identify and analyze factors impacting on the prepayment risk involved in MBS(Mortgage-Backed Security). To do so, Some independent variables likely to affect prepayment in MBS and 143-month time series MBS(issued by the Korea Housing Finance Corporation) data from January 2006 to November 2017 are selected and applied to a VAR(Vector Auto-Regression) model using Eviews program. Finally, the results drawn from this study is that new loan interest rate, apartment price, and unemployment rate have significant statistical impact on prepayment risk.

목차

Ⅰ. 서론

Ⅱ. 선행연구 및 이론적 고찰

Ⅲ. 분석모형 및 변수설정

Ⅳ. 실증분석

Ⅴ. 결론

참고문헌

키워드

VAR(Vector Auto-Regressive) Model MBS Prepayment Risk New Loan Interest Rate Apartment Price Unemployment Rate