국내 MBS 조기상환위험의 영향변수에 관한 연구:VEC 모형을 중심으로

초록

This study investigates the relation between the prepayment rate and the influencing variables of the mortgage backed securities(MBS) issued by the Korea Housing-Finance Corporation. Mortgage interest rate, apartment auction contract price rate, construction industry BSI and the unemployment rate were derived as the proxies for the influencing variables. As a result of the various tests using the Vector Error Correction(VEC) Model, mortgage interest rate was found to have a negative impact on the prepayment rate compared to positive impacts of the other proxies, It was also identified that mortgage interest rate influences shortly on the prepayment rate while the unemployment rate influences in a long term basis. Based on the above results, Korean MBS loan market seems similar to the Chinese market rather than US market in terms of the influence of the macroeconomic variables. It is also shown that speculative factors exist in Korean housing market with their impact on the prepayment rate smaller than that of mortgage interest rate or the unemployment rate.

키워드