투자자심리지수를 활용한 MBS 조기상환위험의 영향변수에 관한 연구

초록

This study is based on the MBS prepayment rate data from August 2004 to February 2016 provided by Korea Housing Finance Corporation. We investigate the relation between the investor sentiment in real estate market and MBS prepayment rate. The real estate investment sentiment index was derived from the methodology used by Baker and Wugler. Since the real estate investor sentiment index may be influenced by the macroeconomic situation, we derive the index by orthogonalizing to the macro economic variables. Mortgage interest rate, unemployment rate, and apartment price index are selected as the control variables and analyzed through the vector autoregressive model. Main results of the study are as follows. First, mortgage interest rate has negative effect on MBS prepayment rate. Second, apartment price trading index has a positive effect on the rate. Third, although not meaningful, the unemployment rate has a positive effect on the rate. Fourth, real estate investor sentiment turns out to show negative effect on MBS prepayment rate. This study quantifies the real estate investor sentiment and explains the MBS prepayment rate based on the sentiment. It will provide some useful implications on the potentials of the behavioral financial models in the real estate market.

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