주택담보대출 연체율 결정 요인에 관한 연구

Abstract

This paper examines the determinants of housing mortgage delinquency rate. Based on household utility maximization framework, we derived two competing hypotheses on mortgage delinquency: equity hypothesis and ability-to-pay hypothesis. Using monthly time series data on unemployment rate, consumer price index, mortgage interest rate, and house price index, a VAR was performed to identify interrelationships among the variables, and impulse response and variance decomposition were analyzed to find out the impacts of the relevant variables. It was found that changes in unemployment rate and consumer price index were the main determinants of the housing mortgage delinquency rate, which supports the ability-to-pay hypothesis. A change in house price index explained little of the change in mortgage delinquency rate. Impulse response analyses showed that unemployment rate and consumer price index positively affected the movement of the delinquency rate and the house price index had a negative influence on the delinquency rate. Variance decomposition analyses revealed that the relative effect of the consumer price index on the delinquency rate was the largest, followed by the unemployment rate. Mortgage interest rate was not effective to explain the movement of the delinquency rate.