A study on mortgage loan borrowing behavior of Korean households : A micro perspective
0
조회
0
다운로드
2
인용
0
참고문헌
키워드
초록
This study examines the borrowing behavior of Korean households and the causes of loan defaults using hand-collected granular data. It tries to establish a set of models that determine the original amount and delinquency of loans, using financial and non-financial factors extracted from individual accounts and regulatory factors such as macroprudential tools as independent variables. Our empirical findings suggest several meaningful implications. First, the application of LTV and DTI regulations at the time of borrowing turns out to be very effective in reducing the amount of loans and household’s leverage (loan-to-income ratio or loan-to-collateral) and also in mitigating loan defaults. Secondly, it is found that changes in housing prices are closely related to the size and delinquency of loans. A rise in house prices drives up loans due to the household’s affirmative attitude. Conversely, the downturn of house prices has a negative effect on the soundness of existing loans, heightening the motive for strategically defaulting, notably when the auction price of a collateral house is below its loan balance. Lastly, our vintage and age cohort analyses show that there are relatively higher default risks in loans extended during the period of steeply rising housing prices and in those of seniors whose loan-to-income ratios are much higher and therefore have weakened debt servicing capabilities.
Abstract
This study examines the borrowing behavior of Korean households and the causes of loan defaults using hand-collected granular data. It tries to establish a set of models that determine the original amount and delinquency of loans, using financial and non-financial factors extracted from individual accounts and regulatory factors such as macroprudential tools as independent variables. Our empirical findings suggest several meaningful implications. First, the application of LTV and DTI regulations at the time of borrowing turns out to be very effective in reducing the amount of loans and household’s leverage (loan-to-income ratio or loan-to-collateral) and also in mitigating loan defaults. Secondly, it is found that changes in housing prices are closely related to the size and delinquency of loans. A rise in house prices drives up loans due to the household’s affirmative attitude. Conversely, the downturn of house prices has a negative effect on the soundness of existing loans, heightening the motive for strategically defaulting, notably when the auction price of a collateral house is below its loan balance. Lastly, our vintage and age cohort analyses show that there are relatively higher default risks in loans extended during the period of steeply rising housing prices and in those of seniors whose loan-to-income ratios are much higher and therefore have weakened debt servicing capabilities.
참고문헌 (27)
- Alm, J. R., "Consumer demand for adjustable rate mortgages", Housing Finance Review, 6, pp.1~16 (1987)
- Central bank governance and financial stability, "Bank for International Settlements.", CGFS study group, 1~83 (2011)
- Differences across originators in CMBS loan underwriting, "Black, L. K.", Federal Reserve Board of Governors, ~, pp.working paper, 5 (2011)
- Brueckner, J. K., "The pricing of interest rate caps and consumer choice in the market for adjustable rate mortgages", Housing Finance Review, 16, pp.119~136 (1986)
- Claessens, S., "Cross-country experiences and policy implications from the global financial crisis", Economic Policy, 25, pp.267~293 (2010)
- Financial cycles: what? how? when?, "Claessens, S. M.", IMF, ~ (2011)
- How do business and financial cycles interact?, "Claessens, S. M.", IMF, ~ (2011)
- Cox, D., "The effect of borrowing constraints on consumer liabilities", Journal of Money, Credit and Banking, 25(2), pp.197~213 (1993)
- The demand and supply for household debt: A cross country comparison, "Crook, J.", University of Edinburgh, ~ (2003)
- US and European household debt and credit constraints, "Crook, J.", Tinbergen institute, ~, pp.TI 2007-087 (2007), 3
- How to deal with real estate booms:Lessons from country experiences, "Crowe, C.", IMF, ~ (2011)
- Macroeconomic implications of rising household debt, "Debelle, G.", BIS, ~, pp.working paper 153 (2004)
- Duca, J., "Borrowing constraints, household debt and racial discrimination in loan markets", Journal of Financial Intermediation, 3(1), pp.77~103 (1993)
- The rise in U.S. household indebtedness: Causes and consequences, "Dynan, K. E.", Reserve bank of Australia conference, ~, pp.working paper 37 (2007)
- Commercial real estate loan performance at failed U.S. banks, "Felton, A.", BIS, 19~24, pp.working papers 64 (2011)
- A new approach to assessing risks to financial stability, "Haldane, A.", Bank of England, 3~44, pp.Financial stability paper 2 (2007)
- Do loan-to-value and debt-to-income limits work?: Evidence from Korea, "Igan, D.", IMF, ~ (2011)
- Igan, D., "Exposure to real estate in bank portfolios", Journal of Real Estate Research, 32(1), pp.47~74 (2010)
- Macroprudential policy: An organizing framework, "International Monetary Fund", IMF, ~ (2011)
- Jappelli, T., "Who is credit constrained in the U.S. economy?", Quarterly Journal of Economics, 105(1), pp.219~234 (1990)
- 전혜린, "주택담보대출의 위험도 영향요인에 대한 연구: DTI, LTV 수준을 중심으로", 사회과학연구, 40(3), pp.259~284 (2014), 사회과학연구원[DOI]
- 김우영, "가계부채의 결정요인 분석", 국제경제연구, 16(1), pp.39~78 (2010), 한국국제경제학회[DOI]
- Laeven, L., "Loan loss provisioning and economic slowdowns: Too much, too late?", Journal of Financial Intermediation, 12(2), pp.178~197 (2003)
- Economic and demographic factors associated with consumer debt use, "Sullivan, A. C.", Purdue University, ~, pp.working paper 52 (1986)
- Financial Stability Report, "The Bank of Korea", ~ (2010)
- Wilson, T., "Portfolio credit risk", Risk Magazine, 10, pp.9~10 (1997)
- Residential mortgage default risk in Hong Kong. Hong Kong monetary authority working paper, "Wong, J.", ~ (2004)