个人住房抵押贷款违约风险因素的实证研究
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摘要
自1998年我国进行住房体制改革以来,我国的个人住房抵押贷款为房地产消费和经济发展提供了巨大的金融支持。随着个人住房抵押贷款业务的迅猛发展,贷款的违约风险日益增加。不良贷款比率明显高于美国,香港等发达国家或地区的水平。因此,有关住房抵押贷款的违约风险的研究越来越成为学界和银行界的一个重要课题。
本文借鉴西方发达国家的研究成果,应用理论分析和实证分析,定性分析和定量分析相结合的方法,总结了个人住房抵押贷款违约风险的理论基础和我国个人住房抵押贷款违约风险管理的现状。系统地研究我国住房抵押贷款违约的主要风险因素,归纳了违约风险的载体——借款人在抵押贷款业务中违约行为发生的一般规律。然后,对银行发放的个人住房抵押贷款的数据进行统计分析,并运用Logistic回归模型对采集的数据进行实证分析,系统地分析影响个人住房抵押贷款违约的主要因素,并得到了违约的主要风险变量。
研究得出以下结论:(1)Logistic模型分析显示,在我们所选取的10个变量中,借款者的年龄,教育状况,婚姻状况对贷款的违约影响相当显著。贷款期限和贷款价值比这两个贷款合同要素也明显地影响该贷款是否违约。因此,银行在发放贷款的时候应尽量选择低风险的借款者。(2)银行可以通过测算贷款违约风险的大小来提高或降低贷款利率,在满足各个层次的购房消费者的需求的同时,区别对待潜在的高,中,低风险的借款者。最大限度地规避借款者的违约风险,更好的促进房地产金融的发展。
Since the housing reforms in 1998,the residential mortgage market has become a financial engine for the booming residential housing consumption development and great economic growth in china. With the rapid increase of residential mortgages in our country,we witness a high growth in the termination risks in it. Ill loan ratio in our country is obviously higher than that in the developed countries or regions such as United States and Hong Kong. So both academic and bank field pay more and more attention to the termination risks of residential mortgages.
In this paper, some ideas were borrowed from the research results of western developed countries,meanwhile,theoretical analysis and empirical studies were made with the combination of the methods of qualitative and quantitative analysis. First, after combing the theories of default risks of residential mortgage, this paper made a systematic analysis for the main factors of the termination behaviour of our country's residential mortgage and conclude the general law of the relative borrowers by analyzing the live residential mortgage data of Chinese commercial banks.Secondly,the traditional Logistic regression model is employed to investigate factors influencing termination risks of residential mortgage. Empirical analysis are made and main risk factors are found.
This paper manifests: One, the results of Logistic regression model indicates that borrower's age,education and marital status are crucial elements to mortgage termination and some elements of mortgage contract as loan term and loan-to-value ratio are also significant to mortgage termination,hence the model may be used as an effective tool for screening potential high risk borrowers in the loan origination processing.Two,adopting a risk-based pricing in residential mortgage in banks for different borrowers can enhance the availability to the most needed households to promote the development of real estate finance in China.
本文借鉴西方发达国家的研究成果,应用理论分析和实证分析,定性分析和定量分析相结合的方法,总结了个人住房抵押贷款违约风险的理论基础和我国个人住房抵押贷款违约风险管理的现状。系统地研究我国住房抵押贷款违约的主要风险因素,归纳了违约风险的载体——借款人在抵押贷款业务中违约行为发生的一般规律。然后,对银行发放的个人住房抵押贷款的数据进行统计分析,并运用Logistic回归模型对采集的数据进行实证分析,系统地分析影响个人住房抵押贷款违约的主要因素,并得到了违约的主要风险变量。
研究得出以下结论:(1)Logistic模型分析显示,在我们所选取的10个变量中,借款者的年龄,教育状况,婚姻状况对贷款的违约影响相当显著。贷款期限和贷款价值比这两个贷款合同要素也明显地影响该贷款是否违约。因此,银行在发放贷款的时候应尽量选择低风险的借款者。(2)银行可以通过测算贷款违约风险的大小来提高或降低贷款利率,在满足各个层次的购房消费者的需求的同时,区别对待潜在的高,中,低风险的借款者。最大限度地规避借款者的违约风险,更好的促进房地产金融的发展。
Since the housing reforms in 1998,the residential mortgage market has become a financial engine for the booming residential housing consumption development and great economic growth in china. With the rapid increase of residential mortgages in our country,we witness a high growth in the termination risks in it. Ill loan ratio in our country is obviously higher than that in the developed countries or regions such as United States and Hong Kong. So both academic and bank field pay more and more attention to the termination risks of residential mortgages.
In this paper, some ideas were borrowed from the research results of western developed countries,meanwhile,theoretical analysis and empirical studies were made with the combination of the methods of qualitative and quantitative analysis. First, after combing the theories of default risks of residential mortgage, this paper made a systematic analysis for the main factors of the termination behaviour of our country's residential mortgage and conclude the general law of the relative borrowers by analyzing the live residential mortgage data of Chinese commercial banks.Secondly,the traditional Logistic regression model is employed to investigate factors influencing termination risks of residential mortgage. Empirical analysis are made and main risk factors are found.
This paper manifests: One, the results of Logistic regression model indicates that borrower's age,education and marital status are crucial elements to mortgage termination and some elements of mortgage contract as loan term and loan-to-value ratio are also significant to mortgage termination,hence the model may be used as an effective tool for screening potential high risk borrowers in the loan origination processing.Two,adopting a risk-based pricing in residential mortgage in banks for different borrowers can enhance the availability to the most needed households to promote the development of real estate finance in China.
引文
[1]Deng yongheng等,2005
[2]约翰·B·考埃特等,2001
[3]中国房地产金融报告,2007
[4]系作者整理
[5]刘征,个人信用评估模型研究[D],西南财经大学,2006
[1]http://www.pbc.gov.cn/2007.9
[2]中国人民银行房地产金融分析小组:2004中国房地产金融报告[R],中国金融出版社,2005,4-18
[3]中国城乡金融报[N],2008,12(11):A3
[4]Jim Wong,Laurence Fung,Tom Fong and Angela Sze of the Research Department,Residential mortgage default risk and the loan-to-value ratio[R],HongKong Monetary Authority Quarterly Bulletin,Dec 2004,35-40
[5]张萌,再议个人住房抵押贷款风险防范[J],统计论坛,2005,No.7,32-33
[6]毛永娟 赵勇,住房抵押贷款的风险及其控制[J],杭州金融管理干部学院院报,2000,No.4,21-23
[7]次贷风波研究课题组,次贷风波启示录[M],北京,中国金融出版社,2008,第一版,20-48
[8]彭涛,住房抵押贷款的违约风险及应对措施[J],中国房地产金融,1999,No.5,24-25
[9]陈钊,住房抵押贷款理论与实践[M],上海,复旦大学出版社,2000,第一版,44-68
[10]汪利娜,美国住宅金融体制研究[M],北京,中国金融出版社,1999年第一版,
[11]符国伟,个人住房抵押贷款信用风险模型的实证研究[D],湖南大学,2005,3-23
[12]尚耀华,万威武,个人住房抵押贷款的风险与控制[J],统计与决策,2006,No.1(下),109-110
[13]虞晓芬,住房抵押贷款理性违约的决策分析[J],数量经济技术经济研究,2000,No.9,29-30
[14]张红,殷红,房地产金融学[M],北京,清华大学出版社,2007年,第一版,369-364
[15]Tsoyu Calvin Lin,A study on the termination behaviors of residential mortgage in Taiwan[J],农业经济半月刊,No.76,Dec,2004,169-195
[16]Yongheng Deng,Della Zhang,ChangFeng Ling,An early assessment of residential mortgage performance in China,The journal of Real Estate Finance and Economics[J],31:2,117-136,2005
[17]刘疆,游江,个人住房抵押贷款提前还款行为分析[J],西南金融,2006,No.10,43-44
[18]王福林,田传浩,阙伟亚,国外个人住房抵押贷款风险研究新进展及对我国的 启示[J],中国房地产金融,2003,No.,8,42-46
[19]王春峰,万海晖,张维,商业银行信用风险评估及其实证研究[J],管理科学学报,1998,Vol 1,No.1,68-72
[20]王福林 贾生华,国外个人住房抵押贷款违约风险理论评述及其启示[J],海南金融,2004,No.7,41-44
[21]王重润,住房抵押贷款的违约风险分析[J],生产力研究,2002,No.5,27-29
[22]Campbell,T.&Dietrich,J.,The determinants of default on conventional residential mortgages[J],Journal of Finance,Vol.38.No.5,1569-1581,1983
[23]Foster,C & Van Order,R.,An option based model of mortgage default,Housing Finance Review[J],Vol 3,No.4,350-367,1984
[24]Jason Dietrich,Under-specified models and detection of Discrimination:A case study of mortgage lending[J],The Journal of Real Estate Finance and Economics,31:1,83-105,2005
[25]Deng yongheng,Quigley John M.Van Order Robert,Mac Freddie.Mortgage default and down payment loans:The cost of public subsidy[J],Regional Science and Urban Economics,Amsterdam,Vol 26,issue 3-4,1996,263-285
[26]Waller,Neil G.,Residential mortgage default:A clarifying analysis[J],Housing financial review,Vol,7,315-333,1988
[27]Terrence M.Clauretie and Mel Jameson,Residential loan Renegotiation:Theory and Evidence[J],The Journal of Real Estate Research,1995(10):153-161
[28]Smith,L.,S.Sanchez,and E.Lawrence,A comprehensive model for managing credit risk on home mortgage portfolios[J],Decision Sciences,1996,27(2) 291-317
[29]中国人民银行金融市场房地产金融分析小组,中国房地产金融报告[R],中国金融出版社,2007,No.3,40-64
[30]陈洪波,美国房地产金融政策及对中国的启示[J],中国房地产金融,2006,No.2,22-26
[31]李纬,国际个人住房抵押贷款风险防范的启示[J],东岳丛论,2006,Vol 27,No.2,78-80
[32]刘征,个人信用评估模型研究[D],西南财经大学,2006,20-47
[33]黄建欢,住房抵押贷款中个人资信评估的指标体系与评估模型研究[J],南方房地产,2000,No.7,40-41
[34]张翔,金融风险预警系统研究[J],中国科技信息,2005,No.11
[35]朱雨可 李蕴,美国房地产金融机制的启示[J],中国房地产金融,2003,No.2,44-47
[36]谌争勇,美国次贷危机对中国房地产金融的借鉴与启示[J],河南金融管理干部 学院院报,2008,No.2,97-100
[37]孙家瑜,房地产发展中的金融风险分析及防范[J],北方经济,2008,No.7,67-68
[38]王济川,郭志刚,Logistic回归模型-方法与应用[M],北京,高等教育出版社,2001,第一版,
[39]于俊年,计量经济学软件—Eviews的使用[M],北京,对外经济贸易大学出版社,2006,第一版,
[40]王福林,个人住房抵押贷款违约风险影响因素实证研究[D],浙江大学,2004,4-40
[41]R.卡特·希尔,威廉.E.格里菲思,乔治·G·贾奇,初级计量经济学[M],大连,东北财经大学出版社,2007,171-183
[2]约翰·B·考埃特等,2001
[3]中国房地产金融报告,2007
[4]系作者整理
[5]刘征,个人信用评估模型研究[D],西南财经大学,2006
[1]http://www.pbc.gov.cn/2007.9
[2]中国人民银行房地产金融分析小组:2004中国房地产金融报告[R],中国金融出版社,2005,4-18
[3]中国城乡金融报[N],2008,12(11):A3
[4]Jim Wong,Laurence Fung,Tom Fong and Angela Sze of the Research Department,Residential mortgage default risk and the loan-to-value ratio[R],HongKong Monetary Authority Quarterly Bulletin,Dec 2004,35-40
[5]张萌,再议个人住房抵押贷款风险防范[J],统计论坛,2005,No.7,32-33
[6]毛永娟 赵勇,住房抵押贷款的风险及其控制[J],杭州金融管理干部学院院报,2000,No.4,21-23
[7]次贷风波研究课题组,次贷风波启示录[M],北京,中国金融出版社,2008,第一版,20-48
[8]彭涛,住房抵押贷款的违约风险及应对措施[J],中国房地产金融,1999,No.5,24-25
[9]陈钊,住房抵押贷款理论与实践[M],上海,复旦大学出版社,2000,第一版,44-68
[10]汪利娜,美国住宅金融体制研究[M],北京,中国金融出版社,1999年第一版,
[11]符国伟,个人住房抵押贷款信用风险模型的实证研究[D],湖南大学,2005,3-23
[12]尚耀华,万威武,个人住房抵押贷款的风险与控制[J],统计与决策,2006,No.1(下),109-110
[13]虞晓芬,住房抵押贷款理性违约的决策分析[J],数量经济技术经济研究,2000,No.9,29-30
[14]张红,殷红,房地产金融学[M],北京,清华大学出版社,2007年,第一版,369-364
[15]Tsoyu Calvin Lin,A study on the termination behaviors of residential mortgage in Taiwan[J],农业经济半月刊,No.76,Dec,2004,169-195
[16]Yongheng Deng,Della Zhang,ChangFeng Ling,An early assessment of residential mortgage performance in China,The journal of Real Estate Finance and Economics[J],31:2,117-136,2005
[17]刘疆,游江,个人住房抵押贷款提前还款行为分析[J],西南金融,2006,No.10,43-44
[18]王福林,田传浩,阙伟亚,国外个人住房抵押贷款风险研究新进展及对我国的 启示[J],中国房地产金融,2003,No.,8,42-46
[19]王春峰,万海晖,张维,商业银行信用风险评估及其实证研究[J],管理科学学报,1998,Vol 1,No.1,68-72
[20]王福林 贾生华,国外个人住房抵押贷款违约风险理论评述及其启示[J],海南金融,2004,No.7,41-44
[21]王重润,住房抵押贷款的违约风险分析[J],生产力研究,2002,No.5,27-29
[22]Campbell,T.&Dietrich,J.,The determinants of default on conventional residential mortgages[J],Journal of Finance,Vol.38.No.5,1569-1581,1983
[23]Foster,C & Van Order,R.,An option based model of mortgage default,Housing Finance Review[J],Vol 3,No.4,350-367,1984
[24]Jason Dietrich,Under-specified models and detection of Discrimination:A case study of mortgage lending[J],The Journal of Real Estate Finance and Economics,31:1,83-105,2005
[25]Deng yongheng,Quigley John M.Van Order Robert,Mac Freddie.Mortgage default and down payment loans:The cost of public subsidy[J],Regional Science and Urban Economics,Amsterdam,Vol 26,issue 3-4,1996,263-285
[26]Waller,Neil G.,Residential mortgage default:A clarifying analysis[J],Housing financial review,Vol,7,315-333,1988
[27]Terrence M.Clauretie and Mel Jameson,Residential loan Renegotiation:Theory and Evidence[J],The Journal of Real Estate Research,1995(10):153-161
[28]Smith,L.,S.Sanchez,and E.Lawrence,A comprehensive model for managing credit risk on home mortgage portfolios[J],Decision Sciences,1996,27(2) 291-317
[29]中国人民银行金融市场房地产金融分析小组,中国房地产金融报告[R],中国金融出版社,2007,No.3,40-64
[30]陈洪波,美国房地产金融政策及对中国的启示[J],中国房地产金融,2006,No.2,22-26
[31]李纬,国际个人住房抵押贷款风险防范的启示[J],东岳丛论,2006,Vol 27,No.2,78-80
[32]刘征,个人信用评估模型研究[D],西南财经大学,2006,20-47
[33]黄建欢,住房抵押贷款中个人资信评估的指标体系与评估模型研究[J],南方房地产,2000,No.7,40-41
[34]张翔,金融风险预警系统研究[J],中国科技信息,2005,No.11
[35]朱雨可 李蕴,美国房地产金融机制的启示[J],中国房地产金融,2003,No.2,44-47
[36]谌争勇,美国次贷危机对中国房地产金融的借鉴与启示[J],河南金融管理干部 学院院报,2008,No.2,97-100
[37]孙家瑜,房地产发展中的金融风险分析及防范[J],北方经济,2008,No.7,67-68
[38]王济川,郭志刚,Logistic回归模型-方法与应用[M],北京,高等教育出版社,2001,第一版,
[39]于俊年,计量经济学软件—Eviews的使用[M],北京,对外经济贸易大学出版社,2006,第一版,
[40]王福林,个人住房抵押贷款违约风险影响因素实证研究[D],浙江大学,2004,4-40
[41]R.卡特·希尔,威廉.E.格里菲思,乔治·G·贾奇,初级计量经济学[M],大连,东北财经大学出版社,2007,171-183