我国住房抵押贷款证券化中提前偿付风险的研究

发布时间：2018-01-05 15:31

本文关键词：我国住房抵押贷款证券化中提前偿付风险的研究　出处：《江南大学》2013年硕士论文　论文类型：学位论文

【摘要】：2007年席卷美国、欧盟和日本等世界主要金融市场的美国“次贷危机”让人们开始重新关注住房抵押贷款证券化这一金融创新工具。它的出现增加了资本的流动性，，也为投资者拓宽了投资渠道；但在带来利益的同时，它也为风险的传播和扩大提供了契机。虽然我国的住房抵押贷款市场发展的历程较短，住房抵押贷款证券化也是刚刚开始试点运行，但在此背景之下，对其进行深入的研究，以防止危机的再次发生，也显得尤为重要。本文首先系统的介绍了住房抵押贷款证券化的相关知识，包括住房抵押贷款证券化的概念、基本内涵、特点以及运作机制等，然后分别阐述了我国推行住房抵押贷款证券化的意义以及在推行的过程中可能会面临的风险，包括提前偿付风险、信用风险、定价风险、利率风险等。其次，提出我国在推行住房抵押贷款证券化的过程中所面临的主要风险是提前偿付风险，并分别阐述了提前偿付行为对于证券发起人、发行人、中介机构以及投资者的影响。然后，根据我国的实际情况，从定性的角度分析了影响我国提前偿付行为的宏观因素，其中主要包括抵押贷款利率、住房价格、居民收入水平、月度效应和社会心理特征等。最后，详细介绍了提前偿付行为的衡量指标，以及国外比较常用的几种提前偿付计量模型。通过分析发现上述模型均不适用于我国宏观因素对于提前偿付行为影响的研究。在借鉴国内外相关研究的基础上，并结合我国的具体国情，提出用多元线性回归模型来研究宏观经济变量对于提前偿付行为的影响，并通过实证研究指出，抵押贷款利率、住房价格、居民收入水平均会对提前偿付行为产生显著的影响，且抵押贷款利率是影响提前偿付行为最主要的因素。此外，由于受我国传统节日春节的影响，提前偿付行为在2月份至3月份会处于相对较低的水平，而在4月份提前偿付行为会大幅增加。最终，通过具体分析认为可以采用该多元线性回归模型作为我国住房抵押贷款中的提前偿付风险的计量模型。
[Abstract]:2007 swept the United States. The "subprime mortgage crisis" of the United States, such as the European Union and Japan, has made people pay more attention to the mortgage securitization as a financial innovation tool. Its appearance has increased the liquidity of capital. It also broadens the investment channels for investors; But at the same time, it also provides an opportunity for the spread and expansion of risk. Although the development of the housing mortgage market in China is relatively short, the housing mortgage securitization is just beginning to pilot operation. But under this background, it is very important to study it deeply in order to prevent the crisis from happening again. First of all, this paper systematically introduces the relevant knowledge of mortgage securitization, including the concept, basic connotation, characteristics and operational mechanism of mortgage securitization. Then the significance of the implementation of mortgage securitization in China and the possible risks in the process of implementation, including early repayment risk, credit risk, pricing risk, interest rate risk and so on. Secondly, the paper points out that the main risk in the process of implementing mortgage securitization in China is the risk of early repayment, and expounds the behavior of advance payment for the sponsors and issuers of securities respectively. Then, according to the actual situation of our country, from the qualitative point of view, we analyze the macro factors that affect the behavior of prepayment in China, including mortgage interest rate, housing price. Income level, monthly effects and psychosocial characteristics. Finally, the paper introduces the measurement index of prepayment behavior in detail. Through analysis, it is found that the above models are not suitable for the study of the influence of macro factors on the behavior of prepayment in China. On the basis of reference from the relevant research at home and abroad. Combined with the specific situation of our country, this paper proposes to use the multiple linear regression model to study the impact of macroeconomic variables on prepayment behavior, and through empirical research, it points out that mortgage interest rates, housing prices. The income level of residents will have a significant impact on the prepayment behavior, and the mortgage interest rate is the most important factor affecting the prepayment behavior. In addition, due to the influence of the Spring Festival, the traditional festival in China. Prepayment behavior will be relatively low between February and March, and will increase significantly on April. It is concluded that the multivariate linear regression model can be used as the measurement model of the prepayment risk in the housing mortgage loan in China.
【学位授予单位】：江南大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.45;F832.51

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