住房抵押贷款证券化信用风险宏观影响因素分析——国际经济波动下基于建元2005-1资产池的研究

发布时间：2018-07-25 13:02

【摘要】：本文检验了宏观因素对我国住房抵押贷款证券化信用风险的影响。目前住房抵押贷款风险研究大多集中在微观领域,本次席卷全球金融市场的次贷危机凸显出各国宏观经济因素的国际传导作用,这一传导轨迹启发我们将抵押贷款证券化信用风险的研究从微观回归到了宏观视角。作者选择住房抵押贷款违约率、5年以上住房贷款基准利率、国房景气指数以及工业增加值增长速度四个变量,针对建元2005-1住房抵押贷款证券建模,从宏观角度检验了我国住房抵押贷款证券市场的信用风险问题。结果表明,利率与违约率正相关,国房景气指数及工业增加值增长速度与违约率负相关。另外,利率对违约率的影响较另外两个因素要大。其政策含义在于,监管部门应加强宏观经济运行分析,高度关注宏观经济调控对资产证券化市场的冲击;维护房地产市场有序发展,警惕房地产过热的负面影响;强化信息披露;提前制定资产价格风险释放的应急方案。
[Abstract]:This paper examines the impact of macro factors on the credit risk of mortgage securitization in China. At present, most of the research on the risk of housing mortgage is focused on the micro field. The subprime mortgage crisis sweeping the global financial market highlights the international transmission role of macroeconomic factors in various countries. This transmission trajectory inspires us to return the research of credit risk of mortgage securitization from microcosmic to macro perspective. The author chooses four variables, the default rate of housing mortgage loan, the benchmark interest rate of housing loan over 5 years, the national housing boom index and the growth rate of industrial added value, and models the housing mortgage securities of Jianyuan 2005-1. This paper examines the credit risk of the housing mortgage securities market in China from a macro point of view. The results show that interest rate is positively correlated with default rate, and the growth rate of national housing boom index and industrial added value is negatively correlated with default rate. In addition, interest rates have a greater impact on default rates than the other two factors. The policy implication is that the regulatory authorities should strengthen the analysis of macroeconomic operation, pay close attention to the impact of macroeconomic regulation and control on the asset securitization market, maintain the orderly development of the real estate market, and guard against the negative effects of the overheating of the real estate market. Strengthen information disclosure; formulate contingency plans for asset price risk release ahead of time.
【作者单位】：西南财经大学国际商学院;成都理工大学工程技术学院;
【基金】：姜玉梅所主持的国家社科基金项目“次贷危机与资产证券化监管制度健全问题研究——以住房抵押贷款证券化为例”(09BFX051)的阶段性成果西南财经大学“211工程”三期国际经济与贸易优势学科建设项目的阶段性成果
【分类号】：F293.3;F832.51

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