基于行为视角下的个人住房信贷违约风险评估研究
发布时间：2018-08-29 15:13
【摘要】：美国次贷危机爆发后，如何控制商业银行信贷风险已成为当前热点问题。而在国内房贷市场过热大背景下，研究借款者对商业银行住房信贷违约率的冲击效应已是当前迫切需要解决的问题。 本文以市场参与者行为因素和商业银行住房信贷违约率为研究对象，探讨以下问题：1）分析在面临市场变化时，个人住房信贷市场参与者行为心理的变动；2）对个人住房信贷违约评估指标体系的构建；3）分析个人行为因素变动对个人住房信贷违约率的冲击效应。针对上述问题，，本文的研究工作和主要贡献集中在以下几个方面： 首先，针对个人住房信贷参与者行为变动问题，本文主要参考了当前国内外的研究现状和已有的行为理论，科学分析了市场参与者面对银行市场变动时，所应有的心理变化趋势和应对措施。 其次，关于商业银行个人住房信贷评估指标体系构建方面，针对个人住房信贷行为因素的界定问题，主要是运用解释结构模型对所有的指标进行分类划层，界定出个人住房信贷违约的行为因素和客观因素，并且行为因素又划分为直接行为因素和间接行为因素，对住房信贷违约的行为产生直接和间接影响的因素进行了说明。 再次，关于个人住房信贷行为因素对住房信贷违约率的冲击影响分析方面，本文主要重点建立了有解释结构模型界定出的五个行为指标的脉冲响应模型，然后在建立计量经济学联立方程来对个人住房信贷违约率的影响层面进行分析。 研究结果表明:（1）国民经济增长率、土地出让价格、住房面积供应量、金融地产相关政策法律和借款人基本情况（借款人月收入、可支配收入、年龄、职业等）都会对住房信贷违约行为因素类产生影响，进而对个人住房信贷违约率有间接影响，该类指标无论是在时间期限和空间维度上都会产生直接或间接影响。（2）在对脉冲响应分析时发现，个人住房信贷违约对行为因素的变动较为敏感，通常在第二期就会产生较大的冲击效应，并且影响期限较短；联立方程的数据结果，行为因素分析中预期房价增速、未来收入信心指数和当前物价满意指数对个人住房违约率的影响较大，未来物价满意指数和当前收入感受指数影响相对较小。 最后，本文提出相应的政策建议，重点是针对借款者沟通教育方面，主要包括加强商业银行的横向沟通、建立信用信息共享机制和激励约束机制等。
[Abstract]:After the subprime mortgage crisis broke out in America, how to control the credit risk of commercial banks has become a hot issue. Under the background of overheating of the domestic housing loan market, it is an urgent problem to study the impact of borrowers on the housing credit default rate of commercial banks. This paper takes the behavioral factors of market participants and the default rate of housing credit of commercial banks as the research object, discusses the following question: 1) analyzes the changes of behavioral psychology of individual housing credit market participants in the face of market changes; 2) constructing the index system of individual housing credit default evaluation. 3) analyzing the impact effect of the change of individual behavior factors on the individual housing credit default rate. In view of the above problems, the research work and main contributions of this paper focus on the following aspects: first, the behavior change of individual housing credit participants, This paper mainly refers to the current research situation and existing behavior theory at home and abroad, and scientifically analyzes the psychological change trend and countermeasures of market participants in the face of the market changes of banks. Secondly, with regard to the construction of individual housing credit evaluation index system of commercial banks, aiming at defining the factors of individual housing credit behavior, it mainly uses the explanatory structure model to classify all the indicators. The behavioral factors and objective factors of individual housing credit default are defined, and the behavioral factors are divided into direct and indirect behavioral factors, and the factors that have direct and indirect influence on the behavior of housing credit default are explained. Thirdly, with regard to the impact of individual housing credit behavior factors on the housing credit default rate, this paper focuses on the establishment of impulse response model with five behavioral indicators defined by the explanatory structure model. Then, the impact level of individual housing credit default rate is analyzed by establishing econometrics simultaneous equation. The results are as follows: (1) National economic growth rate, land transfer price, housing area supply, financial and real estate related policies and laws, and borrower's basic situation (borrower's monthly income, disposable income, age, etc. Occupation, etc.) has an indirect effect on the default rate of individual housing credit. This kind of index has direct or indirect influence on time limit and spatial dimension. (2) in the analysis of impulse response, it is found that individual housing credit default is more sensitive to the change of behavioral factors. Usually in the second phase will have a larger impact effect, and the impact of a shorter period of time; simultaneous equation data results, behavior factor analysis of the expected growth rate of house prices, The future income confidence index and the current price satisfaction index have a great influence on the rate of individual housing default, while the future price satisfaction index and the current income perception index have relatively little effect. Finally, this paper puts forward the corresponding policy recommendations, focusing on the borrower communication education, mainly including strengthening the horizontal communication of commercial banks, establishing credit information sharing mechanism and incentive and restraint mechanism, and so on.
【学位授予单位】：中国海洋大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.45
本文编号：2211590
[Abstract]:After the subprime mortgage crisis broke out in America, how to control the credit risk of commercial banks has become a hot issue. Under the background of overheating of the domestic housing loan market, it is an urgent problem to study the impact of borrowers on the housing credit default rate of commercial banks. This paper takes the behavioral factors of market participants and the default rate of housing credit of commercial banks as the research object, discusses the following question: 1) analyzes the changes of behavioral psychology of individual housing credit market participants in the face of market changes; 2) constructing the index system of individual housing credit default evaluation. 3) analyzing the impact effect of the change of individual behavior factors on the individual housing credit default rate. In view of the above problems, the research work and main contributions of this paper focus on the following aspects: first, the behavior change of individual housing credit participants, This paper mainly refers to the current research situation and existing behavior theory at home and abroad, and scientifically analyzes the psychological change trend and countermeasures of market participants in the face of the market changes of banks. Secondly, with regard to the construction of individual housing credit evaluation index system of commercial banks, aiming at defining the factors of individual housing credit behavior, it mainly uses the explanatory structure model to classify all the indicators. The behavioral factors and objective factors of individual housing credit default are defined, and the behavioral factors are divided into direct and indirect behavioral factors, and the factors that have direct and indirect influence on the behavior of housing credit default are explained. Thirdly, with regard to the impact of individual housing credit behavior factors on the housing credit default rate, this paper focuses on the establishment of impulse response model with five behavioral indicators defined by the explanatory structure model. Then, the impact level of individual housing credit default rate is analyzed by establishing econometrics simultaneous equation. The results are as follows: (1) National economic growth rate, land transfer price, housing area supply, financial and real estate related policies and laws, and borrower's basic situation (borrower's monthly income, disposable income, age, etc. Occupation, etc.) has an indirect effect on the default rate of individual housing credit. This kind of index has direct or indirect influence on time limit and spatial dimension. (2) in the analysis of impulse response, it is found that individual housing credit default is more sensitive to the change of behavioral factors. Usually in the second phase will have a larger impact effect, and the impact of a shorter period of time; simultaneous equation data results, behavior factor analysis of the expected growth rate of house prices, The future income confidence index and the current price satisfaction index have a great influence on the rate of individual housing default, while the future price satisfaction index and the current income perception index have relatively little effect. Finally, this paper puts forward the corresponding policy recommendations, focusing on the borrower communication education, mainly including strengthening the horizontal communication of commercial banks, establishing credit information sharing mechanism and incentive and restraint mechanism, and so on.
【学位授予单位】：中国海洋大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.45
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