住房抵押贷款提前还款的影响因素和预测模型的实证研究
|
摘要
近年来,我国住房抵押贷款市场得到了快速发展,提前还款风险也随之不断放大,而银行业对提前还款行为的忍痛放任或被动限制将会严重影响资金的使用效率和收益;同时,随着2005年住房抵押贷款支持证券(MBS)的发行,解决其合理定价问题已成为决定其发展前景的重要因素,而准确预测提前还款是合理定价的关键所在,可见,加强对住房抵押贷款提前还款风险的研究已成为当务之急。借鉴国内外的研究成果,本文在搜集、整理住房抵押贷款数据的基础上,引入定量分析法,通过因子分析、判别分析等多元统计方法寻找提前还款的主要影响变量,并据此建立模型来预测提前还款风险。通过研究发现:影响我国住房抵押贷款提前还款的主要因素涵盖贷款特征因素、经济环境特征因素、借款人特征因素和房屋特征因素,具体分为8大因子变量——利率因子、部分提前还款因子、贷款期限价值比因子、时间过程因子、借款人性别因子、借款人年龄因子、借款人财力因子和借款人单位类别因子;在构建预测提前还款模型的过程中发现,非线性Logistic模型比线性判别函数的总体预测准确率更高,但判别函数对提前还款这类贷款的判别正确率更高,可以说前者属于保守型预测模型,后者属于激进型预测模型。
In recent years, the mortgage market in China has been witnessing a fast development, at the same time, prepayment risk is enlarged continuously. In this situation, the banking either endures the risk silently or takes restriction passively, which will decrease the efficiency and income of funds seriously. Simultaneously, with the issue of mortgage-backed security in 2005, the reasonable pricing of it has become a decisive factor in its development, moreover, the key step of pricing lies in estimating prepayment accurately. It is thus clear that, strengthening the study on the prepayment risk of mortgage has become an urgent matter of the moment. Based on the international and domestic research result, this paper uses the quantitative method to study on prepayment. According to factor analysis and discriminant analysis of multivariate statistics, the paper tries to find out the major influencing factors of mortgage’s prepayment of China, and then establish econometric model of prepayment to predict the prepayment risk. From the study, we discover that the main influencing factors of our mortgage’s prepayment include the characteristic factors of mortgage, the characteristic factors of economic environment, the characteristic factors of mortgage’s borrower and the characteristic factors of house, we can divide them into 8 factors, namely, the interest rate factor, the partial prepayment factor, the loan to value factor, the time process factor, the borrower’s gender factor, the borrower’s age factor, the borrower’s financial position factor and the category factor of borrower’s work; From the established prepayment models, we find out that nonlinear logistic function can predict more accurately than linear discriminant function as a whole, but discriminant function can predict more accurately on prepayment mortgage, therefore we can say that the former is a conservative model and the latter is a radical one.
In recent years, the mortgage market in China has been witnessing a fast development, at the same time, prepayment risk is enlarged continuously. In this situation, the banking either endures the risk silently or takes restriction passively, which will decrease the efficiency and income of funds seriously. Simultaneously, with the issue of mortgage-backed security in 2005, the reasonable pricing of it has become a decisive factor in its development, moreover, the key step of pricing lies in estimating prepayment accurately. It is thus clear that, strengthening the study on the prepayment risk of mortgage has become an urgent matter of the moment. Based on the international and domestic research result, this paper uses the quantitative method to study on prepayment. According to factor analysis and discriminant analysis of multivariate statistics, the paper tries to find out the major influencing factors of mortgage’s prepayment of China, and then establish econometric model of prepayment to predict the prepayment risk. From the study, we discover that the main influencing factors of our mortgage’s prepayment include the characteristic factors of mortgage, the characteristic factors of economic environment, the characteristic factors of mortgage’s borrower and the characteristic factors of house, we can divide them into 8 factors, namely, the interest rate factor, the partial prepayment factor, the loan to value factor, the time process factor, the borrower’s gender factor, the borrower’s age factor, the borrower’s financial position factor and the category factor of borrower’s work; From the established prepayment models, we find out that nonlinear logistic function can predict more accurately than linear discriminant function as a whole, but discriminant function can predict more accurately on prepayment mortgage, therefore we can say that the former is a conservative model and the latter is a radical one.
引文
[1] Acheampong, O.,Pricing Mortgage-Backed Securities using Prepayment Functions and Pathwise Monte Carlo Simulation,M.S. thesis,Worcester Polytechnic Institute,2003。
[2] Archer, W. R.,Ling, D.C.,McGill, G. A.,The Effect of Income and Collateral Constraints on Residential Mortgage Terminations,Regional Science and Urban Economics,1996(26):235-261。
[3] Asay, M., Guillaume, F.H., Mattu, R.K.,Duration and Convexity of Mortgage Backed Securities: Some Hedging Implications from a Prepayment Linked Present Value Model,Mortgage Backed Securities,Chicago:Probus Publishing,1987。
[4] Brennan, M. J.,Schwartz, E. S.,Determinants of GNMA Mortgage Prices,Journalof the American Real Estate and Urban Economics Association,1985,(13):209-228。
[5] Chen, S., Understanding option-adjusted spreads: The implied prepayments hypothesi-s,Journal of Portfolio Management,1996,(22):104–113。
[6] Chinloy, P.,The Option Structure of a Mortgage Contract,Journal of Housing Res-earch,1991,2(1):21-38。
[7] Davidson, A.,Hershovitz, M., The refinancing threshold pricing model: An econo-mic approach to valuing MBS,Merrill Lynch Mortgage-Backed Research,1987,11。
[8] Davis, S.,An ARMs Prepayment Model:A Parsimonious Approach, The Journal of Fixed Income,2004,(3):73-79。
[9] Deng, Y.,Mortgage termination: An empirical hazard model with stochastic term st-ructure,Journal of Real Estate Finance and Economics,1997 (14):309-331。
[10] Dunn, K. B.,McConnell, J. J.,A comparison of alternative models for pricing GN-MA mortgage-backed securities,Journal of Finance,1981,36(2):471-483。
[11] Dunn, K. B.,Spatt, C. S.,The Elect of Refinancing Costs and Market Imperfectio-ns on the Optimal Call Strategy and the Pricing of Debt Contracts,Carnegie-Mellon U-niversity,1986。
[12] Dunn, K. B.,McConnell, J. J.,A comparison of alternative models for pricing GN-MA mortgage-backed securities,Journal of Finance,Part A,1981,36(2):471-483。
[13] Eeristiani, S.,Modeling the Instability of Mortgage-Backed Prepayments,The Journ-al of Fixed Income,2003,(12):33-41。
[14] Giliberto, S. M.,Ling, D. C.,An Empirical Investigation of the Cotingent-Claims Approach to Princing Residential Mortgage Debt,Journal of the American Real Est-ate and Urban Economic Association,1992,20(3):393-426。
[15] Golub,B.W.,Mortgage Prepayments and an Analysis of the Wharton Prepayment Model,BlackRock Financial Management,1994,(3):80-90。
[16] Green, R. K.,LaCour-Little, M.,Some Truths About Ostriches: Who Never Refina-nces Their Mortgage and Why They Don’t,Journal of Housing Economics,1999,(8):233-248。
[17] Green, J.,Shoven, J. B.,The Effect of Interest Rates on Mortgage Prepayments, J-ournal of Money, Credit and Banking,1986,18(1):41-89。
[18] Hayre, L.,Chaudhary, S.,Robert, A.,Young, Anatomy of Prepayments, Journal of Fixed Income,2000,10(1):19-49。
[19] Hayre,L.S.,Chaudhary,S.,Young,R.A.,Anatomy of Prepayments, Journal of F-ixed Income,2000,(1):19-49。
[20] Hayre,L.,Rajan,A.,Anatomy of Prepayments: The Salomon Brothers PrepaymentModel,United States Fixed Income Research,1995,(6):45-56。
[21] Horowitz,J.L.,Semiparametric Estimation of a Proportional Hazard Model with U-nobserved Heterogeneity,Econometrica,1999,(9):1001-1028。
[22] Huang,C.,Wong,S.,Tang,D.,et al.,Hong Kong Residential Mortgage Prepa-yment Analysis and Modeling,1999,(4):55-66。
[23] Johnston, E.,Drunen, L.V.,Pricing mortgage pools with heterogeneous mortgagors: Empirical evidence,working paper,University of Utah,1988。
[24] Kalotay,A.,Yang,D.,Fabozzi,F.J.,An Option-Theoretic Prepayment Model for Mortgages and Mortgage-Backed Securities,International Journal of Theoretical and Applied Finance,2004,(8):947-978。
[25] Kang,P.,Zenios,S.,Complete Prepayment Models For Mortgage-Backed Securiti-es,Management of Science,1992,(11):1665-1685。
[26] Kau, J.B.,Slawson, V. C.,Frictions, heterogeneity and optimality in mortgage modeling,Journal of Real Estate Finance and Economics,2002,24(2):239-260。
[27] Kau,J.B.,Springer,T.M.,An Analysis of Financial and Nonfinancial Prepayment of GNMA Securities with a Varying Coefficient Model,The Journal of Real Estate Research,1992,(7):69-86。
[28] Klotz, R.,Shapiro, A.,Dealing with streamlined refinancings: New implied prepay-ment Model,Merrill Lynch Mortgage Product Analysis,1993,10。
[29] LaCour-Little,M.,Marschoun,M.,Maxam,C.L.,Improving Parametric Mortgage Prepayment Models with Non-parametric Kernel Regression,Jrer,2002,(3):300-326。
[30] Mattey, J.,Wallace, N., Housing-Price Cycles and Prepayment Rates of U.S. Mort-gage Pools, Journal of Real Estate Finance and Economics 2001,(23):161-184。
[31] Milonas, N. T.,Lacey, N. J.,An Examination of GNMA Prepayments,Research P-aper,Washington, D. C.: Federal Home Loan Bank Board, Office of Policy and Ec-onomic Research,1988,143。
[32] Peristiani, S.,Bennett, P.,Monsen, G., et al.,Effects of Household Creditworthinesson Mortgage Refinancings,Journal of Fixed Income,1997,7(3):7-21。
[33] Peters, H. F.,Termination Distributions of FHA Insured Residential Mortgages,Ph.D. thesis,The Wharton School,University of Pennsylvania,1979。
[34] Quigley, J. M., Interest Rate Variations, Mortgage Prepayments and Household Mob-ility,Review of Economics and Statistics,1987,69(4):636-643。
[35] Roll, R.,Richard, S. F.,Modeling prepayments on fixed rate mortgage-backed secu-rities,Journal of Portfolio Management,1989,(15):73-82。
[36] Ronn, E. L.,Rubinstein, P. D.,Pan,F.,An Arbitrage-Free Estimate of PrepaymentOption Prices in Fixed Rate GNMA Mortgage-Backed Securities,Real Estate Econo-mics,1995,(1):1-20。
[37] Schwartz,E.S.,Torous,W.N.,Prepayment and the Valuation of Mortgage-Backed Securities,The Journal of Finance,1989,44(2):375-392。
[38] Schwartz, E. S.,Torous, W. N.,Mortgage prepayment and default decisions : A po-ission regression approach,Journal of the American Real Estate and Urban Econom-ics Association,1993,21(4):431-449。
[39] Spahr,R.W.,Sunderman,M.A.,The Effect of Prepayment Modeling in Pricing M-ortgage-Backed Securities,Journal of Housing Research,1992,(2):381-400。
[40] Stanton, R.,Rational prepayment and the value of mortgage-backed securities,The Review of Financial Studies,1995,8(3),677-708。
[41] Timmis, G. C.,Valuation of GNMA mortgage-backed securities with transaction cos-ts, heterogeneous households and endogenously generated prepayment rates,working Paper,Carnegie-Mellon University,1985。
[42] [美]弗兰克·J.法博齐,房产抵押贷款证券手册(第五版),上海,上海人民出版社,2004:1-370。
[43]王福林,个人住房抵押贷款违约风险影响因素实证研究,北京,经济科学出版社,2005:92-140。
[44]施方,住房抵押贷款证券化——运作和定价,上海,上海财经大学出版社,2005:53-82。
[45]于秀林、任雪松,多元统计分析,北京,中国统计出版社,2004:101-198。
[46]苏金明,统计软件SPSS12.0 for Windows应用及开发指南,北京,电子工业出版社,2004:300-333。
[47]薛薇,SPSS统计分析方法及应用,北京,电子工业出版社,2007:281-300。
[48]刘中显,提前偿贷对住房抵押贷款证券价值的影响及其计量,中国物价,2007,(10):65-68。
[49]张美华,住宅抵押债券证券化之探讨――国内浮动利率贷款之评价,高雄,国立中山大学财务管理研究所,2001:1-70。
[50]陈钊,住房抵押贷款提前还款行为分析,上海金融,2001,(1):25-27。
[51]施锡铨、张淼,我国住房抵押贷款提前还款的博弈分析,财经研究,2002,(10):35-42。
[52]樊相如、窦晓飞,浅析我国住房抵押贷款中的提前还款风险,黑龙江社会科学,2002,(1):33-34。
[53]王福林、贾生华,个人住房抵押贷款提前还款风险及其管理探析,价格与理论实践,2003,(4):44-45。
[54]陈为涛、程英春,对我国住房抵押贷款期前清偿的研究,哈尔滨商业大学学报,2005,(2):52-55。
[55]王建红、赵治辉,住房抵押贷款提前还款的影响因素及其预测研究,建筑经济,2006,(7):134-136。
[56]刘照鑫,商业银行住房抵押贷款提前还款的风险与防范,房地产金融,2006,(2):49-51。
[57]刘疆,个人住房抵押贷款提前还款风险实证研究,博士学位论文,成都,西南政法大学,2007。
[58]刘洪玉,孙冰,个人住房抵押贷款提前还款风险因素实证研究,同济大学学报(自然科学版),2007,35(1):124-128。
[59]陈涛,住房抵押贷款提前还款预测模型及对策研究,硕士学位论文,大连,大连理工大学,2006。
[60]唐文进、陈勇,住房抵押贷款定价模型与数值分析,数量经济技术经济研究,2006,(3):58-65。
[61]刘怀伟,商务市场中顾客关系的持续机制研究——基于顾客的视角,博士学位论文,浙江,浙江大学,2003。
[2] Archer, W. R.,Ling, D.C.,McGill, G. A.,The Effect of Income and Collateral Constraints on Residential Mortgage Terminations,Regional Science and Urban Economics,1996(26):235-261。
[3] Asay, M., Guillaume, F.H., Mattu, R.K.,Duration and Convexity of Mortgage Backed Securities: Some Hedging Implications from a Prepayment Linked Present Value Model,Mortgage Backed Securities,Chicago:Probus Publishing,1987。
[4] Brennan, M. J.,Schwartz, E. S.,Determinants of GNMA Mortgage Prices,Journalof the American Real Estate and Urban Economics Association,1985,(13):209-228。
[5] Chen, S., Understanding option-adjusted spreads: The implied prepayments hypothesi-s,Journal of Portfolio Management,1996,(22):104–113。
[6] Chinloy, P.,The Option Structure of a Mortgage Contract,Journal of Housing Res-earch,1991,2(1):21-38。
[7] Davidson, A.,Hershovitz, M., The refinancing threshold pricing model: An econo-mic approach to valuing MBS,Merrill Lynch Mortgage-Backed Research,1987,11。
[8] Davis, S.,An ARMs Prepayment Model:A Parsimonious Approach, The Journal of Fixed Income,2004,(3):73-79。
[9] Deng, Y.,Mortgage termination: An empirical hazard model with stochastic term st-ructure,Journal of Real Estate Finance and Economics,1997 (14):309-331。
[10] Dunn, K. B.,McConnell, J. J.,A comparison of alternative models for pricing GN-MA mortgage-backed securities,Journal of Finance,1981,36(2):471-483。
[11] Dunn, K. B.,Spatt, C. S.,The Elect of Refinancing Costs and Market Imperfectio-ns on the Optimal Call Strategy and the Pricing of Debt Contracts,Carnegie-Mellon U-niversity,1986。
[12] Dunn, K. B.,McConnell, J. J.,A comparison of alternative models for pricing GN-MA mortgage-backed securities,Journal of Finance,Part A,1981,36(2):471-483。
[13] Eeristiani, S.,Modeling the Instability of Mortgage-Backed Prepayments,The Journ-al of Fixed Income,2003,(12):33-41。
[14] Giliberto, S. M.,Ling, D. C.,An Empirical Investigation of the Cotingent-Claims Approach to Princing Residential Mortgage Debt,Journal of the American Real Est-ate and Urban Economic Association,1992,20(3):393-426。
[15] Golub,B.W.,Mortgage Prepayments and an Analysis of the Wharton Prepayment Model,BlackRock Financial Management,1994,(3):80-90。
[16] Green, R. K.,LaCour-Little, M.,Some Truths About Ostriches: Who Never Refina-nces Their Mortgage and Why They Don’t,Journal of Housing Economics,1999,(8):233-248。
[17] Green, J.,Shoven, J. B.,The Effect of Interest Rates on Mortgage Prepayments, J-ournal of Money, Credit and Banking,1986,18(1):41-89。
[18] Hayre, L.,Chaudhary, S.,Robert, A.,Young, Anatomy of Prepayments, Journal of Fixed Income,2000,10(1):19-49。
[19] Hayre,L.S.,Chaudhary,S.,Young,R.A.,Anatomy of Prepayments, Journal of F-ixed Income,2000,(1):19-49。
[20] Hayre,L.,Rajan,A.,Anatomy of Prepayments: The Salomon Brothers PrepaymentModel,United States Fixed Income Research,1995,(6):45-56。
[21] Horowitz,J.L.,Semiparametric Estimation of a Proportional Hazard Model with U-nobserved Heterogeneity,Econometrica,1999,(9):1001-1028。
[22] Huang,C.,Wong,S.,Tang,D.,et al.,Hong Kong Residential Mortgage Prepa-yment Analysis and Modeling,1999,(4):55-66。
[23] Johnston, E.,Drunen, L.V.,Pricing mortgage pools with heterogeneous mortgagors: Empirical evidence,working paper,University of Utah,1988。
[24] Kalotay,A.,Yang,D.,Fabozzi,F.J.,An Option-Theoretic Prepayment Model for Mortgages and Mortgage-Backed Securities,International Journal of Theoretical and Applied Finance,2004,(8):947-978。
[25] Kang,P.,Zenios,S.,Complete Prepayment Models For Mortgage-Backed Securiti-es,Management of Science,1992,(11):1665-1685。
[26] Kau, J.B.,Slawson, V. C.,Frictions, heterogeneity and optimality in mortgage modeling,Journal of Real Estate Finance and Economics,2002,24(2):239-260。
[27] Kau,J.B.,Springer,T.M.,An Analysis of Financial and Nonfinancial Prepayment of GNMA Securities with a Varying Coefficient Model,The Journal of Real Estate Research,1992,(7):69-86。
[28] Klotz, R.,Shapiro, A.,Dealing with streamlined refinancings: New implied prepay-ment Model,Merrill Lynch Mortgage Product Analysis,1993,10。
[29] LaCour-Little,M.,Marschoun,M.,Maxam,C.L.,Improving Parametric Mortgage Prepayment Models with Non-parametric Kernel Regression,Jrer,2002,(3):300-326。
[30] Mattey, J.,Wallace, N., Housing-Price Cycles and Prepayment Rates of U.S. Mort-gage Pools, Journal of Real Estate Finance and Economics 2001,(23):161-184。
[31] Milonas, N. T.,Lacey, N. J.,An Examination of GNMA Prepayments,Research P-aper,Washington, D. C.: Federal Home Loan Bank Board, Office of Policy and Ec-onomic Research,1988,143。
[32] Peristiani, S.,Bennett, P.,Monsen, G., et al.,Effects of Household Creditworthinesson Mortgage Refinancings,Journal of Fixed Income,1997,7(3):7-21。
[33] Peters, H. F.,Termination Distributions of FHA Insured Residential Mortgages,Ph.D. thesis,The Wharton School,University of Pennsylvania,1979。
[34] Quigley, J. M., Interest Rate Variations, Mortgage Prepayments and Household Mob-ility,Review of Economics and Statistics,1987,69(4):636-643。
[35] Roll, R.,Richard, S. F.,Modeling prepayments on fixed rate mortgage-backed secu-rities,Journal of Portfolio Management,1989,(15):73-82。
[36] Ronn, E. L.,Rubinstein, P. D.,Pan,F.,An Arbitrage-Free Estimate of PrepaymentOption Prices in Fixed Rate GNMA Mortgage-Backed Securities,Real Estate Econo-mics,1995,(1):1-20。
[37] Schwartz,E.S.,Torous,W.N.,Prepayment and the Valuation of Mortgage-Backed Securities,The Journal of Finance,1989,44(2):375-392。
[38] Schwartz, E. S.,Torous, W. N.,Mortgage prepayment and default decisions : A po-ission regression approach,Journal of the American Real Estate and Urban Econom-ics Association,1993,21(4):431-449。
[39] Spahr,R.W.,Sunderman,M.A.,The Effect of Prepayment Modeling in Pricing M-ortgage-Backed Securities,Journal of Housing Research,1992,(2):381-400。
[40] Stanton, R.,Rational prepayment and the value of mortgage-backed securities,The Review of Financial Studies,1995,8(3),677-708。
[41] Timmis, G. C.,Valuation of GNMA mortgage-backed securities with transaction cos-ts, heterogeneous households and endogenously generated prepayment rates,working Paper,Carnegie-Mellon University,1985。
[42] [美]弗兰克·J.法博齐,房产抵押贷款证券手册(第五版),上海,上海人民出版社,2004:1-370。
[43]王福林,个人住房抵押贷款违约风险影响因素实证研究,北京,经济科学出版社,2005:92-140。
[44]施方,住房抵押贷款证券化——运作和定价,上海,上海财经大学出版社,2005:53-82。
[45]于秀林、任雪松,多元统计分析,北京,中国统计出版社,2004:101-198。
[46]苏金明,统计软件SPSS12.0 for Windows应用及开发指南,北京,电子工业出版社,2004:300-333。
[47]薛薇,SPSS统计分析方法及应用,北京,电子工业出版社,2007:281-300。
[48]刘中显,提前偿贷对住房抵押贷款证券价值的影响及其计量,中国物价,2007,(10):65-68。
[49]张美华,住宅抵押债券证券化之探讨――国内浮动利率贷款之评价,高雄,国立中山大学财务管理研究所,2001:1-70。
[50]陈钊,住房抵押贷款提前还款行为分析,上海金融,2001,(1):25-27。
[51]施锡铨、张淼,我国住房抵押贷款提前还款的博弈分析,财经研究,2002,(10):35-42。
[52]樊相如、窦晓飞,浅析我国住房抵押贷款中的提前还款风险,黑龙江社会科学,2002,(1):33-34。
[53]王福林、贾生华,个人住房抵押贷款提前还款风险及其管理探析,价格与理论实践,2003,(4):44-45。
[54]陈为涛、程英春,对我国住房抵押贷款期前清偿的研究,哈尔滨商业大学学报,2005,(2):52-55。
[55]王建红、赵治辉,住房抵押贷款提前还款的影响因素及其预测研究,建筑经济,2006,(7):134-136。
[56]刘照鑫,商业银行住房抵押贷款提前还款的风险与防范,房地产金融,2006,(2):49-51。
[57]刘疆,个人住房抵押贷款提前还款风险实证研究,博士学位论文,成都,西南政法大学,2007。
[58]刘洪玉,孙冰,个人住房抵押贷款提前还款风险因素实证研究,同济大学学报(自然科学版),2007,35(1):124-128。
[59]陈涛,住房抵押贷款提前还款预测模型及对策研究,硕士学位论文,大连,大连理工大学,2006。
[60]唐文进、陈勇,住房抵押贷款定价模型与数值分析,数量经济技术经济研究,2006,(3):58-65。
[61]刘怀伟,商务市场中顾客关系的持续机制研究——基于顾客的视角,博士学位论文,浙江,浙江大学,2003。