本文關鍵詞：我國住房抵押貸款證券化中提前償付風險的研究　出處：《江南大學》2013年碩士論文　論文類型：學位論文

  更多相關文章： 住房抵押貸款證券化 提前償付風險 宏觀因素 實證研究

【摘要】：2007年席卷美國、歐盟和日本等世界主要金融市場的美國“次貸危機”讓人們開始重新關注住房抵押貸款證券化這一金融創(chuàng)新工具。它的出現(xiàn)增加了資本的流動性，，也為投資者拓寬了投資渠道；但在帶來利益的同時，它也為風險的傳播和擴大提供了契機。雖然我國的住房抵押貸款市場發(fā)展的歷程較短，住房抵押貸款證券化也是剛剛開始試點運行，但在此背景之下，對其進行深入的研究，以防止危機的再次發(fā)生，也顯得尤為重要。 本文首先系統(tǒng)的介紹了住房抵押貸款證券化的相關知識，包括住房抵押貸款證券化的概念、基本內(nèi)涵、特點以及運作機制等，然后分別闡述了我國推行住房抵押貸款證券化的意義以及在推行的過程中可能會面臨的風險，包括提前償付風險、信用風險、定價風險、利率風險等。 其次，提出我國在推行住房抵押貸款證券化的過程中所面臨的主要風險是提前償付風險，并分別闡述了提前償付行為對于證券發(fā)起人、發(fā)行人、中介機構以及投資者的影響。然后，根據(jù)我國的實際情況，從定性的角度分析了影響我國提前償付行為的宏觀因素，其中主要包括抵押貸款利率、住房價格、居民收入水平、月度效應和社會心理特征等。 最后，詳細介紹了提前償付行為的衡量指標，以及國外比較常用的幾種提前償付計量模型。通過分析發(fā)現(xiàn)上述模型均不適用于我國宏觀因素對于提前償付行為影響的研究。在借鑒國內(nèi)外相關研究的基礎上，并結合我國的具體國情，提出用多元線性回歸模型來研究宏觀經(jīng)濟變量對于提前償付行為的影響，并通過實證研究指出，抵押貸款利率、住房價格、居民收入水平均會對提前償付行為產(chǎn)生顯著的影響，且抵押貸款利率是影響提前償付行為最主要的因素。此外，由于受我國傳統(tǒng)節(jié)日春節(jié)的影響，提前償付行為在2月份至3月份會處于相對較低的水平，而在4月份提前償付行為會大幅增加。最終，通過具體分析認為可以采用該多元線性回歸模型作為我國住房抵押貸款中的提前償付風險的計量模型。
[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.
【學位授予單位】：江南大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.45;F832.51

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