个人住房抵押贷款提前偿付率实证研究——基于建元2005资产证券化产品资产池的模型  

The Empirical Study on Prepayment Rate in Home Mortgage Based on the Prepayment-rate Model of "Jianyuan2005 Security Assets"

作　　者：魏成龙[1] 王述评[2] 

机构地区：[1]河南大学工商管理研究所,河南开封475004 [2]北京师范大学管理学院,北京100875

出　　处：《经济管理》2011年第4期160-164,共5页Business and Management Journal ( BMJ )

摘　　要：随着中国个人住房抵押贷款业务的不断发展,个人住房抵押贷款余额的逐渐扩大,住房抵押贷款提前偿付风险已经成为中国商业银行面临的一项重要的利率风险。本文引入建元2005资产证券化产品的公开数据,以条件提前偿还率模型计算了2006年2月～2009年1月的资产池内住房抵押贷款的提前偿付率,并以此提前偿付率为基础进行了时间序列分析,得出了该资产池的提前偿付率的变化过程遵循一阶自回归过程的结论。在此基础之上,本文引入反映房地产行业景气程度的月度住房投资额度同比增长率,研究住房抵押贷款提前偿付率的变化与房地产市场的景气程度的关系,以此建立了拟合效果比较好的自回归滞后分布模型,得出了"住房抵押贷款提前偿付率变化受一阶自回归过程以及月度住房投资额度同比增长率滞后六期及七期的影响"的结论。With the development of home mortgage activities and accordingly the increase of its balance of loans, Commercial banks of China are facing the rate risk of prepayment of home mortgage. With the help of the public home mortgage data of ＂Jianyuan2005 security assets＂ and the model of conditional prepayment rate, this paper calculates the prepayment rate of home mortgage from February 2006 to January 2009, based on the time series analysis of which we educe that the variance in prepayment rate follows the process of first order auto-regression. Then by studying the relation between the variance in prepayment rate and the prosperity of real estate mar- ket, this paper sets an auto-regressive distributed lag model of better fitting effect, and conclude that the monthly prepayment rate is influenced by the factors of the process of first order auto-regression and the monthly growth rate of investment on real estate lagging six or seven periods of time.

关 键 词：住房抵押贷款 提前偿付率 自回归分布滞后模型 

分 类 号：F293.338[经济管理—国民经济]