中国住房抵押贷款拖欠风险研究  

The Residential Mortgage Delinquency Risks in China

作　　者：况伟大[1] 

机构地区：[1]中国人民大学商学院,邮政编码100872

出　　处：《经济研究》2014年第1期155-168,共14页Economic Research Journal

基　　金：教育部新世纪优秀人才支持计划(2011年);国家自然科学基金面上项目(71373276);国家留学基金委(2012年);中国金融40人论坛.青年论坛2011年度研究基金的研究成果

摘　　要：本文使用中国某主要商业银行2004年4月至2009年5月发放的大样本房贷数据考察了房贷拖欠和违约风险决定因素及其区域差异。研究发现:(1)房价余额比(PTB)显著影响房贷拖欠风险,但债务收入比(DTI)不显著,这表明借款人通常因权益为负而非负担不起而违约。(2)房价只对1个月房贷拖欠具有显著负影响,贷款余额对所有房贷拖欠和违约风险具有显著正影响,而收入和月供无显著影响。据此,商业银行应加强对大额房贷违约风险的管理。(3)房价增长率对所有房贷拖欠和违约风险具有显著负影响,而收入增长率只对1个月拖欠风险具有显著负影响。因此,只要房价和收入保持增长,房贷拖欠和违约风险将下降。(4)房贷拖欠风险具有明显的城市差异。因此,地理位置多样化有助于降低房贷拖欠和违约风险。(5)二手房房贷比一手房房贷具有更高的拖欠和违约风险,商业银行应加强二手房房贷的拖欠和违约风险管理。This paper employs the unique large-scale residential mortgage database originated from April 2004 through May 2009 by one Chinese major mortgage lender to empirically investigate the determinants of various mortgage delinquencies and their geographic differentials. We find that price to balance ratio （PTB） rather than debt to income （DTI） significantly impacts mortgage delinquency risk. Hence, the mortgagors normally default due to negative equity rather than their unaffordability. Second, housing price is solely negatively associated with one-mouth delinquency and loan balance is positively associated with all mortgage delinquency and default risks, whereas borrower＇s income and monthly payment are not statistically significant. Thus, Chinese commereial banks should improve default risk management in large mortgage loans. Third, the growth rate of housing price is negatively associated with all mortgage delinquency and default risks, while the growth rate of borrower＇s income is merely negatively correlated with one-mouth delinquency risk. Therefore, the mortgage delinquency and default risks decrease with the increases of housing price and borrower＇s income. Fourth, mortgage delinquency risk varies across cities. Relative to Shanghai, Beijing and angzhou show lower mortgage default risks, while Guangzhou, Shenzhen and Hangzhou have lower two-months mortgage delinquency risks. In addition, Tsingtao exhibits lower one- month mortgage delinquency risk, whereas Tianjin, Jinan, Haikou, Foshan and Zhuhai have higher mortgage delinquency risks. For this reason, the mortgage geographic diversification helps to reduce mortgage delinquency and default risks. Fifth, mortgages in second-hand houses show higher delinquency and default propensities than that of mortgages in first-hand houses. Hence, Chinese commercial hanks should improve delinquency and default risk management in their second-hand house loans.

关 键 词：拖欠风险 违约风险 期权因素 非期权因素 

分 类 号：F299.23[经济管理—国民经济] F832.479