什么影响了个人住房抵押贷款违约风险?  

Macroeconomic Factors and their Effects on Residential Mortgage Loans

作　　者：唐璐云 蔡真[2] 于潇 

机构地区：[1]中债资信评估有限责任公司 [2]中国社会科学院金融研究所、国家金融与发展实验室

出　　处：《金融市场研究》2020年第6期25-39,共15页Financial Market Research

摘　　要：随着个人住房抵押贷款资产支持证券(RMBS)发行规模的逐步增长,关于RMBS违约率影响因素的研究对于实施穿透式监管、防范金融风险愈发重要。本文基于全市场22家RMBS发起机构、2 100余个静态池历史数据,对RMBS基础资产违约的宏观影响因素进行分析,同时考虑到我国房地产市场的区域分化特征,进一步分析区域经济环境对个人住房抵押贷款信用质量的影响。In recent years,with the gradual increase in the size of residential housing mortgage assetbacked securities(RMBS),research on the factors affecting RMBS default rates has become increasingly important for the prevention of financial risk.Based on domestic and foreign research,this article analyzes the macroeconomic factors of RMBS underlying asset defaults,making use of historical data of 22 RMBS sponsors and more than 2100 static pools covering the entire market.The study also looks at the different regional market characteristics and the impact on credit quality of personal housing mortgage loans.

关 键 词：个人住房抵押贷款 违约风险 宏观经济 区域经济 

分 类 号：F299.23[经济管理—国民经济] F832.479