中国住房抵押贷款信用风险研究

【作者】 郭峰；

【导师】 王来福；

【作者基本信息】 东北财经大学 ， 国民经济学， 2007， 硕士

【摘要】 在住房体制改革深入与城市化进程加速的经济转轨背景之下，中国住房抵押贷款业务实现了跨越式发展。但随着时间的推移，早期住房抵押贷款市场跨越式发展的不良后果开始显现，违约率逐步上升。抵押贷款违约不仅影响贷款银行的预期收益，也会通过金融加速器的扩大作用对整个宏观经济产生重大冲击，住房抵押贷款信用风险成为业界与学界研究的热点。本文通过运用规范分析方法，对转轨时期的中国住房抵押贷款市场与西方国家的成熟市场进行比较研究，总结出了转轨时期中国住房抵押贷款市场的特点；在介绍国外经典理论的基础上分析其假设前提与适应环境，并结合转轨时期中国市场的特点研究它们在中国市场的适用性，找出了适合中国转轨时期的信用风险理论；在搜集大连市某商业银行个人住房抵押贷款大样本数据之基础上，运用Logistic模型实证研究了转轨时期影响中国住房抵押贷款信用风险的主要因素，最后提出了相应的风险治理政策建议。本文主要结论如下：(1)与国外成熟市场不同的是，中国住房抵押贷款市场有着自身的特别之处。由于住房体制改革与城市化加速带来的巨大住房需求，房价持续上涨，市场利率也随之上升；贷款利率主要以浮动利率为主；金融机构不能针对不同风险水平的借款人制定差别利率；没有成熟的二级市场，不能为一级市场分散风险；通过理性违约再买房有着巨额的交易成本；由于住房保障体系发展不完善，金融机构收回抵押住宅一般成为不可置信的承诺。而这些特点都会影响到借款人的违约行为。(2)在转轨时期的中国住房抵押贷款市场，还款能力理论较之于权益理论，有着更好的适用性。自住房制度改革以来，中国的房价处于一个上升过程，“看跌期权”无法执行；住房抵押贷款市场主要实行浮动利率，且市场利率自2002年之后都是缓慢上升的，“看涨期权”溢价也无法实现；中国购房者违约存在着的巨额交易成本及个人征信系统的使用限制了借款人理性违约。由于两类期权溢价在转轨时期的中国房地产市场缺乏宏观经济条件，而再购房与信誉损失使得借款人违约的交易成本变大，这样，权益理论在转轨时期的中国缺乏适用背景。本文通过实证研究也证明了在经济转轨时期的中国住房抵押贷款市场，还款能力理论较之于权益理论有着更好的适应性，从而解决了中国住房抵押贷款市场的理论适应性问题，而这也成为本文的主要创新之处。(3)利率、LTV、偿债比、户籍、受教育程度、新房还是二手住房是影响住房抵押贷款信用风险的主要因素。在住房抵押贷款还款能力理论基础上，本文通过Logistic二元选择模型对可能影响住房抵押贷款信用风险的因素进行了实证分析。利用大连市某商业银行的数据分析得出，利率、LTV、偿债比、户籍、受教育程度、新房还是二手住房是影响住房抵押贷款违约的主要因素，借款人年龄、贷款期限、住房评估价值、贷款生命期与突发事件也会影响借款人的违约行为。实证结果表明，利率、LTV和偿债比越高，借款人违约的可能性越大；借款人受教育程度越高、贷款期限越长则借款人违约概率更低；而外地人的购房投资行为、家庭出现突发事件也会加大贷款违约风险。文章也得出另外几个与理论假说不同的结论：第一是家庭收入对借款人违约的影响力不明显；其次是借款人年龄对违约概率的影响为负；最后是购买旧房的借款人信用风险要大于购买新房的借款人。(4)在以上研究的基础之上，提出了相应的政策建议。首先必需提高风险管理意识，严格信息采集程序与方法，保证原始信息的真实性。其次在真实信息的基础上再运用科学的方法对借款人进行风险识别，并针对不同风险级别的借款人制定差异化的贷款合约，实行分类管理。最后，由于住房抵押贷款信用风险不仅影响金融机构的预期收益，而且大规模的违约行为暴发会对宏观经济产生重大冲击，因此中国必需抓紧发展培育住房抵押贷款二级市场，实现住房抵押贷款证券化，分散一级市场风险。更多还原

【Abstract】 In the economic transition context of in-depth residential constitution reform and the accelerated urbanization process, Chinese residential mortgage market has experienced a leaped development. However, the residential mortgage default rate increased gradually after the rapid prosperity of this market. The default rate of residential mortgage not only affects the bank’s expected revenue, but also brings the dynamic impacts to the whole macroeconomics through the financial accelerator. The residential mortgage default risk becomes the focus of banking industry and the academia in China. By using the theoretic analysis, this paper compares the residential mortgage market in Chinese transitional economy with the one in western countries, and summarizes the characters of residential mortgage market in China. Meanwhile, I examine the adaptability of classic theories in China on the basis of features, and then point out the theory that is compatible with the transitional economy through analyzing the hypothesis and adapted environment of western mature theories. On the basis of sample data from the city of DaLian, I adopt the Logistic model to test the hypotheses, and identify the major determinants of residential mortgage default risk in China. At the end of this paper, I put forward some proposals on how to strengthen and improve the risk management in domestic residential mortgage market. The major conclusions of this paper are as follows.1. Unlike the foreign mature market, Chinese residential mortgage market has the features of its own. Namely, the housing price and interest rate experienced continuous rise as the results of residential constitution reform and accelerated urbanizing; all mortgages prior to 2006 in China were pure Adjustable rate mortgage; Financial institutions cannot establish discriminate interest rate for individuals; the lack of secondary market implies lenders will assume a large portion, if not all, of borrowers’ risk; the Chinese borrowers will face a great deal of transaction cost for default behavior; because of lack of perfect residential security system, the promises to get the mortgage back is unconvincing when borrower default. All of the above will affect borrower’s behavior.2. Ability to pay theory is more applicative in Chinese residential mortgage market in contrast with equity theory. The sustaining rise of housing price from 1998 made the "put option" is "out of money", the adjustable mortgage rate and the rising interest rate made "call option" out of money too; Chinese borrowers’ intended default behavior is not rational for the great deal of transaction cost in the Chinese market. So we can conclude that equity theory has not the adapted environment in China, and our empirical results indicate that ability to pay theory is more applicative to Chinese residential mortgage market in contrast with equity theory.3. Interest rate, loan-to-value, debt servicing ratio, household registration, educational level, and new or existing house are major determinate factors of default behavior. On the basis of ability to pay theory and the data from Dalian city. I adopt the Logistic method to estimate the binary choice model and to test the determinate factors of default behavior. The empirical results indicate that interest rate. loan-to-value, debt servicing ratio, household registration, educational level, and new or existing house are major determinates of default behavior, and age of borrower, family income, term of loan, appraisal price, age of loan, trigger events will affect the default probability. The higher interest rate. LTV. debt servicing ratio are always related to incidence of higher default, on the contrary, higher education degree and longer term are always related to small default probability, the foreigner’s residential investment behavior and trigger events will also increase the default probability. Meanwhile, we also get some results different from above hypothesis, namely, the family income has less effect on default probability; age of borrower has the negative effect on default probability, and the borrower who have bought the existing housing has more default probability.4. Based on the above analysis, I put forward some proposals. Although the default rate is still at lower level, it had raised a lot from the history point of view. Financial institutions have not paid enough attention to the default risk, and the government’s indirect guarantee deteriorated the situation, so we should pay more attention and take more actions to alleviate the risk. Because of lack of risk management and prevention consciousness, banks have not collected the correct and enough fundamental information from borrowers, this kind of information is foundational for risk management. So we should use more useful skills and methods to get the correct information. On the basis of individual feature, we can adopt categorize method to classify borrowers, and then banks can create more financial instruments for different borrowers. Finally, in order to diversity the risk of residential mortgage default, China should develop the secondary market up the storm.更多还原