미국 주택담보대출 연체의 재해석 = Re-interpretation of the Delinquency of Conforming Mortgages in the United States

다국어 초록 (Multilingual Abstract)

This study analyzes the probability of delinquency for 30-year-maturity conforming residential mortgages in the United States based on Freddie Mac’s Single Family Loan-Level Dataset. While we operationally define a defaulted loan as a loan that has been delinquent for more than 90 days, many researchers think of delinquency as a necessary stage in preparation for default. We re-interpret delinquency after reclassifying the delinquent loans group. We employ a bivariate binomial probit model with sample selection. This study finds that a negative equity level in collateral does not influence the first delinquency decision, while a seasonal dummy shows a statistically significant impact on the first delinquency decision. We conjecture more generally that some portion of first delinquency decisions are based on the trembling hands of decision-makers.

참고문헌 (Reference)

1 지규현, "주택담보대출 위험관리를 위한 차입자 특성 분석" 대한국토·도시계획학회 41 (41): 117-128, 2006

2 심종원, "주택담보대출 연체율 결정 요인에 관한 연구" 한국부동산분석학회 15 (15): 81-96, 2009

3 이용만, "부동산시장의 이례현상들" 한국주택학회 20 (20): 5-40, 2012

4 신승우, "보금자리론의 채무불이행 및 조기상환 위험에 관한 실증적 연구" 한국주택학회 16 (16): 5-26, 2008

5 정의철, "도시가구의 주택자금대출 상황방식 선택에 관한 실증 연구" 대한국토·도시계획학회 41 (41): 8-8, 2006

6 박지영, "공간계량모형응용" 博英社 2006

7 "U.S. Bureau of Labor Statistics"

8 Danis, Michelle A., "The Delinquency of Subprime Mortgage" 60 : 67-90, 2008

9 Foote, Christopher L., "Negative Equity and Foreclosure" 64 : 234-245, 2008

10 Diaz-Serrano, Luis, "Income Volatility and Residential Mortgage Delinquency across the EU" 14 : 153-177, 2005

11 "Federal Home Loan Mortgage Corporation"

12 Von Furstenberg, "Estimation of Delinquency For Home Mortgage Portfolios" 2 : 5-19, 1974

13 Brent, William, "Determinant of Mortgage Delinquency" 9 (9): 27-47, 2011

14 Bajari, Patrick, "An Empirical Model of Subprime Mortgage Default From 2000 to 2007" NBER 2008