{"title":"基于VAR模型的MBS违约影响因素研究","authors":"Myeonghwan Cho, Jaewoong Won, J. Jun","doi":"10.54091/krepa.2022.23.3.4","DOIUrl":null,"url":null,"abstract":"The purpose of this paper is to identify and study impact factors on the default risk likely to happen in MBS. So, MBS data given from the Korea Housing Finance Corporation and some factors, which are selected based on literature review, seeming relevant to default in MBS are applied to a VAR model. As a result, apartment price and new loan interest rate turn out to be statistically significant for default risk.","PeriodicalId":193300,"journal":{"name":"Korea Real Estate Policy Association","volume":"25 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2022-11-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Study of Factors Impacting on Default in MBS with VAR Model\",\"authors\":\"Myeonghwan Cho, Jaewoong Won, J. Jun\",\"doi\":\"10.54091/krepa.2022.23.3.4\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"The purpose of this paper is to identify and study impact factors on the default risk likely to happen in MBS. So, MBS data given from the Korea Housing Finance Corporation and some factors, which are selected based on literature review, seeming relevant to default in MBS are applied to a VAR model. As a result, apartment price and new loan interest rate turn out to be statistically significant for default risk.\",\"PeriodicalId\":193300,\"journal\":{\"name\":\"Korea Real Estate Policy Association\",\"volume\":\"25 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2022-11-30\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Korea Real Estate Policy Association\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.54091/krepa.2022.23.3.4\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Korea Real Estate Policy Association","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.54091/krepa.2022.23.3.4","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Study of Factors Impacting on Default in MBS with VAR Model
The purpose of this paper is to identify and study impact factors on the default risk likely to happen in MBS. So, MBS data given from the Korea Housing Finance Corporation and some factors, which are selected based on literature review, seeming relevant to default in MBS are applied to a VAR model. As a result, apartment price and new loan interest rate turn out to be statistically significant for default risk.
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