@article{ART001831806},
author={Tongkyu Park and 김동환},
title={A Study on the Prepayment Risk Variables in Korean MBS Market},
journal={Korea Real Estate Review},
issn={2092-5395},
year={2013},
volume={23},
number={3},
pages={157-179}
TY - JOUR
AU - Tongkyu Park
AU - 김동환
TI - A Study on the Prepayment Risk Variables in Korean MBS Market
JO - Korea Real Estate Review
PY - 2013
VL - 23
IS - 3
PB - korea real estate research institute
SP - 157
EP - 179
SN - 2092-5395
AB - This study investigates the relation between the prepayment rate and the influencing variables of the mortgage backed securities(MBS) issued by the Korea Housing-Finance Corporation. Mortgage interest rate, apartment auction contract price rate, construction industry BSI and the unemployment rate were derived as the proxies for the influencing variables.
As a result of the various tests using the Vector Error Correction(VEC) Model, mortgage interest rate was found to have a negative impact on the prepayment rate compared to positive impacts of the other proxies, It was also identified that mortgage interest rate influences shortly on the prepayment rate while the unemployment rate influences in a long term basis.
Based on the above results, Korean MBS loan market seems similar to the Chinese market rather than US market in terms of the influence of the macroeconomic variables. It is also shown that speculative factors exist in Korean housing market with their impact on the prepayment rate smaller than that of mortgage interest rate or the unemployment rate.
KW - vector error correction(VEC) model;prepayment risk;mortgage backed securities;mortgage loan
DO -
UR -
ER -
Tongkyu Park and 김동환. (2013). A Study on the Prepayment Risk Variables in Korean MBS Market. Korea Real Estate Review, 23(3), 157-179.
Tongkyu Park and 김동환. 2013, "A Study on the Prepayment Risk Variables in Korean MBS Market", Korea Real Estate Review, vol.23, no.3 pp.157-179.
Tongkyu Park, 김동환 "A Study on the Prepayment Risk Variables in Korean MBS Market" Korea Real Estate Review 23.3 pp.157-179 (2013) : 157.
Tongkyu Park, 김동환. A Study on the Prepayment Risk Variables in Korean MBS Market. 2013; 23(3), 157-179.
Tongkyu Park and 김동환. "A Study on the Prepayment Risk Variables in Korean MBS Market" Korea Real Estate Review 23, no.3 (2013) : 157-179.
Tongkyu Park; 김동환. A Study on the Prepayment Risk Variables in Korean MBS Market. Korea Real Estate Review, 23(3), 157-179.
Tongkyu Park; 김동환. A Study on the Prepayment Risk Variables in Korean MBS Market. Korea Real Estate Review. 2013; 23(3) 157-179.
Tongkyu Park, 김동환. A Study on the Prepayment Risk Variables in Korean MBS Market. 2013; 23(3), 157-179.
Tongkyu Park and 김동환. "A Study on the Prepayment Risk Variables in Korean MBS Market" Korea Real Estate Review 23, no.3 (2013) : 157-179.
