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An Empirical Analysis of Mortgage Loan Delinquency Using Personal Panel Data in Korea (in Korean)

Hosung Jung ()
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Hosung Jung: Economic Research Institution, The Bank of Korea

No 2017-6, Working Papers from Economic Research Institute, Bank of Korea

Abstract: This paper analyzes changes in home mortgage loan delinquencies related to the interest rate factor and the risk factor, using the personal mortgage lending and delinquency panel data held by the Bank of Korea. It finds that changes in the probability of mortgage loan default have been affected mainly by the interest rate factor since 2012. It finds in addition that the affects of the interest rate and risk factors in determining the default probability differ depending upon borrowers' ages and their income-to-loan ratios. Specifically, while the probabilities of home mortgage loan default due to the interest rate factor have dropped regardless of personal characteristics since 2012, for borrowers in their 20s to 30s and with low income-to-loan ratios the probability of default caused by the risk factor is found to have risen compared to June 2012. This is the first study to estimate the factors causing default based on personal borrower characteristics through use of personal lending and delinquency panel data. It is believed that our study may provide important information about the sources of mortgage loan risk and accordingly help in the putting forward of policy response alternatives.

Keywords: Home mortgage loan; Default probability; Deliquencies (search for similar items in EconPapers)
JEL-codes: G30 G34 (search for similar items in EconPapers)
Pages: 32 pages
Date: 2017-02-07
New Economics Papers: this item is included in nep-ban, nep-cfn and nep-rmg
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