주택담보대출 부도요인 분석을 통한 LTV 및 DTI 등 거시건전성 규제의 효과에 관한 연구

Using individual data of 165,463 mortgage loans which Korea Housing Finance Corporation (KHFC) provided directly for securitization from June 2010 to December 2012, we studied whether macro-prudential tools such as loan-to-value (LTV) and debt-to-income (DTI) ratios also serve to achieve micro-prudential purposes. The relative importance and implications of these macro-prudential tools were reviewed carefully by analyzing the following four questions. First, we analyzed whether low LTV and DTI ratios effectively reduce default risk at an individual mortgage level. Our empirical results show that both LTV and DTI ratios affect the default rate of individual mortgage loans positively with statistical significance, but their relative explanatory power remains low at the 1.3 to 7.5-percent level. On the contrary, the credit rating of borrowers was found to be the most powerful variable providing more than two-thirds of the explanatory power of the model. Secondly, we examined whether it is appropriate on a micro-prudential basis to directly ban mortgage loans whose LTV or DTI ratios are in excess of regulatory limits. We found that the LTV ratio tends to positively affect the default rate on an increasing basis, implying that the LTV ratio limit at a certain level seems justified for micro-prudential purposes as well. However, the DTI ratio was found to affect the default rate positively but on a decreasing basis, implying that further study is required to answer whether the DTI ratio limit can effectively achieve micro-prudential purposes. Thirdly, we looked at whether it is appropriate to apply the uniform limits on LTV and DTI ratios indiscriminately to borrowers with high and low credit ratings, respectively. We found that the LTV ratio tends to have a greater explanatory power for borrowers with high credit rating. On the other hand, the DTI ratio was found to have greater explanatory power for borrowers with a low credit rating, implying that the current uniform application of LTV and DTI ratio limits calls for fine-tuning. Fourthly, we assessed whether the current policy initiative to improve the product features of mortgage loans is effective. As anticipated, we found that the transition from interest-only bullet loans to amortizing loans and from variable-rate loans to fixed-rate loans tends to lower the default rate. These findings provide several policy implications. First, considering that the credit rating is more influential variable than LTV and DTI ratios, the uniform and direct application of LTV and DTI limits needs fine-tuning. It may be worth considering the implementation of indirect (soft constraint) regulatory tools such as the U.K.’s loan-to-income (LTI) ratio, which limits the share of oversized loans, rather than oversized loans themselves. It would allow banks to better utilize their own capability to assess and screen borrowers with a low default risk. Secondly, the assessment of the DTI ratio as a tool to mitigate the default risk needs to be conducted with caution. Its relatively low explanatory power from the default model seems to be attributable to banks’ lending practices that assess the income of borrowers either too conservatively or inaccurately and/or the borrowers’ strategic reporting of income. Thirdly, as the possibility of a “strategic default,” especially among borrowers with a high credit rating, cannot be ruled out in Korea, the introduction of non-recourse mortgage loans needs to be approached with caution, suggesting that the availability of non-recourse mortgages be limited to borrowers with a low credit rating.