【摘要】：美國次貸危機(jī)爆發(fā)后，如何控制商業(yè)銀行信貸風(fēng)險(xiǎn)已成為當(dāng)前熱點(diǎn)問題。而在國內(nèi)房貸市場過熱大背景下，研究借款者對商業(yè)銀行住房信貸違約率的沖擊效應(yīng)已是當(dāng)前迫切需要解決的問題。 本文以市場參與者行為因素和商業(yè)銀行住房信貸違約率為研究對象，探討以下問題：1）分析在面臨市場變化時(shí)，個(gè)人住房信貸市場參與者行為心理的變動(dòng)；2）對個(gè)人住房信貸違約評估指標(biāo)體系的構(gòu)建；3）分析個(gè)人行為因素變動(dòng)對個(gè)人住房信貸違約率的沖擊效應(yīng)。針對上述問題，，本文的研究工作和主要貢獻(xiàn)集中在以下幾個(gè)方面： 首先，針對個(gè)人住房信貸參與者行為變動(dòng)問題，本文主要參考了當(dāng)前國內(nèi)外的研究現(xiàn)狀和已有的行為理論，科學(xué)分析了市場參與者面對銀行市場變動(dòng)時(shí)，所應(yīng)有的心理變化趨勢和應(yīng)對措施。 其次，關(guān)于商業(yè)銀行個(gè)人住房信貸評估指標(biāo)體系構(gòu)建方面，針對個(gè)人住房信貸行為因素的界定問題，主要是運(yùn)用解釋結(jié)構(gòu)模型對所有的指標(biāo)進(jìn)行分類劃層，界定出個(gè)人住房信貸違約的行為因素和客觀因素，并且行為因素又劃分為直接行為因素和間接行為因素，對住房信貸違約的行為產(chǎn)生直接和間接影響的因素進(jìn)行了說明。 再次，關(guān)于個(gè)人住房信貸行為因素對住房信貸違約率的沖擊影響分析方面，本文主要重點(diǎn)建立了有解釋結(jié)構(gòu)模型界定出的五個(gè)行為指標(biāo)的脈沖響應(yīng)模型，然后在建立計(jì)量經(jīng)濟(jì)學(xué)聯(lián)立方程來對個(gè)人住房信貸違約率的影響層面進(jìn)行分析。 研究結(jié)果表明:（1）國民經(jīng)濟(jì)增長率、土地出讓價(jià)格、住房面積供應(yīng)量、金融地產(chǎn)相關(guān)政策法律和借款人基本情況（借款人月收入、可支配收入、年齡、職業(yè)等）都會(huì)對住房信貸違約行為因素類產(chǎn)生影響，進(jìn)而對個(gè)人住房信貸違約率有間接影響，該類指標(biāo)無論是在時(shí)間期限和空間維度上都會(huì)產(chǎn)生直接或間接影響。（2）在對脈沖響應(yīng)分析時(shí)發(fā)現(xiàn)，個(gè)人住房信貸違約對行為因素的變動(dòng)較為敏感，通常在第二期就會(huì)產(chǎn)生較大的沖擊效應(yīng)，并且影響期限較短；聯(lián)立方程的數(shù)據(jù)結(jié)果，行為因素分析中預(yù)期房價(jià)增速、未來收入信心指數(shù)和當(dāng)前物價(jià)滿意指數(shù)對個(gè)人住房違約率的影響較大，未來物價(jià)滿意指數(shù)和當(dāng)前收入感受指數(shù)影響相對較小。 最后，本文提出相應(yīng)的政策建議，重點(diǎn)是針對借款者溝通教育方面，主要包括加強(qiáng)商業(yè)銀行的橫向溝通、建立信用信息共享機(jī)制和激勵(lì)約束機(jī)制等。
[Abstract]:After the subprime mortgage crisis broke out in America, how to control the credit risk of commercial banks has become a hot issue. Under the background of overheating of the domestic housing loan market, it is an urgent problem to study the impact of borrowers on the housing credit default rate of commercial banks. This paper takes the behavioral factors of market participants and the default rate of housing credit of commercial banks as the research object, discusses the following question: 1) analyzes the changes of behavioral psychology of individual housing credit market participants in the face of market changes; 2) constructing the index system of individual housing credit default evaluation. 3) analyzing the impact effect of the change of individual behavior factors on the individual housing credit default rate. In view of the above problems, the research work and main contributions of this paper focus on the following aspects: first, the behavior change of individual housing credit participants, This paper mainly refers to the current research situation and existing behavior theory at home and abroad, and scientifically analyzes the psychological change trend and countermeasures of market participants in the face of the market changes of banks. Secondly, with regard to the construction of individual housing credit evaluation index system of commercial banks, aiming at defining the factors of individual housing credit behavior, it mainly uses the explanatory structure model to classify all the indicators. The behavioral factors and objective factors of individual housing credit default are defined, and the behavioral factors are divided into direct and indirect behavioral factors, and the factors that have direct and indirect influence on the behavior of housing credit default are explained. Thirdly, with regard to the impact of individual housing credit behavior factors on the housing credit default rate, this paper focuses on the establishment of impulse response model with five behavioral indicators defined by the explanatory structure model. Then, the impact level of individual housing credit default rate is analyzed by establishing econometrics simultaneous equation. The results are as follows: (1) National economic growth rate, land transfer price, housing area supply, financial and real estate related policies and laws, and borrower's basic situation (borrower's monthly income, disposable income, age, etc. Occupation, etc.) has an indirect effect on the default rate of individual housing credit. This kind of index has direct or indirect influence on time limit and spatial dimension. (2) in the analysis of impulse response, it is found that individual housing credit default is more sensitive to the change of behavioral factors. Usually in the second phase will have a larger impact effect, and the impact of a shorter period of time; simultaneous equation data results, behavior factor analysis of the expected growth rate of house prices, The future income confidence index and the current price satisfaction index have a great influence on the rate of individual housing default, while the future price satisfaction index and the current income perception index have relatively little effect. Finally, this paper puts forward the corresponding policy recommendations, focusing on the borrower communication education, mainly including strengthening the horizontal communication of commercial banks, establishing credit information sharing mechanism and incentive and restraint mechanism, and so on.
【學(xué)位授予單位】：中國海洋大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.45

【參考文獻(xiàn)】

相關(guān)期刊論文 前8條

1 張鳳科;;企業(yè)違約行為的博弈論分析[J];重慶工商大學(xué)學(xué)報(bào)(社會(huì)科學(xué)版);2006年04期

2 閆瑤;;談個(gè)人住房貸款風(fēng)險(xiǎn)[J];合作經(jīng)濟(jì)與科技;2006年01期

3 唐玲;;信息不對稱與個(gè)人住房信貸風(fēng)險(xiǎn)管理研究[J];金融經(jīng)濟(jì);2008年06期

4 李小秋;;利率市場化改革路徑及策略選擇[J];河北金融;2007年S1期

5 胡素華;資信評估中違約率的度量及應(yīng)用[J];西南農(nóng)業(yè)大學(xué)學(xué)報(bào)(社會(huì)科學(xué)版);2005年02期

6 黃志豪;;防范我國中小企業(yè)信貸違約行為的對策探討[J];武漢金融;2007年01期

7 湯艷玲;;淺談我國商業(yè)銀行個(gè)人住房貸款的風(fēng)險(xiǎn)及其防范[J];中國集體經(jīng)濟(jì);2009年30期

8 趙領(lǐng)娣;邊春鵬;;風(fēng)暴潮災(zāi)害綜合損失等級劃分標(biāo)準(zhǔn)的研究[J];中國漁業(yè)經(jīng)濟(jì);2012年03期

本文編號(hào)：2211590