利率变动、贷款歧视与房贷风险

The influences of interest rate fluctuation and loan discrimination on mortgage risks have not been well addressed in transition economy, albeit the extant literature reveals they have salient effects in developed countries. Based on China’s unique economic transition regime, this project employs a unique and rich China’s Housing Provident Fund (HPF) panel database to explore how interest rate fluctuation, borrowers’ and housing features impact the origination and maturity of mortgages. This research fills the literature gaps in the following three aspects. First, The influences of interest rate fluctuation and loan discrimination on mortgage risks have not been well addressed in transition economy, albeit the extant literature reveals they have salient effects in developed countries. Based on China’s unique economic transition regime, this project employs a unique and rich China’s Housing Provident Fund (HPF) database to explore how interest rate fluctuation, borrowers’ and housing features discrimination impact the origination and maturity of mortgages. This research fills the literature gaps in the following three aspects. First, this project enriches sub-optimal prepayment theory by detecting the effects of interest rate change on ARM’s prepayment risk based on borrowing costs and opportunity costs from the perspective of “mortgage slave” (refer to households with tight affordability of mortgage installment) and reinvestment behavior in China market Second, we extend the existing research by investigating the discrimination between households with different occupations and incomes based on information asymmetry and reputation mechanism. Third, this project examines whether the mortgage origination, prepayment and default are impacted by housing features, such as residential property right, number of units in the project based on collateral effects and motivations of purchase, which are neglected by the previous literature. Our results are favorable for mortgage lenders and regulators to improve their risk managements, dynamic regulation, and risk prevention.

现有文献发现利率变动和贷款歧视对房贷风险具有重要影响，但在转轨经济中二者对房贷风险具有何种影响尚未得到深入研究。本课题基于中国转轨经济背景，将使用独有的大样本中国住房公积金贷款面板数据，考察利率变动、借款人特征歧视和住房特征歧视如何影响房贷发放及其风险，是对现有研究的重要补充。首先，本课题基于借款成本和机会成本，将从“房奴”心理和再投资动机角度考察利率变动对浮动利率抵押贷款提前还款风险的影响，丰富次优提前还款理论。其次，本课题基于信息不对称和声誉机制，将从经济体制和收入差距角度考察职业歧视和收入歧视对房贷发放及其风险的影响，拓展房贷歧视研究。最后，本课题基于住房抵押效应和购房动机，将从住房属性角度分别考察住房产权完整性和住房套数的歧视对房贷发放及其风险的影响，弥补现有住房特征研究缺陷。本课题将为房贷及其监管机构加强房贷风险管理、动态监管和防范房贷风险提供证据。

利率变动和贷款歧视对房贷发放及其风险有重要影响，但现有文献忽视利率风险、借款人歧视和住房歧视对房贷发放及其风险的影响。本项目采用计量方法，从利率变动和房贷歧视入手，考察利率变动、借款人和住房特征差异如何影响房贷发放及其风险。首先，本项目从利率风险观点（the view of interest rate risk）和自愿去杠杆观点（the view of voluntary deleverage）角度研究利率变动对房贷部分提前还款风险的影响。其次，本项目基于借款人歧视，考察借款人户籍身份、政治身份等差异对房贷发放及其风险的影响。再次，本项目基于抵押效应考察住房产权差异对房贷发放及其风险的影响。最后，本项目使用北京市住房公积金贷款、广州二手房交易、中国家庭金融调查（CHFS）数据实证检验利率变动、借款人和住房特征差异对房贷发放及其风险的影响。本项目研究发现：第一，利率上升对抵押贷款部分提前还款的影响大于利率下降，验证利率风险观点；第二，相对本地出生借款人，外地出生借款人住房抵押贷款拒贷率更低，获得住房抵押贷款更少，房贷发放市场存在身份歧视；第三，相对非官员，政府官员更有可能赶在限购政策宣布前买房，并加快和缩短公积金贷款申请处理期限；第四，反腐运动能有效抑制住房市场腐败；第五，相对完全产权房，不完全产权房有更高的拒贷率，房贷可得性更小，房贷发放市场存在产权歧视。因此，本项目不仅丰富房贷利率变动和房贷歧视研究，而且为货币政策部门、宏观审慎政策部门、商业银行以及住房公积金贷款机构加强房贷贷前和贷后管理、防范房贷风险提供经验支持。