주택담보대출 부도요인 분석을 통한 LTV 및 DTI 등 거시건전성 규제의 효과에 관한 연구 (An Assessment of the Effect of Macro-Prudential Regulations in Korea Based on Mortgage Default Analysis)

서지정보

· 발행기관 : 한국금융학회
· 수록지 정보 : 금융연구 / 29권 / 3호 / 101 ~ 146페이지
· 저자명 : 최성일, 박연우

초록

본 연구에서는 한국주택금융공사에서 취급한 개별차주별 u-보금자리론 미시자료를 활용하여LTV, DTI 등이 부도율에 미치는 영향을 부도모형추정을 통해 분석함으로써 LTV, DTI 규제및 대출구조 개선 등 현행 거시건전성 정책수단이 미시건전성 측면에서 갖는 상대적 중요성과시사점 등을 살펴보았다. 실증분석 결과 첫째, LTV와 DTI는 부도모형에서 유의한 설명변수로나타나지만 부도에 대한 설명력 비중이 1.3%~7.5%에 불과한 데 비하여, 차주 신용등급은 부도모형에서의 설명력 비중이 60%~70%대로 가장 중요한 설명변수인 것으로 나타났다. 따라서 LTV 또는 DTI의 직접적인 한도규제보다는 영국의 LTI((loan-to-income) 규제와 같이 일정한도를초과하는 대출금액 비중을 간접적으로 규제함으로써 은행의 자율적인 차주 심사 및 선별기능을활용하는 방식이 바람직한 것으로 여겨진다. 둘째, LTV는 체증적으로 부도율에 正의 영향을미치지만, DTI는 체감적으로 부도율에 正의 영향을 미치는 것으로 나타났다. 따라서 LTV 한도규제는 미시건전성 측면에서도 유용하지만 DTI 한도 운용의 미시건전성 측면의 유용성은 추가적인연구가 필요하다고 여겨진다. 셋째, 우량차주의 경우 LTV의 부도율에 대한 설명력이 상대적으로큰 데 비하여 저신용차주의 경우에는 DTI가 부도율에 대한 설명력이 더 크게 나타나 지금과같이 우량차주와 저신용차주에 대하여 획일적으로 LTV 및 DTI 한도가 적용되는 규제방식은개선이 필요한 것으로 여겨진다. 넷째, 분할상환 및 고정금리대출 전환을 유도하는 현재의 주택담보대출 구조개선정책은 미시건전성 측면에서도 타당한 것으로 여겨진다. 본 연구가 기여한바는 신용등급의 부도설명력이 LTV나 DTI 등의 설명력 보다 월등히 높음을 확인하고, 우량차주와저신용차주간 부도행태에 차이가 있다는 점을 규명하고, 우량차주에서는 전략적 채무불이행(strategic default)의 가능성이 있는 반면 저신용차주는 전략적 소득신고(strategic income reporting) 유인이 있음을 제시하여 현행 LTV와 DTI 한도규제와 같은 직접적이고 획일적인 규제방식보다은행의 차주심사 및 선별기능을 활용하는 간접적 규제방식이 바람직함을 지적한 것이라고 하겠다.

영어초록

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.

참고자료

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