MBS 채무불이행의 영향요인 분석: VAR 모형을 중심으로

Study of Factors Impacting on Default in MBS with VAR Model

The purpose of this paper is to identify and study impact factors on the default risk likely to happen in MBS. So, MBS data given from the Korea Housing Finance Corporation and some factors, which are selected based on literature review, seeming relevant to default in MBS are applied to a VAR model. As a result, apartment price and new loan interest rate turn out to be statistically significant for default risk.