The Impact of the Macroeconomic Factors on the Mortgage Default Rate - An Empirical Study for Taiwan Case

• Main Authors: Chien-Lin Liu, 劉建麟
• Other Authors: Chau-Jung Kuo
• Format: Others
• Language: zh-TW
• Published: 2018
• Online Access: http://ndltd.ncl.edu.tw/handle/btc95f

碩士 === 國立中山大學 === 財務管理學系研究所 === 106 === Mortgage loans are one of the most important topics in life. Past studies have used the macroeconomic factors to explore the hypothesis of housing price expectations, and used Granger causality tests, co-integration tests, or Markov conversion models to verify relevant hypotheses. Because of the gap between urban and rural areas in Taiwan, scholars often use regional divisions to do relevant empirical research. Many empirical findings have found that economic variables such as inflation rate and interest rate all have a significant impact on housing prices, and regionally. The impact of economic variables on the northern metropolitan area is much earlier and deeper than that of the central and southern metropolitan areas. Although there are many papers on the study of housing prices, the macroeconomic factors are rarely used to explore the impact of default rates on mortgage loans. This study focused on the default rate of mortgage loans in three metropolitan areas in Taiwan. The period was from the first quarter of 2007 to the second quarter of 2017.We used VAR model, co-integration tests and VECM model to analyze the impact of the macroeconomic factors on the mortgage default rate. The empirical results show that the inflation rate and loan interest rate have a significant impact on the default rate of mortgage loans in the three metropolitan areas; and from the south to the north of the metropolitan areas , the impact of economic variables becomes more significant. .