Empirical Research On Prepayment Behaviour Factors Of Individual Residential Mortgage In China

In recent years, our country's individual residential mortgage developed very rapidly, driven by the fast development of China's real estate market. With the country's macroeconomic policy changes, China's individual residential mortgage will face significant prepayment risk, which serious impact on the commercial banks'capital efficiency and profitability. Meanwhile, since 2005, China Construction Bank issued the first mortgage-backed securities (MBS), the key of MBS pricing is to predict mortgage prepayment risk reasonably and accurately. Therefore, it is imminent to strengthen the research of mortgage prepayment risk.In this paper, on the basis of sorting out the domestic and foreign scholars'study, we analyzed the influencing factors of mortgage prepayment risk, by collecting large amounts of data and establishing empirical model. We also establish Logistic regression model to demonstrate the correct and rationality of the factors analysis. The results indicate that the influence of macroeconomic environment'changes to borrowers' prepayment behavior is different with the Western developed countries; the prepayment risk of women and older borrowers higher than men and young; the characteristics of mortgage have a greater impact to borrowers'prepayment behavior, in which the most sensitive factor is interest rate; interaction effect studies have shown that male borrowers is not sensitive for the SSE index, while it is more sensitive for the yield curve slope and GDP growth rate. Finally, this article have proposed some suggestions for commercial banks managing prepayment risk, included pre-loan audit, technical management and the imposition of liquidated damages.