| Summary: | 碩士 === 國立政治大學 === 地政研究所 === 99 === Financial tsunami caused considerable impact in the world, and the financial institutions suffered huge losses in this crisis. Mortgage default losses accounted for a certain proportion in losses of financial institutes. It’s necessary to research the factors which influence the default decisions. In the past, the literatures divided the theory related to mortgage default into two parts, the Equity theory and the Ability-to-Pay theory. This article use the mortgage data in Taiwan to confirm which theory is more applicable in Taiwan.
To understand if the borrowers would consider value of recourse when they make decision of default, this study adopts Binomial Logit Regression Model （BLR） and Proportional Hazards Model （PHM）, adding the right of recourse, which is common in the mortgage contract in Taiwan.
The result shows that owing to the rising trend of Taiwan housing price and the lower loan-to-value （LTV） level than foreign countries, there are fewer mortgages in negative equity situation. However, we discover that after we modify equity variable, the modified equity variable is more significant than non-modified equity variable. Besides, if we consider the value of recourse, the modified equity variable with value of recourse performs best among three types of equity variable. The results above show that the modification of equity variable and the consideration of recourse can improve predicting ability of default model. And it shows the clause of recourse in Taiwan has certain influence on the decision of borrowers’ default behavior.
Furthermore, the results of model illustrate the equity-related variables and ability-to-pay-related variables have certain explanation power on the behavior of default, which mean equity theory and ability-to-pay theory are applicable in Taiwan. We infer when carrying out the prediction of default, it’s necessary to take equity-related variables and ability-to-pay-related variables into consideration.
|
|---|
