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부동산시장의 장기침체 가능성에 대한 '스트레스 테스트'

페이스북
커버이미지
  • 저자 차문중(車文中) , 조만
  • 발행일 2011/11/24
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요약 As a part of monitoring real estate driven systemic risk, this study aims to test empirically effects of 'extreme but plausible' stress scenarios of real estate market decline in Korea on relevant sectors of the economy. In particular, we quantify impacts of four different scenarios of home price and market interest rate paths - the baseline along with mild, severe, and catastrophic shocks - on macroeconomic variables of interest, including consumption and housing investment, as well as on financial soundness of construction firms and on volumes of non-performing loans in the residential mortgage and real estate Project Finance outstanding (PF) loans. The results of our analyses show that: the drop in private consumption under the three stress scenarios (compared to the baseline scenario in first year of stress) reached to 1.6%, 3.0%, and 5.6% respectively, whose corresponding effects on GDP were -0.8%, -1.5%, and -2.8%; the declines in residential investment under the three stress scenarios were 1.3%, 4.0%, and 6.7%, respectively, whose subsequent effects on GDP were -0.2%, -0.7%, and -1.2%; the delinquency rates among adjustable-rate residential mortgages responded to the shocks with larger magnitude, about two times, than those of fixed-rate mortgages; the share of delinquent PF loans under the baseline scenario was much higher among those issued by non-bank financial institutions compared to commercial banks, 21.2% vs. 6.9%, which exhibited similar rates of increase under the three stress scenarios; small and medium construction companies were shown to be more vulnerable to the shocks as their debt service coverage ratios deteriorated much more than those of larger ones whose shares were listed in the Korean stock exchange. In the end of the report, we discuss several follow-up research issues, including performing a firm-level micro stress test, developing a structural model of real estate market with macroeconomic linkages, and periodically monitoring trends in various real estate submarkets in Korea.
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