合理利用国际公约降低贷款利息支出——以哈萨克斯坦国际项目合作为例

随着中哈两国政治经济合作的日益加深,在哈中资企业的发展规模不断扩大。由于哈国银行的贷款利率较高,为节省利息支出,中资企业经常到国际市场上借贷。银行获得利息收入须缴纳相应的税款,但银行一般都要求借款人承担预提税,并将此作为贷款的一个基本条件。根据哈国税法,境外法人金融企业在哈国获得的利息收入需要支付15%的所得税,其他服务费用的所得税税率为20%。在适用国际公约之后,利息支出可享受所得税税率优惠。为此,借款企业须注意贷款人是否在避税港注册,并避免恶意使用纳税国际公约,另外还要按照程序要求及时办理境外纳税人的国民证明材料。     

Estimation of Mortgage Defaults Using Disaggregate Loan History Data

This paper addresses, theoretically and empirically, the structure of influences affecting the default option in mortgage contracts. A formal theoretical model recognizes that a number of loan and non-loan related effects beyond equity in the unit could influence the default decision. These include 1) payment levels relative to income, which could displace other investment opportunities or cause a need for borrowing or sale to meet mortgage obligations; 2) current and expected neighborhood and housing market conditions, in particular the expected relative rate of appreciation of the unit and the relative cost of homeownership; 3) economic conditions; 4) wealth; 5) borrower characteristics proxying for variability in income or "crisis" events; as well as 6) transactions costs incurred upon default. Estimates of the model making use of a micro-level sample of individual loan histories over a twelve year period, supplemented by longitudinal census and economic information, find a number of these "other" effects important. Simulations find several of them to dominate the equity effect on default and to help explain why some households with zero or negative equity may not default, while others with positive equity may. The implications of these results for appropriate specification of the pricing model describing the default option and for appropriate underwriting of AMIs are noted.     

Fear,Shame and Guilt: Economic and Behavioral Motivations for Strategic Default

This study examines underwater primary resident homeowners to identify why some decide to strategically default while others do not. We find that realized shame and guilt are consistent with ex ante expectations. However, the financial backlash experienced by strategic defaulters is less than anticipated, causing strategic defaulters not to regret their actions. State‐specific bankruptcy exemption levels and real estate laws only marginally explain the decision to strategically default, partly because the decision to walk away from a mortgage is emotional, and partly because the implementation of these laws is uncertain and confusing to distressed borrowers. Rather, we find key strategic default drivers include the homeowner's expectation of future real estate price movements, frustration with the lender, moral evaluation of the decision to strategically default, loan knowledge, political ideology, gender, income and age.     

Movers and Shuckers: Interdependent Prepayment Decisions

We model competing risks of mortgage termination where the borrower faces a repeated choice to continue to pay, refinance the loan, move or default. Most previous empirical work on mortgage prepayment has ignored the distinction between prepayments triggered by refinancing and moving, combining them into a single prepayment rate. We show that financial considerations are the primary drivers of the refinance choice while homeowner characteristics have more influence on the move decision. We demonstrate that these differences are statistically significant and that combining these two distinct choices into a single measure of prepayment shifts coefficients toward zero and produces inaccurate predictions of aggregate termination rates. For example, a combined model underestimates the effect of the market price of the loan on refinancing; it misses entirely the opposite effects of borrower income on moving and refinancing. Our results suggest that existing prepayment models are inconsistent predictors of mobility-driven prepayment and underestimate the effect of market conditions and borrower characteristics on refinancing and housing decisions. Our findings have great significance to mortgage investors because mobility-driven prepayments are likely to be a more significant source of prepayments in thenext decade.     

Reverse Mortgages and Prepayment Risk

This paper presents a detailed assessment of the Connecticut Housing Finance Authority (CHFA) reverse annuity mortgage (RAM) program. Because of the size and payment history of the program, the analysis provides an empirical framework on which to develop and assess other home equity conversion (HEC) programs. The program offers insights into the economic impact of these programs and the factors affecting prepayment. The program issued 765 annuities over five years, and 240 of these loans have terminated payments. The annuity payments had a demonstrable financial impact on the elderly participants, with an 88% average annual income increase. Prepayment rates varied across borrower and loan characteristics. The rates were most sensitive to marital status and were heavily affected by the age of the borrower and the term of the loan. Although default risk exists, the evidence indicates a low probability of the loan value exceeding the house value.     

The Borrower's Choice between Fixed and Adjustable Rate Loan Contracts

Previous research indicates that key variables in the choice between fixed and price index-linked debt are the covariances between inflation and real income and between inflation and the real value of the asset financed by the debt. This model extends those results to adjustable rate loan contracts and examines the impact of covariance between the real interest rate and, in turn, real income and real asset values. Positive (negative) covariance between those terms shifts preference toward the adjustable (fixed) loan contract.     

Price Premium and Foreclosure Risk

Many previous studies identify loan, property, borrower and environmental factors that impact the probability of foreclosure. Implicit in these studies is the assumption that the property was purchased at fair value. We question this assumption based on several empirical findings regarding property value uncertainty. In contrast to previous research, we explicitly quantify the price premium from a hedonic pricing model. Using a comprehensive database of real estate transactions in Singapore during 1989–2000, we document a price premium associated with properties that are subsequently foreclosed based on actual sales transactions. In addition, we find that the premium paid at purchase significantly increases the probability of foreclosure. These results are robust and continue to hold after controlling for other property-specific factors, time-varying macroeconomic conditions, alternative model specifications and definitions of price premium.     

Reverse Mortgages: Contracting and Crossover Risk

A pricing model is developed for a reverse mortgage contract where the borrower receives payments either as a lump sum or in an annuity while the loan balance accumulates as a claim against the house. No underwriting criteria on income are applied. One risk of default is that the borrower will remain in the house after the negatively amortizing loan balance exceeds the value of the house. An explicit pricing model of the reverse mortgage permits the evaluation of this default "crossover" option. Alternative methods involving life insurance contracts and securitization are compared as secondary market channels.     

Multifamily Distress: A Case for National Action*

Among other reasons, controlling financial distress in the conventional multifamily sector is important because of the neighborhood destabilizing effects of partially occupied and vacant buildings and the potential lending cutbacks that could be made by financial intermediaries whose loan portfolios may contain substantial numbers of older, failing rental properties. This article develops the case for a heightened national concern for the importance of this inventory to the housing welfare of the nation, particularly lower income and minorities; and then by analyzing the known levels of distress in the FHA insured unsubsidized stock. Failure rates in this portion of the multifamily sector are sufficiently great to suggest that similar problems already plague the conventional market and that such distress should be of major policy interest. The final section propose the development of a multifamily research and demonstration program as a basis for national action.     

Estimating Loan‐to‐Value Distributions

We estimate a model of house prices, combined loan‐to‐value ratios (CLTVs) and trade and foreclosure behavior. House prices are only observed for traded properties and trades are endogenous, creating sample‐selection problems for existing approaches to estimating CLTVs. We use a Bayesian filtering procedure to recover the price path for individual properties and produce selection‐corrected estimates of historical CLTV distributions. Estimating our model with transactions of residential properties in Alameda, California, we find that 35% of single‐family homes are underwater, compared to 19% estimated by existing approaches. Our results reduce the index revision problem and have applications for pricing mortgage‐backed securities.     

Return, Risk and Cost of Equity for Stock S&L Firms: Theory and Empirical Results

This study examines the current deregulated environment for and the financial position of savings and loan associations. It is argued that in a less regulated, more competitive environment managers of savings and loan associations will have to become more proficient in using financial management techniques to assure the survival and the return to profitability of their associations. One aspect of financial management is a more careful estimation of and use of the cost of equity capital, especially for the increasing number of associations that have converted from mutual to stock organizations. Different approaches to the estimation of the cost of equity capital are discussed and monthly stock prices of 35 stock savings and loan associations are used to estimate representative costs of equity capital.     

银行信贷资金的分布与经济增长的关系研究

金融是一国最基本的战略资源,是经济发展的引擎,利用引擎的改变可以刺激其他要素,推动整个经济的发展。文章采用PanelData模型对1995年～2009年全国及省际经济增长与银行信贷资金分布的相关数据进行整理和分析,研究发现,从总体趋势上看,信贷资金分布与经济发展高度相关,贷款是推动区域经济增长的重要因素．但贷款对区域经济增长的贡献效率明显不同,存在不平衡性。因此,实现金融资源和风险的最优配置,建立一个高效、运行良好的金融体系至关重要。     

Analysis and design of microfinance services: A case of ROSCA

Rotating savings and credit association (ROSCA) is a well-known microfinance association widely used in many countries around the world with long histories. By considering extra profits that such a system can provide when compared to banking transactions, we develop optimization problems to achieve an optimal design of a ROSCA. We find that ROSCAs might attract investors when deposit and loan rates from formal banking systems are not favorable. Furthermore, optimal rates and optimal orders to maximize system outputs are reported.     

A Note on Identification of Discrimination in Mortgage Lending

This paper shows how reduced form estimates of discrimination in mortgage lending may be biased by race differences in loan demand. The result, which follows formally from the model of the mortgage lending process developed in the seminal paper by Maddala and Trost (1982), has important implications for the regulation of financial institutions. It also reinforces findings of Rachlis and Yezer (1993) and Yezer, Phillips and Trost (1994). A review of recent empirical evidence on race differences in loan demand suggests that this factor may help explain mortgage loan application differentials.     

中国西部地区金融发展支持经济增长的实证研究

文章从金融资产结构的角度(包括银行贷款、保险资产以及股票等)对西部地区1985~2010年的金融发展与经济增长的关系进行了实证研究,结论表明:保险市场对经济增长的推动作用不显著;股票市场对西部地区经济的贡献率仅为0.0834;银行贷款显著地促进了西部地区的经济增长,其中短期贷款的贡献最大;从贷款投向来看,工业贷款贡献率最大,其次是农业贷款,最后是第三产业贷款。结合本文实证结论,提出了优化和改善西部地区银行体系的信贷结构、继续增加对西部地区农业的有效资金投入、通过加大对第三产业授信规模来提高第三产业在国民经济中的比重、同时提高第三产业就业吸纳力等政策建议。     

Financial Literacy,Broker–Borrower Interaction and Mortgage Default

This article examines the relationship between broker–borrower interaction in the origination process and subsequent mortgage performance. I show that face‐to‐face interaction between a mortgage broker and borrower before the loan funds is associated with lower levels of ex post default. The relation between face‐to‐face broker–borrower interaction and mortgage performance holds only for borrowers that have characteristics associated with low levels of financial literacy. Specifically, face‐to‐face interaction is negatively related to default for minorities, borrowers located in areas with low levels of education, low‐income borrowers and borrowers with low FICO scores. My results suggest that face‐to‐face interaction between the mortgage broker and borrower may reduce problems associated with financial illiteracy.     

后疫情时代下新冠肺炎疫情对中国服务经济影响 ——基于多期双重差分模型的研究

本文使用中国31个省、直辖市和自治区2019年6月~2020年9月共16个月的月度面板数据,采用多期双重差分(DID)方法,分别就新冠肺炎疫情对服务业中的快递行业、金融行业、公路货运行业和进出口行业的影响展开分析,研究结果表明:疫情对快递行业和金融行业的影响有显著正向影响,对进出口企业和公路货运行业有显著负向影响。进一步,采用三重差分模型进行地区异质性与禀赋异质性检验后发现,疫情对东部地区的快递业影响不显著,对中西部地区的快递行业收入有显著正向影响;疫情对东部沿海地区的进出口总额有显著负向影响,对中西部进出口总额影响不显著;疫情对东部、中西部金融存贷款的影响均显著为正;疫情对东部地区公路货运量的影响显著为负,对中西部的影响显著为正。疫情与2019年卫生人员三重差分模型显示,对快递行业收入的影响显著为负;对公路货运量和进出口影响不显著;对金融存贷款影响显著为正。疫情与2019年人口资源禀赋三重差分模型显示,对快递行业收入、进出口总额和金融存贷款影响显著为正;对公路货运量影响不显著。     

Unobservable Risks in Mortgage Contract Choice

This study proposes a lifetime utility maximization model where borrowers choose optimal mortgage bundles including mortgage type, loan‐to‐value and loan size to maximize their allocation of limited budgets between housing and nonhousing consumptions. The model predicts that the mortgage bundle choices by borrowers of different income and risk attributes explain significant variations in the ex post default risks of the borrowers. The empirical tests using sampled mortgages pooled in nonagency residential mortgage backed securities support the hypothesis that the optimal choice of mortgage bundles reveals hidden risk factors of borrowers, which, if ignored, could lead to misjudgment of ex post default of borrowers.     

Is Selection Bias Inherent in Housing Transactions? An Equilibrium Approach

We develop an equilibrium model for residential housing transactions in an economy with houses that differ in their quality and households that differ in their planned holding horizon. We show that, in equilibrium, a clientele effect persists, with long‐horizon buyers overwhelmingly choosing higher quality properties and short‐horizon buyers settling for lower quality properties. This clientele effect creates a sample selection bias: the properties that are on the market are predominantly of lower quality. Since these are the preferred choice of short‐horizon buyers, they demonstrate a faster turnover. Both the clientele effect and the selection bias are more pronounced with an increase in the variance of house quality and in the variance of the planned holding horizon. Our theoretical model supports empirical evidence on the existence of such bias in home price indices and explains it by the differences in ex ante holding horizons.     

Down Payment Saving in the United States: Evidence from the Panel Study of Income Dynamics

We present a model of household saving toward a mortgage loan under an exogenous down payment requirement and preference for owning over renting. Our model explains a set of empirical observations such as the dual effect in the form of some households, in response to higher down payments, becoming discouraged savers while those who do not abandon purchasing plans save more. We also employ instrumental variable‐based methods to investigate the down payment saving behavior of first‐time home buyers in the United States. The empirical results based on Panel Study of Income Dynamics (PSID) data support the inelastic down payment elasticity of saving implied by our model.