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首页美国消费者房贷提前偿还行为的双选择回归分析
美国消费者房贷提前偿还行为的双选择回归分析
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更新于2024-09-03
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本文《美国消费者房贷提前偿还行为》由Tingting Ji撰写,她作为金融风险管理经理,专注于KPMG律师事务所的风险咨询服务。论文采用了二元选择回归法来解析美国消费者在购房贷款市场中的提前偿还款项的行为。研究依赖于密歇根大学进行的收入动态面板研究数据,该数据追踪了超过6000户代表性的美国家庭长达12年的房贷偿还行为和收入变动情况。 论文的核心目标是探究动态住房价值如何影响房贷提前偿还决策。作者创新性地引入了一种在二元选择回归模型中计算的协方差测量方法,这种方法能够捕捉到动态房价与家庭收入之间的交互效应。通过这种方法,研究发现即使在拥有房贷的情况下,拥有房产对消费者的总体投资组合风险仍具有多元化作用。 关键词包括房贷提前偿还款项预测、二元选择回归法,以及其在分析个人财务决策中的重要性。论文开头指出,除了储蓄账户外,自住房产是美国居民最大的资产,因此房贷市场的任何变化都会对整个经济产生显著影响。通过对消费者提前偿还款项行为的深入分析,该研究有助于金融机构制定更精确的风险管理策略,并为政策制定者提供关于房地产市场波动如何影响消费者行为的关键见解。 通过实证分析,论文揭示了市场条件、利率波动、就业稳定性等因素如何影响个体是否选择提前偿还房贷,这对于理解个人金融决策背后的复杂动机以及预测潜在的经济趋势至关重要。这篇文章为理解美国经济中消费者房贷行为提供了深入的理论框架和实证证据,对于金融理论和实践具有重要的参考价值。
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2
in the previous literature is to regress )ln(ln
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estimates of
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.
This paper adopts a slightly different approach and treats the problem as a sample selection issue as
described in Heckman (1979). In this selection process, a household with a zero income event is included
if and only if the household can earn positive wage income. Moreover, because the regression in equation
(1) actually involves the selection of both
it
w
and
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w , this is actually a bivariate sample selection issue.
To address this problem, I first run a bivariate-choice regression model to estimate the probability of
earning positive income in both years t and t-1 for each household and then calculate their inverse mills
ratios by using the bivariate cumulative distribution function and bivariate probability density function.
Then I pool all households in all of the sample years and estimate the log difference of labor income using a
random effect model, with the variables from the standard human capital model as independent variables,
together with the two inverse mills ratios calculated from the bivariate probit model to adjust for sample
selection.
The predicted values and residuals can be easily obtained for these households from the above random
effect estimation. The residuals
it
e are used to calculate the covariance between income risks and house
prices. The empirical estimation in the paper also controls for expected income and income risks. They are
calculated as the following:
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and
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dividend reinvestment for the S&P500. Note that for those families with zero labor income, I add $1 so
they have zero log labor income, since doing this will not change the results.
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it
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is the self-reported house value. Previous
researchers have used different measures of the “return” to housing investments and treat housing as an
http://www.paper.edu.cn
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