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Mortgage lending and credit risk: Micro-level data analysis
Vachušková, Karolína ; Geršl, Adam (advisor) ; Jakubík, Petr (referee)
This thesis examines the effects of the debt service-to-income ratio (DSTI), debt-to-income ratio (DTI), and loan-to-value ratio (LTV) on credit risk. The dataset includes monthly loan-level data from around 250 thousand mortgages in the Czech Republic from July 2013 to July 2023. Using logit regressions, we confirm a positive effect of the level of DSTI, DTI and LTV on loan delinquency. Furthermore, we discover that the effects of these key lending variables are heterogeneous depending on the income and wealth classes as well as on the region of the client. Other explanatory variables align with general assumptions: a higher level of education, number of co-debtors, and GDP growth reduces the risk, whereas a higher interest rate increases the probability of delinquency. The thesis contributes to the debate on how effective macroprudential policy instruments using caps on DTI, DSTI and LTV are at employing a unique dataset. Keywords mortgage loans, credit risk, DSTI, LTV, microdata, Czech banking sector 1
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Dopady regulací na trh spotřebitelských úvěrů na bydlení
Vinklárek, Filip
Diploma thesis focus on the regulation of consumer housing loans market. Based on the analysis of the consumer housing loans market in the European Un-ion, the main regulations and factors affecting this market are identified. Panel data analysis is available to determine the effects of regulation and factors on mortgage lending. The explained variable is the growth of mortgage loans. The explanatory variables are macroeconomic factors and macroprudential policy in-struments. Results showing effects of macro-prudential instruments on the con-sumer housing loans market.
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Dopady regulácií na trh spotrebiteľských úverov na bývanie
Vasiľková, Erika
The diploma thesis deals with an increasing demand for real estate loans, which support the increase of prices on the housing market. As a consequence of this, systemic risk grows, which causes that financial stability is unstable. By means of regressive analysis of panel data we try to find out the efficacy of macro-prudential tolls on increasing demand for real estate loans. Increase of real estate loans was chosen as a described factor, as well as macro-prudential tools and macro-economic indicators. The analysed data in the research come from the first quarter of 2006 until the fourth quarter of 2017. Time series are covered quar-terly. Eight countries of the European union were chosen as a sample for the analysis.
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Vyhodnocení dopadu doporučení ČNB na spotřebitele využívajícího účelového úvěru na bydlení
Benáček, Aleš
Goal of this thesis is to gain perspective on the change of situation of con-sumer that uses loans purposed for securing own housing based on recom-mendations by Czech National Bank for providers of these loans. In order to achieve this goal, author will use method of description to sum-up the theo-ry and current situation on the loan market. In the next part, author will try to simulate the situation of the household of two consumers with income on the level of median wage, which wants to use the housing-purposed loan, and how its ability to take certain amount of money and its purchasing power have changed in the last five years. Author will interpret findings of his empirical analysis and suggest possible solution which could improve current state of the matter.
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