Dynamic Analysis of Defaults and Prepayments in the Turkish Mortgage Market

Year 2019, Volume: 27 Issue: 39, 39 - 54, 31.01.2019

Yusuf Varlı , Gökhan Övenç

https://doi.org/10.17233/sosyoekonomi.2019.01.02

Abstract

We analyze the determinants of default and prepayment in the Turkish mortgage market by utilizing data obtained from a large commercial bank. Our main findings suggest that default is positively affected by a high loan to value ratio and term length of mortgages, and negatively affected by certain quantitative easing periods, good expectations regarding the future, the ratio of real house prices to the size of the economy and mortgage customer’s high school and above level of education and being married. The probability of prepayment rises with the increase in variables such as the gain ratio due to prepayment, high school and above level of education of the mortgage customer, size of the GDP and the ratio of real house prices to GDP. We also find that the likelihoods of both the cases of default and prepayment are locally maximized when nearly 60% of the term is reached.

Keywords

Mortgage, Default, Prepayment, Dynamic Analysis, Logistic Regression

Türkiye Mortgage Piyasasındaki Temerrütlerin ve Erken Ödemelerin Dinamik Analizi

Abstract

Bu çalışmada, Türkiye mortgage piyasasındaki temerrüt ve erken ödemelerin belirleyicileri, ticari bir bankadan temin edilen veriler kullanılarak, analiz edilmektedir. Temel bulgularımız göstermektedir ki; borç-değer rasyosunun ve mortgage kredisi vadesinin yükselmesi temerrüt olasılığını arttırıcı etkide bulunmaktayken, bu olasılığı azaltıcı temel etkenler ise bazı parasal genişleme dönemleri, geleceğe dair iyi beklentiler, reel konut fiyatlarının ekonomik büyüklüğe oranı ve mortgage kredisi müşterisinin lise ve üstü eğitim seviyesine sahip ve evli olmasıdır. Erken ödeme olasılığı ise erken ödemeden kaynaklı kazanç oranı, mortgage müşterisinin lise ve üstü eğitim düzeyi, GSYH büyüklüğü ve reel konut fiyatlarının GSYH’ye oranı değişkenlerindeki artış ile yükselmektedir. Makalede ayrıca, vadenin yaklaşık %60’ına ulaşıldığında hem temerrüt hem de erken ödeme olasılıklarının en üst düzeye çıktığı bulunmuştur.

Keywords

Mortgage Kredisi, Temerrüt, Erken Ödeme, Dinamik Analiz, Lojistik Regresyon

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