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House Prices and Household Debt Defaults : Focusing on Individual Borrower Data

  • Yunsung Eom
  • Hosung Jung
This study analyzes the effect of house prices on the insolvency of household debt after controlling for the individual characteristics of household debt using micro data on household debt. We analyze household debt by dividing it into self-employed loans and non-business loans, and analyze the default rate by dividing it into credit rating, income, and income/loan ratio. Additionally, the effect of housing prices on the household debt default rate before and after the real estate deregulation policy is analyzed. Also, unlike previous studies using a single real estate price index, the effect of regional housing prices on the household debt default rate is analyzed using the regional real estate price index. This study differs from previous studies in that it analyzes 582,949 borrowers¡¯ information for the past 22 quarters (from March 2012 to June 2017) using the Bank of Korea household debt DB. The representativeness of the sample and the reliability of the analysis result can be guaranteed in that the sample was drawn from all borrowers rather than some financial companies or some loan information. Previous research mainly uses a single real estate price index or real estate price index in major cities, so in most cases, regional real estate price differences are not considered. This study differs from previous studies in that it uses housing prices based on city/gun/gu standards. The main results are as follows. First, the housing price has a significant negative (-) effect on the household debt default rate. It has been confirmed that if the house price rises, the default rate of household debt in the next quarter will decrease, but if the house price falls, the default rate of household debt in the next quarter will rise. Despite the recent continuous increase in household debt, the stable trend of the default rate of household loans appears to be largely due to the rise in housing prices. However, if housing prices fall in the future, the risk of household debt may increase, raising the need for preemptive management by policy authorities. Second, the housing price has a significant effect on the household debt default rate of non-business owners, low-credit and low-income borrowers with low financial access, and borrowers with a small income/loan ratio. These results are consistent with the research results of Mian and Sufi (2011), who show that house prices have an effect on the household debt default rate through credit channels due to an increase in credit supply independent of individual income growth. In particular, the effect of house price on the household debt default rate is clearly observed in the low-credit and low-income group, consistent with the findings of Mueller and Yannelis (2019), and the household debt risk of low-credit borrowers and low-income borrowers. Finally, after the real estate deregulation policy was implemented, the effect of house price on the household debt default rate was significant. Since the real estate deregulation policy was implemented in July 2014, the expansion of credit supply by financial institutions and the rise in housing prices show that the household debt default rate has been significantly lowered. Therefore, fluctuations in the credit supply of financial institutions are the main path that housing prices affect the household debt default rate. If house prices drop sharply, the problem of system risk in the financial market due to bankruptcy of vulnerable groups is expected to be serious. Therefore, this study provides implications for a preemptive countermeasure against the risk of household debt of financial institutions and the system risk of the financial market due to household debt default.
Househod Debt,HouSe Price,Default Probability,Insolvency,HouseholD Loan