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우리나라 가계부채의 연체결정요인 및 취약성 연구

A Study of the Delinquency Decision Factors and Vulnerability of the Korean Households with Debts

금융연구 v.28 no.2 , 2014년, pp.137 - 178  
이동걸, 전성인, 정재욱, 변동준

The academic contributions of this study on the Korean household’sdebt are as follows. First, we rearranged the financial data from an individualaccount level to a household level. This is the first attempt in Korea toanalyze an individual debt on a household level, while the previous studieswere solely based on the individual account level. Second, to overcome thelack of data issue of previous studies, we employed the data (approximately14 million households) from ‘Korea Credit Bureau,’where the company collectsthe financial transaction data of all individuals in Korea. Third, to analyzethe effect of assets on Korean household’s debt, we combined the financialtransaction data with the household’s real estate data from ‘Real Estate114.’where the company provides all real estate information in Korea fromindividuals to commercials. Fourth, to reflect the fact that the differenttypes of loans have their own unique characteristics and various reasonsfor delinquency, we estimated the delinquency decision model for indebthouseholds by the level of income, after differentiating mortgage loans fromcredit loans. Fifth, to measure the potential loss amounts of the financialcompanies and to evaluate the probability of financial system risk, weexercised the stress tests with three different scenarios using the defaultestimation model. First of all, we observed some important findings from the delinquencydecision model. First, regardless of loan type and income level, household’scredit rating, DSR (debt to service ratio), and the ratio of non-bankingfinancial sector’s loan to total are the statistically significant predictors of the household’s delinquency. In particular, household’s credit rating isclosely related to the household’s delinquency as well as the individual’sown. Second, in low and mid income groups among households with mortgageloans, additional credit loans lower the delinquency rate of mortgage loansin the short run. It is because that, in these groups, the additional creditloans seems to act as additional liquidity. In fact, when financial companiesreduced newly originated loans after the financial crisis in 2008, thedelinquency rate of low to mid income borrowers increased greatly. Third,a larger initial loan leads to greater delinquency rate, only among mid tohigh income households with mortgage loans. The low income group hashigher risk even with the small size of initial loan, because the majorityof group owns short-term and full principal payment loans. Fourth, in lowincome group with credit loans, younger borrowers show a greater delinquencyrate. This phenomenon can be explained by the younger consumer's tendencyto take out expensive card loans which is caused by greater consumptionto income ratio compared to other age groups. Fifth, among low incomehouseholds with credit loans, those who live in rural area show a relativelyhigher ratio of loans originated from the non-banking financial sector,and thus a high delinquency rate that is similar to the low income in urbanarea. Next, according to the stress tests with various scenarios, systemicrisk in the financial sector seems highly unlikely to happen, unless an ultimateand extreme economic shock occurs. In the mean time, current statisticsshow that approximately 2 million households (about 25% of the total numberof households) are in financially deficit due to debt repayments, and about1.3 million households spend more than 40% of their income for debtrepayments. Such serious households debt problems can be a potential riskto the financial companies as well as the Korean economy in the future. In particular, it seems desirable that financial companies should closelyand constantly monitor financially fragile households. In addition, sinceconsumer protection is rapidly emerging as an important issue, financialcompanies should consider to take various measures to help financially fragilehouseholds with timely and properly restructuring th...

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