Table 6 Results of cox proportional...

Table 6

Results of cox proportional hazard regressions by periods

	1	2	3	4	5	6 (A)	6 (B)
Model A: Monthly average Δhouse price (%)
Loan rate	–	–	–	–	–	–	0.576^***
Monthly averaged spread (%)	9.011^***	11.331^***	18.119^***	34.288^***	5.610^***	−14.790^***	–
Monthly average Δhouse price (%)	1.432^***	−0.954^***	0.515^***	0.345^***	1.673^***	1.006^***	0.949^***
CLTV	0.051^***	0.008^***	0.014^***	0.009^***	0.025^***	0.018^***	0.019^***
DTI	0.008^***	0.002^**	0.002^***	0.003^***	−0.002^***	−0.004^***	−0.002^***
Relative loan amount ratio	−0.186^***	−0.052^***	0.212^***	0.108^***	−0.053^***	−0.188^***	−0.184^***
Grade 7 or higher (%)	0.040	0.101ㅍ	−0.112^***	−0.248^***	−0.171^***	0.017	−0.069^**
Loan maturity	−0.065^***	−0.019^***	−0.023^***	−0.032^***	−0.021^***	−0.016^***	−0.025^***
Borrower age	−0.009^***	−0.015^***	−0.013^***	−0.014^***	−0.000	0.000	−0.004^***
LR	114,971	111,572	151,996	255,204	575,333	1,170,863	1,180,556
30 yr Maturity(D)	−0.724^***	−0.152^***	−0.237^***	−0.380^***	−0.257^***	−0.186^***	−0.305^***
Young borrower (D)	0.098^***	0.178^***	0.183^***	0.205^***	0.003	−0.016^*	0.084^***
Model B: Δexpected house price (%)
Loan rate	–	–	–	–	–	–	0.464^***
Monthly averaged spread (%)	8.624^***	11.713^***	17.976^***	33.999^***	3.507^***	−13.916^***	–
ΔExpected house price (%)	13.972^***	−4.266^***	7.310^***	6.440^***	15.720^***	17.867^***	17.709^***
CLTV	0.034^***	0.010^***	0.014^***	0.009^***	0.025^***	0.025^***	0.026^**
DTI	0.007^***	0.002^***	0.003^***	0.003^***	−0.002^***	−0.006^***	−0.005^***
Relative loan amount ratio	0.019	−0.046^**	0.253^***	0.113^***	−0.092^***	−0.258^***	−0.255^***
Grade 7 or higher (%)	0.039	0.087^**	−0.138^***	−0.240^***	−0.176^***	0.021	−0.055^*
Loan maturity	−0.478^***	−0.021^***	−0.025^***	−0.033^***	−0.019^***	−0.019^***	−0.028^***
Borrower age	−0.013^***	−0.015^***	−0.010^***	−0.015^***	−0.000	0.001^*	−0.003^***
LR	114,637	111,813	150,928	254,760	573,912	1,157,622	1,166,898
30 yr Maturity (D)	−0.478^***	−0.160^***	−0.232^***	−0.397^***	−0.228^***	−0.227^***	−0.335^***
Young borrower (D)	0.145^***	0.181^***	0.151^***	0.208^***	0.004	−0.029^***	0.060^***

	1	2	3	4	5	6 (A)	6 (B)
Model A: Monthly average Δhouse price (%)
Loan rate	–	–	–	–	–	–	0.576^***
Monthly averaged spread (%)	9.011^***	11.331^***	18.119^***	34.288^***	5.610^***	−14.790^***	–
Monthly average Δhouse price (%)	1.432^***	−0.954^***	0.515^***	0.345^***	1.673^***	1.006^***	0.949^***
CLTV	0.051^***	0.008^***	0.014^***	0.009^***	0.025^***	0.018^***	0.019^***
DTI	0.008^***	0.002^**	0.002^***	0.003^***	−0.002^***	−0.004^***	−0.002^***
Relative loan amount ratio	−0.186^***	−0.052^***	0.212^***	0.108^***	−0.053^***	−0.188^***	−0.184^***
Grade 7 or higher (%)	0.040	0.101ㅍ	−0.112^***	−0.248^***	−0.171^***	0.017	−0.069^**
Loan maturity	−0.065^***	−0.019^***	−0.023^***	−0.032^***	−0.021^***	−0.016^***	−0.025^***
Borrower age	−0.009^***	−0.015^***	−0.013^***	−0.014^***	−0.000	0.000	−0.004^***
LR	114,971	111,572	151,996	255,204	575,333	1,170,863	1,180,556
30 yr Maturity(D)	−0.724^***	−0.152^***	−0.237^***	−0.380^***	−0.257^***	−0.186^***	−0.305^***
Young borrower (D)	0.098^***	0.178^***	0.183^***	0.205^***	0.003	−0.016^*	0.084^***
Model B: Δexpected house price (%)
Loan rate	–	–	–	–	–	–	0.464^***
Monthly averaged spread (%)	8.624^***	11.713^***	17.976^***	33.999^***	3.507^***	−13.916^***	–
ΔExpected house price (%)	13.972^***	−4.266^***	7.310^***	6.440^***	15.720^***	17.867^***	17.709^***
CLTV	0.034^***	0.010^***	0.014^***	0.009^***	0.025^***	0.025^***	0.026^**
DTI	0.007^***	0.002^***	0.003^***	0.003^***	−0.002^***	−0.006^***	−0.005^***
Relative loan amount ratio	0.019	−0.046^**	0.253^***	0.113^***	−0.092^***	−0.258^***	−0.255^***
Grade 7 or higher (%)	0.039	0.087^**	−0.138^***	−0.240^***	−0.176^***	0.021	−0.055^*
Loan maturity	−0.478^***	−0.021^***	−0.025^***	−0.033^***	−0.019^***	−0.019^***	−0.028^***
Borrower age	−0.013^***	−0.015^***	−0.010^***	−0.015^***	−0.000	0.001^*	−0.003^***
LR	114,637	111,813	150,928	254,760	573,912	1,157,622	1,166,898
30 yr Maturity (D)	−0.478^***	−0.160^***	−0.232^***	−0.397^***	−0.228^***	−0.227^***	−0.335^***
Young borrower (D)	0.145^***	0.181^***	0.151^***	0.208^***	0.004	−0.029^***	0.060^***

Note(s): The table reports the results of Cox proportional hazard regressions of six subperiods. The dependent variable is the elapsed period until prepayment. All variables are described in Section 4. 1. Key variables in Model A and Model B are Monthly average Δhouse price (%) and ΔExpected house price (%), both of which are obtained from the REB database. The data of loan and borrower characteristics are obtained from HF. The z-statistics not reported are adjusted for heteroskedasticity. ***, ** and * denote statistical significance at the 1, 5 and 10% levels, respectively

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