Determinants of bank and non-bank household loans and short-and long-horizon forecast
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Lee, C.-H. | - |
dc.contributor.author | Kang, K.-H. | - |
dc.contributor.author | Mok, J. | - |
dc.date.accessioned | 2021-09-02T20:19:04Z | - |
dc.date.available | 2021-09-02T20:19:04Z | - |
dc.date.created | 2021-06-17 | - |
dc.date.issued | 2018 | - |
dc.identifier.issn | 1229-2893 | - |
dc.identifier.uri | https://scholar.korea.ac.kr/handle/2021.sw.korea/80411 | - |
dc.description.abstract | The instability of the financial system is likely to occur when particular types of loans surge rather than all types of loans surge at the same time. A preemptive policy response requires a monitoring system based on forecasts by different loan types. The purpose of this study is to forecast household loans by categorizing into four types: bank mortgage loan, bank credit loan, non-bank mortgage loan, and non-bank credit loan. Given the fact that there are numerous determinants and forecasting models for household loans, and that the determinants differ depending on the type of household loans, this study sets out the density forecasting algorithm based on Bayesian Machine Learning. which consists of a variable learning process, a model learning process, and a forecasting combination process. We find bank mortgage loans are largely predicted by the loan rates, the volume of apartments to be moved in, and the number of apartment units to be sold. while the key determinants of bank credit loans are the employment rate and Jeon-se price index. On the other hand, the non-bank mortgage loans are largely determined by the loan rates and the ratio of apartment sales prices relative to Jeon-se prices. The non-bank credit loans are also influenced by not only the employment rate and the Jeon-se price index but also stock returns. © 2018, Korean Econometric Society. All rights reserved. | - |
dc.language | English | - |
dc.language.iso | en | - |
dc.publisher | Korean Econometric Society | - |
dc.title | Determinants of bank and non-bank household loans and short-and long-horizon forecast | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | Kang, K.-H. | - |
dc.identifier.scopusid | 2-s2.0-85059159088 | - |
dc.identifier.bibliographicCitation | Journal of Economic Theory and Econometrics, v.29, no.3, pp.23 - 57 | - |
dc.relation.isPartOf | Journal of Economic Theory and Econometrics | - |
dc.citation.title | Journal of Economic Theory and Econometrics | - |
dc.citation.volume | 29 | - |
dc.citation.number | 3 | - |
dc.citation.startPage | 23 | - |
dc.citation.endPage | 57 | - |
dc.type.rims | ART | - |
dc.type.docType | Article | - |
dc.identifier.kciid | ART002389131 | - |
dc.description.journalClass | 1 | - |
dc.description.journalRegisteredClass | scopus | - |
dc.description.journalRegisteredClass | kci | - |
dc.subject.keywordAuthor | Bank Loan | - |
dc.subject.keywordAuthor | Non-bank Loan | - |
dc.subject.keywordAuthor | Variable Selection | - |
dc.subject.keywordAuthor | Model Selection | - |
dc.subject.keywordAuthor | 은행권 대출 | - |
dc.subject.keywordAuthor | 비은행권 대출 | - |
dc.subject.keywordAuthor | 변수 선택 | - |
dc.subject.keywordAuthor | 모형 선택 | - |
Items in ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.
(02841) 서울특별시 성북구 안암로 14502-3290-1114
COPYRIGHT © 2021 Korea University. All Rights Reserved.
Certain data included herein are derived from the © Web of Science of Clarivate Analytics. All rights reserved.
You may not copy or re-distribute this material in whole or in part without the prior written consent of Clarivate Analytics.