국내 기준금리 변동이 MBS(Mortgage-Backed Securities) 발행금리에 미치는 영향

Abstract

This study examines whether the change in base rate affects the initial yield spread of mortgage-backed securities in Korea. We classify the whole period into increase or decrease base rate periods and we analyze which factors such as macroeconomic conditions, bond and housing market factors, and mortgage-backed securities (MBS) characteristics mainly affect the MBS initial yield spread. We find that the leading economic index positively (negatively) affects MBS initial yield spread during the increase (decrease) base rate period. In addition, MBS initial yield spread is negatively influenced by an increase in demand for other bonds issued by state sponsored enterprises or the increase of mortgages under the increased base rate period. We also identify the different effects by the MBS maturity. The MBS under 3-year maturity shows similar effects to the total MBS. However, the MBS over 5-year maturity is affected by only the bond market factors such as the demand for other bonds issued by state sponsored enterprise. Overall, MBS initial yield spread is differently affected by the trend of base rate. Therefore, it is necessary to consider macroeconomic conditions or the bond market to issue MBS under favorable conditions.