ISSN 1975-667 13.
13.
1 8 6 1 8 6 5
1.6 5 6.7 3.7 65.5 9. 1 5.5 5 16 1 13 136 16 1 8 8 35 3 95 9 5 85 6
5..5 5..5 1 8 1 8.. 6 6 6 3 3 7 7 5 3 1 1 1 18 18 7
1 9 6 1 9 6 15 1 15 1 3 3 5 5-3 -3-6 -6 9.1% 8.5% 5.9% -5-1 3-5 -1 3 3.%.9%.7% 1 1 1.%.1% 8
15 16 13. 1. 76.8 15. 11.6 73. 6.6 7.5 5.9 3. 3. 53. 5.7.5.8 5.9 3.1.. 16.1 59.9 7. 1.5 51.3 6. 3.8 1. 68.6.8 6.6 1 5 1 1 65 65 61.7 3 3 55 55 51.1 1 5 5 1 1 35 35 5 5-1 -1 15 15 9
3 1 3 1 6 5.7 5.6.7 3.9 3. 37. 36.7 37.7 38.5 38.9 36 36 38 6 38 8 6 85 7 6 5 55 5 8 8 83 8 81 15 1 5 59 57 55 53 1
3 1 1..5 35 3 5 1..8. -1.. 8 6 8 6 3 6 1 11
6 5 6 5 15 15 18 1 1 3 1 5 5 1 - - -6-8 -1-7.1-9. -1. -.3 - - -6-8 -1 6 5 3 1 16 1 8 1
6 6 5 3 1 6 5 3 5.5 1 1 9 6 6.5 8 3.5 6 3.5 13
,5 3 11 9 6 5, 7 1 5 3 1,5 3 3,5 3, 1, 1, 1, 16 1 8 1,6 1, 8,5 8, 1,5 6 - - 1
15
16
17
18
-1 1 75 89. 8. 73. 91.9 1 75 5 57.8 56.7 53.3 5. 5 5 1.9 1.6 5 19
6 6 7.8.% 3.3 7.8. 1.1
16 16 1 13 136 1 16 1 8 16 1 8 8 8 - - 3
15 1 15 1 3 85 75 5 5 1 65 5 8 5 15 6 1 5
3 1 1-6 6. 1.5. 1.5 1. 1..5.5.. 5 5 15 15 1 1 5 5 5
3 3 1.6 5 6.7 3.7 1 5.5 65.5 9. 5 1 3 1 1..6. 1 -. 6
1 1 1 1 1 1 6 5 3 1 8 6 8 6 1..8 1 8 6.. 7
5 1 1 35 95 3 1 8 6 3 9 5 85 8
3 3 5. 5. 1 1.5..5. 16 7 1 6 5 9
-1 5 9 8 7 6 5-1 3 1 1 8 6 1 8 6 5 3 1 5 3 1 3
3 5 8 1 1 6 1 8 8 15 6 6 1-1 5 - -3 31
5 35 3 5 1 8 6 1.3 1. 55 35 55 1.1 15 15 35 5 3 5 3 3 3 3 3 1 1 1 1 1 1 3
8 6 8 6 1 1 1 1 5 1 1 1 1 3 8 8 8 8 35 6 6 6 6 1 3 33
i HP i HP i LTV i = Loan i + i /HP i Loan i i k i = I(LTV i >7) k i LTV i log(p i /(1-p i )) = f(ltv i X i ), log(p 7 i /(1-p 7 i )) = f(k i X i ) LTV i k i p i LTV i p 7 i LTV i s i p i p 7 i X i log(d i /(1-d i )) = h(s i X i ) d i s i VAR(5) = g(δaverage LTV, Δshare K t, Δaverage S, Δaverage D, Δhp ) (t) average LTV = [(Loan i / Loan i )LTV i ]share K = [(Loan i / Loan i )k i ] average S = [(Loan i / Loan i )s i ]average D = [(Loan i / Loan i )d i ]hp p i p 7 i s i 3
3..5. 8 6 6 55 5 5 35 33 31 9 7 5 3 1 1-1 - 35
1 8 6 1 8 6 1 1 8 8 6 6 36
3 3 7 7 1 18 1 18 1 1 1 1 9 9 8 8 8 8 6 6 7 7 6 6 37
9.1% 1 9 6 1 9 6 1.% 3.%.9%.7%.1% 5.9% 8.5% 3 3-3 -3-6 -6 11% 18% 6% 5% 71% 57% 38
,5, 1,5 1, 5 3 3 5 15 5 5 15 1 3 5 3 1 15 1 5 18 16 68 15 39
11 1 38 38 36 36 3 3 3 3 1 9 6 3-3 -6 11.5 9..3 9.3 -.9 1 5.5 9 6 3-3 -6
5 5 15 1 5-5 15 1 5-5 15 1 15 1 5 5-5 -5-1 -1 1 9 8 7 8 6 6-5 - 1
3 3 1 1 8 16 7 1 6 8 5
55 5 8 6 5 1 1 8 16 6 3 1 6 1 8 - - -1 - - -6-8 -1-3 - -5 5
16 1 1 16 1 1 1 1 8 6 3 8 6 8 6 1 6
3. 1 9 6 3 1.8 1..6 1-1 - 1.5 1..5.. 7
7 6 5 3 1 15 15 5 1 1 15 15 5 5 1 1 5 5 8
8 65 65 5 13. 1. 76.8 15. 11.6 73.. 16.1 59.9 6.6 7.5 5.9 7. 1.5 51.3 5 35 3. 3. 53. 5.7.5.8 5.9 3.1. 6. 3.8 1. 68.6.8 6.6 9
65 65 61.7 3 3 55 51.1 55 5 5 1 1 35 35 5 5-1 -1 15 15 6 5.7 5.6.7 6 3 1 3 1 37. 36.7 37.7 3.9 3. 38.5 38.9 36 36 38 38 5
8 75 7 65 35 3 5 6 15 59 57 1 5 55 53 51
1 3 3 3 1.6 1..8..3..1 8 5.. 1 1 5
1 1 8 3 5 6 3 15-15 15 8 6 85 7 55 8 83-3 6 8 81 5 5 8 53
-1 5
8 8 8 8 7 7 7 7 6 6 6 6 5 5 5 5 3 3 3 3 8 7 6 5 3 8 7 6 5 3 8 7 6 5 3 8 7 6 5 3 55
8 8 1 1 6 6 8 8 6 6 56
- Y NOND NONI LGDP D Γ, Λ X Z GDPgInfHg 57
.19**.57***.6.176***.* -.99***.*** -.833***.19**.978*** -.898 18.373*** -.15*** 1.599*** -.6** 1.5*** -. 1.3*** -.13-1.9*** -6.96***.935-3.66***.691*** -1.81***.68***.3*** -.9*** 58
5 5 5 16 1 3 1 3 1 3 1 1 8-1 -1 1 6 59
5 85 8 3 75 7 1 65 1 8 6 35 3 5 15 1 3 1. 1-1.5. 6
1 1 8 6 1 1. 1 8 6 3.7 1 8 3 6 1 16 18. 1 16 115. 1 13. 8 8 61
8 6 8 6 5 3 1 8 6-1 - 6
9 1 11(A) 1(B) B-A.3.5.56. -.3. 1. -1.6.8 1.7 3). 1..5.17 -.37 63
1 1 8 8 6 6 15 1 5 15 1 5 6
8. 1. 6..8..... 1 5 1..5 6.5 1 6.. 8 15 5.5 -.5 6 1-1. 5. 65
3 5 15 1 5 35 3 5.1. 6. 5.5 15 -.1 5. -..5 -.3. 66
15 1 1 8 9 6 6 1.5 1..95 1.5 1..95 3.9.9.85.85.8.75.8.75 75 6 39 5 3 15 38 37 36 35 67
1 1 8 6 8 6 1 1 8 8 6 6 68
3 3 3 6 1 1 1-1 -1 69
3 1 5 3 1.7 1. 1.7..7 3. 3.7 3..5. 1.5 1..5. 7
5 5 3 1 19 3 1 3 3 17 1 1 15-1 71
6 5 6 18 3 1 1 7
9 9 69.1 6.8 6 6 9. 39.5.8 3. 37.1 3.1 3 3 -. -8.5-3 -3 1 9 59.1 6 3 3.3 1.7 9. 1.5 1.7 8 6 73
-1. - - -.3-7.1 - - -6-8 -1-9. -6-8 -1 3. 6 6 3 1 6.5 9..3 1.1 13.1 3 1 - - - - -6-6 -8-8 -1-1 7
-8-6 - - -.5 -.7-1.3-3. -.5.8.7-8 -6 - - 16 1 8 1 11.8 8 9.7 6 16 1 3.8 9.7. 3 5.5 19.9 3. 8 1 75
1 8 58.1 65 16 1 58.6 8 6 6 55. 55 8 5. 5 35 76
6 6 3..3 5.1.3.. - - 11. 1.1 1. - - -6-6. 33.3 3. 76.9 5 15 1 1.6 15. 15 1 5 6. 1.5 5 77
-3 5 5 15 15 1 1 5 5-5 -5-1 -1 78
1 8 6 79
5 1 8 3 6 1 18 15 18 15 1 9 1 9 6 3 6 3 8
3 5 85 15 75 65 55 5 5 5 5 8 6 5 5 5 8 6 7 6 5 3 1 7 6 5 3 1 3 1 81
18 1 1 1 8 6 8
- 6 5 3 1 11 1 9 7 8 6 5 3 1-1 16 1 8 83
8 1,6 6 1, 8 1 8 6 5 15 1 5 8
1, 8.5, 6 1,5 1, 6 5 6 5 5 3 3 85
15 1 1 8 3.5.8 1 8 9 6.1 6 6 1. 3.7. 86
3 5 15 1 5 3 5 15 1 5.5 7. 1.5 1..5 6 5 3. 87
6 6 1 8 6 1, 8 6 88
7 6 5 7 6 5 8 13 11 3 3 9 7 1 3 1 1 3 1-5 -8 3-1 - -3-3 -1-89
1 1 8 8 6 6, 1,1 1 1,8 1,5 1 8 1, 9 37 3 31 8 5-1 6 8 - -8 9
1,8 1,8 1,6 1,6 1, 1, 1, 1, 1, 1, 8 8 1 1 8 8 - - 1 1-8 -8 8 8-1 -1 6 6 91
1 1 5.5 1 8 8.5 8 6 6 3.5 6.5 5 6 5 3 3 1 1 1 1 8 6 8 6 9
1 33 9 6 3. 9.. 3.3 55 18 15 3 173 151 165 17 9 6 6 3 93
3 1-1 - - 3 1-1 6 8 6 5 3 5 15 5-5 1-3 -15 8-5 -5 9
,5, 3 1 1,5 95
-5 1 8 6-1 8 6-96
8 8 6-6 5 3 1-1 5 3 1-1 97
5 5 3 3 3 3 1 1 1 1-1 -1 - - -1-1 -3-3 98
3,5 3,,5, 1, 1, 1, 8 6 1, 1,5 1-1 7 1 - - -5-3 -8 99
11 9 7 5 3 6 5 3 5 5 15 1 5 15 1 8 6-6 5 6 - - 1
9 9 6 3 6 3-3 -3 16 1 8 1,6 1, 8 - - 11
-6 1
.5.5.5... -.5 -.5 -.5-1. -1. -1. -1.5-1.5-1.5 -. -. -. -.55 -.5 -.1 -.53 -.51 -.3 13
.5.5.5... -.5 -.5 -.5-1. -1. -1. -.5 -.33 -. -.3 -.8 -. 1
-7 6 5 3 6 5 3 8 6 1 1 8 6 3 5 15 1 3 5 15 1 1 1 5 5 15
(1) () (3) () (5) (6) (7) (8) 53.39* 3.8* (1.78) (8.31) 1.75* 11.8* (6.89) (3.55) 16.9* 9.1* (5.79) (3.1) 6.* 3.56* (.37) (1.3) 36.97 37.3 7.19 3.18 38. 37.3 6.77 3.63-1.16-1.9-1.5-18.68-11.9-1.9-1.13-18.59 pr(crisis x )=Φ(+x ) 16
..15..15.1.1.5.5.. -.5 -.5 17
111
11
113
11
115
116
119
1
11
1
y yμ y μ yμ μ μμ m i=1,i=1 i i μ m i=1,i=m m j=1,j=1 ij 1j m mj j=1,j=m i i W i ij 13
15.3 66.3 88.8 63. 57.1 5.6 7.7 7.6 3. 7. 1.9 6.9 1.1 31.8 8. 7..6 1. 1.8 13.9 165.7 136.8 18. 96.9 9.1 8.6 61. 53.7 8. 3.9 75.3 78.8 3. 13.6 15.9 1. 11.6 1.9 1.3 8.8 13.7 11. 7.9 7.8 9. 7. 7..3 5.3.1.5 3.8 8. 6. 1. 7.7 1
3 1-1 1 8-6 15
1 1 8 8 6 6 15 1 5-5 15 1 5-5 13.8 9.8 93.9 7.6 83. 6.7 66.1 3.9 7.5 3.5 3.6 3. 39.7 1. 36.5 39.7 1. 39. 17.6 38.6.9 38.3.5 37.8 1.3 31..6 3.6. 3.5. 3.3-1 -1 16
155. 15.1 1. 13.5 119.1 116.5 15.9 91.6 86.7 66. 53. 75.9 6.1 6.1 5.9 5.8.9.9 5.6 5.6 19. 15. 5.1 5.1.5.3 3.9 3.7 3. 3.3.9.8 5. 1.3 5.7 5.6 17
18
35 3 5 16 1 19
1.5 1..5..3.3 1. 1.1 1.5 1..5. 1 8 3. 3.3 3 6 6. 7.3 1 1. 1..8.8.. 13
131
13
1 1 8 8 1..3..6. 1..3 1...1. 1. 1. 8.3.1.7.8.1.1.3..1.1. 1.1 1. 1..3.. 1. 1.1 5.9 5.9 3..6 1.8 1.6.1 1 9 6 3.1 133
6 6 3 3 1 1 13
16 16 1 1. 1 13. 13. 1 1.7 1.1 1 1 1 135
137
138
139
1
11
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