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A lakossági devizahitelek átárazásának bumeránghatása
[The boomerang effect of repricing household foreign-currency mortgage loans]

Author

Listed:
  • Radnai, Márton

Abstract

A magyar bankok a válság első időszakában azzal szembesültek, hogy finanszírozási költségeikben megjelent a magyar országkockázat. Ezt a többletköltséget kezdetben a devizahitelek átárazásával sikeresen tovább tudták hárítani, és nyereségességük rövid távon fennmaradt. Cikkünkben bemutatjuk, hogy önmagában ez a lépés jelentősen hozzájárulhatott a nemfizetési ráták növekedéséhez, és a bankok hosszú távú nyereségességének eltűnéséhez. Modellünk szerint a profitmaximalizáló viselkedés a bankok számára - paradox módon - az alapkamat és a devizaárfolyam emelkedésekor a kamatfelár csökkentése lett volna.* Journal of Economic Literature (JEL) kód: G210, G280.

Suggested Citation

  • Radnai, Márton, 2015. "A lakossági devizahitelek átárazásának bumeránghatása [The boomerang effect of repricing household foreign-currency mortgage loans]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(2), pages 113-138.
    • Handle: RePEc:ksa:szemle:1532
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    References listed on IDEAS

    as
    1. Luigi Guiso & Paola Sapienza & Luigi Zingales, 2013. "The Determinants of Attitudes toward Strategic Default on Mortgages," Journal of Finance, American Finance Association, vol. 68(4), pages 1473-1515, August.
    2. Merton, Robert C, 1974. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 29(2), pages 449-470, May.
    3. Edelberg, Wendy, 2006. "Risk-based pricing of interest rates for consumer loans," Journal of Monetary Economics, Elsevier, vol. 53(8), pages 2283-2298, November.
    4. Das, Sanjiv R., 2012. "The Principal Principle," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 47(6), pages 1215-1246, December.
    5. Das, Sanjiv R. & Meadows, Ray, 2013. "Strategic loan modification: An options-based response to strategic default," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 636-647.
    6. Robert Hockett, 2013. "Paying Paul and robbing no one: an eminent domain solution for underwater mortgage debt," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 19(Jun).
    7. Anderson, Ronald W & Sundaresan, Suresh, 1996. "Design and Valuation of Debt Contracts," The Review of Financial Studies, Society for Financial Studies, vol. 9(1), pages 37-68.
    8. Andra C. Ghent & Marianna Kudlyak, 2011. "Recourse and Residential Mortgage Default: Evidence from US States 1," The Review of Financial Studies, Society for Financial Studies, vol. 24(9), pages 3139-3186.
    9. Wendy Edelberg, 2003. "Risk-based pricing of interest rates in household loan markets," Finance and Economics Discussion Series 2003-62, Board of Governors of the Federal Reserve System (U.S.).
    10. Gáspár, Katalin & Varga, Zsuzsa, 2011. "A bajban lévő lakáshitelesek elemzése mikroszimulációs modellezéssel [Analysis of housing-loan borrowers in difficulty, using micro-simulation modelling]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(6), pages 529-542.
    11. Hudecz, András, 2012. "Párhuzamos történetek. A lakossági devizahitelezés kialakulása és kezelése Lengyelországban, Romániában és Magyarországon [Parallel stories. The development and treatment of household foreign-curre," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(4), pages 349-411.
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    Cited by:

    1. Schepp, Zoltán & Szabó, Zoltán, 2015. "Lakossági svájcifrank-hitelek árazása - narratíván innen és túl? [Pricing Swiss franc-denominated mortgage loans: beyond the narratives]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(11), pages 1140-1157.
    2. Pásztor, Szabolcs & Kovács, Levente, 2018. "A globális jelzálogpiac helyzete és kihívásai [The state of global mortgage markets and the challenges to them]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(12), pages 1225-1256.

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    More about this item

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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