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Lakossági devizahitelezés Magyarországon: problémafelmérés és a frankhitelek banki árazásának empirikus vizsgálata

Author

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  • Zoltán Schepp

    () (Department of Economics and Regional Studies, University of Pécs)

  • Mónika Pitz

    () (Századvég Gazdaságkutató Zrt)

Abstract

Tanulmányunk elsõ felében a hazai szakmai és közéleti vitákban korábban nem látott, strukturált áttekintést nyújtunk a hazai lakossági deviza-eladósodás mozgatórugóiról, kitérve a nemzetközi összevetésben is egyedülálló hazai folyamatok azonosító jegyeire, a szektor-specifikus sajátosságokra, a deviza-eladósodás mikro-szintû racionális motívumaira. Emellett részletesen elemezzük a racionalitás korlátait, a kockázatészlelés mikro-szintû nehézségeit, valamint az azt nehezítõ specifikus makrokörülményeket. A tanulmány elsõ részének zárásaként nem mulasztjuk el a felelõsségi dimenziók korábbi érvelésen alapuló – hangsúlyozottan szubjektív – áttekintését sem. A tanulmány második, empirikus része svájci frank alapú hitelek árazása mögött meghúzódó okokat és tényezõket kutatja. A bankokat érõ költségsokkok közé alapvetõen a devizakamatok és a kockázati felárak változását, a hitelportfólió romlását, valamint a banki különadókat soroljuk. Felmerül a kérdés, hogy ezek a költségek milyen összefüggésben állnak a deviza alapú hitelek kamatainak alakulásával, illetve milyen mértékben háríthatták tovább a bankok az õket érõ sokkokat ügyfeleikre. Az empirikus vizsgálatok eredményei alapján mind a lakáscélú, illetve szabad felhasználású jelzáloghitelek kamatait, mind pedig a költségsokkokat képviselõ változókat elsõrendû integrált folyamatoknak tekintjük. A tesztek továbbá egyértelmûen alátámasztják a kointegrációs kapcsolatok létezését, és leginkább azt valószínûsítik, hogy egyetlen kointegráló vektor létezik mindkét jelzálogkamat esetében. A kointegráló vektorok elemeinek mindegyike szignifikáns és pozitív, vagyis a banki költségsokkok feltehetõen valóban tovagyûrûztek a hazai bankok által érvényesített kamatokba. Végül a vektor-hibakorrekciós modellek magyarázó ereje lényegesen felülmúlta a benchmark autoregresszív modellekét.

Suggested Citation

  • Zoltán Schepp & Mónika Pitz, 2012. "Lakossági devizahitelezés Magyarországon: problémafelmérés és a frankhitelek banki árazásának empirikus vizsgálata," Working Papers 2012/3, University of Pécs, Department of Economics and Regional Studies, revised Mar 2012.
  • Handle: RePEc:pec:wpaper:2012/3
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    File URL: http://krti-en.ktk.pte.hu/pec/pdf/201203.pdf
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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.

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