Originating long-term fixed-rate mortgages in developing economies: New evidence from Turkey

Bu makale Türkiye mortgage piyasasındaki son gelişmeleri ve mortgage piyasası ile sermaye piyasalarının entegrasyonunu sayısal olarak incelemektedir. Sermaye Piyasası Kurulu birincil mortgage piyasası ve mortgage teminatlı menkul kıymetlere dayanan ikincil mortgage piyasası gelişimine ilişkin kanun tasarısını hazırlamış ve bu tasarı Mart 2007 tarihinde yürürlüğe girmiştir. Konut Finansmanı Kanunu ile birlikte Türkiye'deki bankalar ilk defa oldukça uzun vadeli konut kredilerini piyasaya sunmaya başlamışlardır. Bu makale Opsiyon Fiyatlama Modeli'ni (OFM) kullanarak, Türkiye'deki 10-yıl vadeli, sabit faiz oranlı mortgage kredilerini borçlanan tarafın temerrüt ve erken ödeme opsiyonlan ile birlikte fiyatlamaktadır. Bu çalışma, Türkiye gibi gelişmekte olan ekonomilerdeki sabit faiz oranlı mortgage kredilerini klasik OFM ile fiyatlandıran ilk çalışmadır. Sonuçlara göre, çalışmamızın başlangıcı olan 2007 yılında İş Bankası dışındaki tüm bankaların uyguladığı aylık mortgage faiz oranlan, fiyatlama modelindeki denge faiz oranlarının oldukça altındadır. Bu durumda, 2007 yılında sabit faizli mortgage kredisi alan kişilerin oldukça büyük bir arbitraj karı elde ettiklerini söylemek mümkündür. 2007 yılındaki aylık mortgage faiz oranları, OFM denge faiz oranlarından düşük olsa da, bu oranlar güvenli ve verimli işleyen bir mortgage piyasası için oldukça yüksektir. Makalenin diğer önemli sonucu ise, küresel fınansal kriz etkilerinin ülkemiz birincil mortgage piyasasında net bir şekilde gözlenmesidir. Eylül 2007 ile Kasım 2008 arasındaki yaklaşık bir yıllık dönemde, mortgage faiz oranlarında belirgin bir artış görülürken, kredi vadelerinde hızlı bir düşüş yaşanmıştır.

Anahtar Kelimeler:

Türkiye

Gelişmekte olan ekonomilerde uzun vadeli, sabit faiz oranlı mortage kredilerinin piyasaya sunumu: Türkiye'de son gelişmeler

This paper intends to analyze the recent developments to introduce and integrate mortgage markets into capital markets of Turkey. The Capital Market Board has recently prepared a legal framework not only for a proper mortgage system, but also for the eventual securitization of these mortgages. Turkish banks started to contract, for the first time ever, long-term fixed rate mortgages. The paper uses traditional option-pricing model to evaluate the current 10-year fixed rate mortgage (FRM) contracts with embedded default and prepayment options in Turkey. Our study is the very first attempt to use an option pricing model to price the FRM contracts in an emerging economy with its different and unique dynamics. Our findings show that, in 2007 almost every bank, except for Is Bank, offered mortgage interest rates that were significantly below the equilibrium coupon rates, involving arbitrage profit for the borrowers. We also conclude that even if the prevailing mortgage interest rates are below the equilibrium rates, these rates are extremely high for establishing a well-functioning primary mortgage market in any economy. Finally, the effects of the global financial crisis are started to be felt in Turkish mortgage market as the banks have increased their mortgage coupon rates and shortened the contract maturities drastically over a very short time period, from September 2007 to November 2008.

Keywords:

Turkey,

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