資產證券化，房屋價格，與銀行貸放標準

本研究建立一理論模型，在銀行利用證券化募集的資金於房屋貸款市場擴張信用的情況下，探討證券化與房屋價格的互動如何影響銀行事前審核技術的發展。若銀行比例出售貸款(loan sales)，均衡房屋價格的提高將減少清算房屋貸款的損失,降低銀行事前審核的誘因；若銀行保留權益層級(equity tranche)證券，出售債權層級(debttranche)證券，將增加清算抵押房貸的損失，提高銀行事前審核的誘因，同時隔絕房屋價格對事前審核誘因的影響。若資產證券化使銀行形成未來房屋價格上漲的預期，預期房屋價格上漲幅度愈大，清算房貸的損失愈小，會降低銀行發展事前審核技術的誘因。

關鍵字

資產證券化；房屋貸款；擴張信用；房屋價格；事前審核

並列摘要

We develop a model in which banks raise funds through securitizing their mortgage assets and use the funds to expand credits in the mortgage market, resulting in appreciation in house prices. Houses are used as collateral in mortgage contracts. Appreciation in prices of houses affects banks' incentive to screen mortgage applications. How securitization affects banks' incentive depends upon the way banks sell their securities backed by mortgages. If banks sell a proportion of their securitized packages, an appreciation of house prices lowers losses from mortgage default, and thus decreases banks' incentives to screen. If banks retain the equity tranche and sell the debt tranche, losses from mortgage default reduce banks' profits and thus banks have more incentives to screen mortgage applicants. However, changes in house prices do not affect the banks' incentives to screen mortgage applicants. Furthermore, if credit expansion by securitization leads banks to expect house-price appreciation in the future, the higher the expected appreciation, the less the expected losses from mortgage default, and the lower the banks' screening incentives.

並列關鍵字

securitization ； mortgage ； credit expansion ； house prices ； screening

參考文獻

Acharya, Viral,Naqvi, Hassan(2012).The Seeds of a Crisis: A Theory of Bank Liquidity and Risk Taking over the Business Cycle.Journal of Financial Economics.106,349-366.

Google Scholar

Adrian, Tobias,Shin, Hyun Song(2008).Financial Intermediaries, Financial Stability, and Monetary Policy.FRB of New York Staff Report.(FRB of New York Staff Report).,未出版.