銀行不動產抵押貸款與貨幣傳遞機制：流動性與價格風險的實證研究

Bank Housing Loans and the Monetary Transmission Mechanism: An Empirical Study of Liquidity and Price Risk

楊茜文(Chien-Wen Yang)

《經濟論文叢刊》 50卷4期 (2022/12) Pp. 423-459

https://doi.org/10.6277/TER.202212_50(4).0003

摘要

本文利用2012年8月至2021年3月台灣六都的銀行個人購屋貸款，依不動產擔保品所在地區的貸款資料實證研究房市流動性與價格風險在貨幣傳遞機制中銀行放款管道所扮演的角色。本文以代表房市流動性的流通天數與買賣交易量，以及代表價格風險的房價波動作為影響銀行不動產抵押貸款的傳遞變數，利用結構性向量自我迴歸模型與反事實衝擊反應函數，探討貨幣政策對於銀行在各地區不動產抵押貸款影響的變化。根據衝擊反應函數分析，本文發現實施緊縮性貨幣政策後，銀行對各地區房貸呈現下滑，但此減少的幅度，在房市流動性較穩定與價格風險較低的地區較小。根據反事實衝擊的分析，流通天數是影響銀行房貸衝擊反應的主要傳遞變數，此銀行房貸對貨幣衝擊反應受不同都市房市流動性變化的影響，隱含了不動產的變現速度是銀行經理人不動產抵押貸款決策的重要因素。

關鍵字

不動產抵押貸款 ； 房市流動性 ； 價格風險 ； 貨幣傳遞機制

並列摘要

This paper aims to empirically study the effect of housing liquidity and price risk on the impact of monetary policy on bank housing loans using Taiwan city-level (six special municipalities) data from August 2012 to March 2021. We estimate the structural vector autoregressive model and counterfactual impulse response function. We consider three transmission variables, which include time on the market and transaction volume (as measures of housing liquidity) and housing price volatility (as a measure of price risk). We find that housing loans decline in response to monetary tightening, but this negative effect is less in cities where housing liquidity is more stable and price risk is lower. Counterfactual analysis indicates the main transmission variable is time on the market. Our findings also show the preference for bank housing loans when the intermediation cost increases. The smaller decline in housing loans in higher liquidity cities implies the time it takes real estate to be changed into cash is important to bank managers when granting real estate mortgage loans.

並列關鍵字

bank housing loans ； housing liquidity ； price risk ； monetary transmission mechanism

參考文獻

Buchak, Guchak and Adam Jørring (2021), “Do Mortgage Lenders Compete Locally? Implications for Credit Access,” SSRN: http://dx.doi.org/10.2139/ssrn.3762250.

陳明吉 (2021), “建構台灣房價風險值量化評估模型,” 中央銀行委託研究報告。(Chen, Ming-Chi (2021), “Constructing a Taiwan’s House-prices-at-risk Model,” The Central Bank of China (Taiwan).)

黃朝熙, 謝依珊, 楊茜文, 與王敬淳 (2021), “銀行放款組合與貨幣傳遞機制:台灣的實證研究,” 《經濟論文叢刊》, 49(3), 415-448。 (Huang, Chao-Hsi, Yi-Shan Hsieh, Chein-Wen Yang, and Ching-Tsun Wang (2021), “Bank Loan Portfolios and the Monetary Transmission Mechanism: Evidence from Taiwan,” Taiwan Economic Review, 49(3), 415-448.)

蔡怡純與陳明吉 (2013), “房價之不對稱均衡調整: 門檻誤差修正模型應用,” 《台灣土地研究》, 16(1), 37-58。(Tsai, I-Chun and Ming-Chi Chen (2013), “Asymmetric Adjustment of House Prices: An Application of Threshold Error Correction Model,” Journal of Taiwan Land Research, 16(1), 37-58.)

Acharya, Viral V. and Lasse Heje Pedersen (2005), “Asset Pricing with Liquidity Risk,” Journal of Financial Economics, 77(2), 375-410