房價偏離值與銀行績效關係的研究：跨國的實證分析

The Study on the Relationship between the House Price Deviations from Fundamentals and the Banking Performance: The International Evidence

沈中華(Chung-Hua Shen) ； 王健安(Chien-An Wang) ； 林昆立(Kun-Li Lin)

《證券市場發展季刊》 26卷4期 (2014/12) Pp. 1-37

https://doi.org/10.6529/RSFM.2014.26(4).1

摘要

本研究以1998年至2008年，來自20個國家，共1,790家商業銀行的追踪樣本，討論房價與銀行績效的關係。本研究設計三種房價指標：房價成長率、房價偏離基本價值的水準值與比率值，以及三種銀行績效的衡量指標：資產報酬率、股東權益報酬率與逾放比，主要結論有兩個：（1）房價成長率與銀行逾放比率呈現先下降，後上升的非單調線性關係。（2）房價偏離基本價值的比率越高，銀行資產面的道德風險累積速度越快，貸款戶違約機率增加，將使銀行逾放比上升且獲利下降，此符合偏離假說的邏輯。

關鍵字

房價偏離值 ； 銀行績效 ； 非單調線性關係 ； 偏離假說

並列摘要

This study investigates the relationships between the house price and the banking performance sampling the panel data from 20 countries and their 1,790 commercial banks at the period of 1998-2008. Three proxies of house price, the growth ratio of house price, the house price deviations from fundamentals, and its ratio scaled by house price are used; and three proxies of banking performance, return of assets (ROA), return of equities (ROE), and non-performing loan ratio (NPL), are also measured. Two main findings are as followings. First, the growth rate of the house price shows the non-monotonic linear relationship with the banks asset quality, which is proxy by NPL. Second, the rise of deviation ratio of house price increases the NPL and decreases the profit significantly. This result supports the deviation hypothesis.

並列關鍵字

House Price Deviations From Fundamentals ； Banking Performance ； Non-Monotonic Linear Relationship ； Deviation Hypothesis

參考文獻

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