2008金融危機與資產證券化對銀行抵押貸款規模成長之影響

The Impact of the 2008 Financial Crisis and Asset Securitization on Banks’ Mortgage Loan Growth

楊東叡(Dong-Rui Yang)

指導教授 ： 劉啟群

共同指導教授 ： 尤琳蕙(Lin-Hui Yu)

國立臺灣大學/管理學院/會計學研究所/碩士(2021年)

https://doi.org/10.6342/NTU202101321

摘要

本研究以2005年至2017 年間之美國銀行控股公司(bank holding company)為樣本，利用其主要儲貸機構向美國聯準會申報之HMDA房屋抵押貸款資料及FR Y-9C銀行財務資料，探討2008年金融危機前後銀行之證券化活動對其核貸規模成長率之影響。實證結果發現，在金融危機前，銀行進行證券化活動確實有助提高其信用供給，使得抵押貸款核貸規模成長率上升；惟在金融危機後，證券化活動對於此成長率產生負面增額(incremental)影響，表示在金融危機之後，銀行放款行為相對謹慎，且資產證券化對於放款成長之正向影響明顯被弱化。

關鍵字

2008金融危機 ； 銀行貸款成長 ； 資產證券化 ； Dodd-Frank法案 ； SFAS166/167

並列摘要

This study investigates how asset securitization affects U.S. bank holding companies’ mortgage lending behavior before and after the 2008 financial crisis periods. Using Home Mortgage Disclosure Act data and FR Y9-C data from 2005 to 2017, we find a positive effect of asset securitization on U.S. holding companies’ approved mortgage loan growth during pre-crisis period, but such positive effect decreases dramatically after the crisis. Our results suggest that asset securitization do help increase banks’ credit supply before the crisis while after the crisis, banks, even those relatively active in asset securitization and sales market, became more cautious with their lending.

並列關鍵字

2008 financial crisis ； Loan growth ； Securitization ； Dodd-Frank Act ； SFAS166/167

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