銀行流動性與抵押放款核貸率之關聯性研究：資產證券化與金融危機之影響

An Empirical Research on the Relationship between Bank Liquidity and Mortgage Loan Approval Rate：Impact of Asset Securitization and the Financial Crisis

楊曼屏(Man-Ping 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/NTU202100893

摘要

金融危機促使各界開始大規模執行金融監管改革，尤其針對流動性標準進行強化，且由於銀行放款行為往往會受到銀行之資金來源及流動性之影響，而資產證券化常被視為一種銀行資金來源，因此本研究探討資產證券化之調節及金融危機（2007-2009）發生後之流動性對房屋抵押貸款核准率之增額影響，並採用美國房屋抵押公開法（HMDA）下2004年至2017年之資料作為研究樣本。研究結果顯示流動性與核貸率呈負相關，惟銀行資產證券化程度高且流動性水準又高時，可能接受更多抵押貸款之風險，進而提升高風險貸款之核貸率。而相較於金融危機發生之前，銀行流動性對整體核貸率之影響在金融危機之後呈增額負向影響，對高風險核貸率之影響則呈顯著之正向增額效果，顯示金融危機過後，銀行為滿足流動性規範會將部分資產配置於品質高報酬低之資產並壓縮抵押貸款量，惟銀行可能藉由高風險抵押放款來提高其報酬。

關鍵字

銀行流動性 ； 房屋抵押貸款 ； 放款行為 ； 高風險放款 ； 資產證券化 ； 金融危機

並列摘要

Bank lending behavior is influenced by the bank's source of funds and liquidity. Based on the fact that asset securitization can provide banks with a dependable source of stable funding, this study investigates how asset securitization and the financial crisis affect the relationship between liquidity and approval rate of home mortgage loan. Using Home Mortgage Disclosure Act data from 2004–2017, we find that bank liquidity is significantly and negatively related to mortgage loan approval rate. However, banks with higher levels of securitization and high liquidity levels may accept more risks of mortgage loans, thereby increasing the approval rate of high-risk loans. Compared with pre-crisis period, we find that bank liquidity had a negative incremental effect on overall loan approval rate but a significantly positive incremental effect on the high-risk loan approval rate after the crisis. After the crisis, liquidity regulations cause banks to hold high-quality liquid assets with lower returns and reduce banks’ ability to lend, so banks may increase their returns through high-risk lending.

並列關鍵字

Bank liquidity ； Mortgage loan ； Lending behavior ； High-risk loan ； Financial Asset Securitization ； Financial Crisis

參考文獻

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