2008金融危機對銀行抵押借款行為之影響:HMDA資料庫正確性以及被拒絕者之債務所得比例之研究

The Impact of 2008 Financial Crisis on Mortgage Activity: HMDA Data Integrity and Denial Loan-to-Income Ratio

吳大均(Da-Jun Wu)

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(2018年)

https://doi.org/10.6342/NTU201801082

摘要

本研究欲探討在2008金融海嘯後，銀行個人抵押貸款放貸行之改變。在2008金融海嘯為全世界的投資者與金融機構帶來大量之損失，也使得政府機構以立法者通過一系列約束銀行之法案如巴賽爾協議III及多德-弗蘭克法案。我們使用美國HMDA資料庫2004年至2015年美國金融控股公司之資料，研究銀行資本適足率以及流動性對申請拒絕者債務所得比之影響以及金融海嘯和法規改革對此關係之影響，我們發現在金融海嘯過後資本適足率較高之銀行反而不願意核准貸款，此外我們還提出一些HMDA資料庫以及使用申請拒絕者債務所得比此變數可能面臨之問題

關鍵字

2008年金融海嘯 ； 抵押貸款 ； 資本適足率 ； 銀行流動性

並列摘要

The 2008 financial crisis brought a great loss to investors and banks around the world. Regulators and government enact a series of regulations like the Dodd-Frank Wall Street Reform and Consumer Protection Act (the Dodd-Frank Act). In this paper, we investigate banks’ change in lending behavior after the 2008 financial crisis by using the denial loan to income as our dependent variable. We use the 2004 to 2015 HMDA US bank holding company data to test whether there is an incremental effect of liquidity and capital ratio on the denial loan to income ratio after the 2008 financial crisis and regulatory changes. We provide evidence that banks with higher capital ratio become more unwilling to grant mortgage applications in the post-crisis periods. In addition, we also point out some certain issue of HMDA database and our dependent variable.

並列關鍵字

2008 financial crisis ； Capital adequacy ； Liquidity

參考文獻

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