總體經濟指標對信用卡逾期與呆帳之研究

The Study of Macroeconomic Variables on Credit Card Delinquency and Bad Debt

陳怡安(I-An Chen)

指導教授 ： 古永嘉

國立臺北大學/商學院/企業管理學系/碩士(2012年)

摘要

本研究目的，係以總體經濟指標與金融機構信用卡發卡暨財務資訊為基礎，研究其對大型、中型、小型發卡機構，在信用卡三個月以上逾放比、六個月以上逾放比、備抵呆帳提足率、當月轉銷呆帳與當年轉銷呆帳等五個變數之關係。研究資料為民國95年9月至100年12月共計64個月的總體經濟與信用卡月資訊，研究樣本為國內三十二家發卡機構。
本研究之分析方法，係利用相關分析找出總體經濟與信用卡指標中，對信用卡三個月、六個月逾放比…等五項變數具顯著性之指標，再依各發卡機構之規模，分別以逐步迴歸，分析各指標對不同變數之影響程度，最後並歸納出對信用卡逾放、提存、呆帳關係最密切之指標。
研究結果顯示，整體而言【台灣M1B月底值】、【台灣地區消費者物價指數】、【當月停卡數】、【循環信用餘額】，為本研究之變數中與信用卡逾期與呆帳狀況關係最密切之指標。
分項而言，與信用卡三個月逾放呈正相關之指標為：當月停卡數、循環信用餘額、加權股價指數、工業及服務業加班工時，負相關者為：當月簽帳金額、當月預借現金、M1B月底值、景氣對策信號綜合分數、製造業員工平均工作時數、消費者物價總指數。與信用卡六個月以上逾放呈正相關者為：當月停卡數、發行量加權股價指數；呈負相關者為：當月發卡數、循環信用餘額、M1B月底值、消費者物價總指數。與信用卡備抵呆帳提足率呈正相關者為：當月發卡數、MFI放款與投資金額年增率、失業率；與其呈負相關者為：當月簽帳金額、商業本票初級市場91-180天、美元兌新台幣匯率。與信用卡當月轉銷呆帳呈正相關者為：當月停卡數、循環信用餘額、領先指標綜合指數、MFI放款與投資金額年增率；與其呈負相關者為：當月簽帳金額、當月預借現金額、美元兌新台幣匯率、M1B月底值、同時指標綜合指數、落後指標綜合指數、痛苦指數。與信用卡當年轉銷呆帳呈正相者為當月停卡數、循環信用餘額；與其呈負相關者有當月發卡數、失業率、消費者物價總指數。

關鍵字

相關分析 ； 逐步迴歸分析 ； 總體經濟變數 ； 信用卡

並列摘要

The purpose of this thesis is based on the index of macro economy and the credit card issuance including the financial information of banking system to study the relationship between five variances, the three months NPL ratio, six months NPL ratio, loan loss coverage, monthly write-off, and annual write-off of credit issuing institution in large, middle and small sizes.
The research method of this study is using co-relation analysis to find out indexes of macron economy and credit card,which can create significant influence on five variances mentioned. Furthermore, use stepwise regression to analyze the influence level of each index to different variance, and then conclude the most effective index to credit card overdue, reserve, and write-off.
The research result shows, in general, the M1B (end of month), CPI, monthly canceled card volume, and revolving credit line are the most effective indexes to the five mentioned variances.
By categories, the indexes positive co-related with credit card three months overdue are monthly canceled card volume, revolving credit line, weighted stock index, and overtime hours of industrial and service sector; the indexes negative co-related, monthly credit card sales volume, monthly amount of cash advance, M1B (end of month), and comprehensive score of market monitoring indicators. The indexes positive co-related with credit card six months overdue are monthly cancel card volume, the volume of credit card in circulation, and weighted stock index; the indexes negative co-related, monthly credit card issuance volume, revolving credit line, M1B (end of month), and CPI. The indexes are positive co-related with credit card loan loss coverage are monthly credit card issuance volume, MFI amount and annual increase ratio of investment, and unemployment rate; the negative co-related indexes, monthly credit card sales volume, primary market of 91-180 days commercial paper, and currency rate of USD against NTD. And the indexes are positive co-related with monthly credit card write-off are monthly canceled credit card volume, revolving credit line, composite leading index, MFI amount and annual increase ratio of investment, the indexes negative co-related, monthly credit card sales volume, monthly amount of cash advance, currency rate of USD against NTD, M1B (end of month), coincident index, lagging index,and misery index. The indexes are positive co-related with annual credit card write-off are monthly canceled card volume, and revolving credit line; the indexes negative co-related, monthly credit card issuance volume, unemployment rate, and CPI.

並列關鍵字

Co-Relation Analysis ； Stepwise Regression ； Macro Economy Index ； Credit Card

參考文獻

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