探討美國金融風暴時各州貸款以及拖欠款互動情形

The comovement across US states in terms of loan and delinquency during financial crisis

楊景昕(Ching-Hsin Yang)

指導教授 ： 黃美綺

國立臺北大學/商學院/企業管理學系/碩士(2016年)

摘要

先前的研究顯示借貸的劇烈增加是驅使金融危機的重要因素之一，卻未細節討論影響這些貸款和違約款波動循環的因子為何，因此本研究依照Kose(2003)為基礎模型，分析這些借貸行為波動的主要解釋因子，結果發現國家因子對抵押貸款有很高的解釋能力，但是對抵押貸款違約款的解釋力，卻拱手讓給了其它因子，除此之外，本研究更深入探討在金融風暴這個期間，各州之間借貸和違約成長率波動的互動關係為何，而我們的研究結果發現各州雖然受到一樣的刺激，但是各州在反應時間以及反應程度卻是不盡相同，因此當政府實施貨幣寬鬆政策時，各州房地市場的反應效果會不一樣。

關鍵字

貸款率波動 ； 拖欠款波動 ； 解釋因子 ； 互動

並列摘要

Although previous research shows that strong growth in credit is one of the most important drivers of financial crises, it still remains unclear what common factors affect the fluctuation of rate of credit and delinquency. Based on the model of Kose (2003), we observe the common factor of these fluctuations and the results identify that the country factor is an important source of volatility for mortgage credit. On the contrary the country factor plays only a minor role in explaining fluctuations in mortgage default. Besides, this paper investigates the comovement of debt and delinquency rate among the states in the 2008 financial crisis, and we find that many states have different dynamic of debt and delinquency in terms of timings and magnitudes. We conclude that when the government implements the quantitative easing, each state may have the different response to the market shock.

並列關鍵字

Loan ； Delinquency ； Common Factor ； Comovement

參考文獻

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