房價與銀行績效─以台灣銀行為例

The real estate prices and bank performance─Evidence from Taiwan

羅揚宗(YANG-TZONG LO)

指導教授 ： 李美杏

國立臺北大學/商學院/統計學系/碩士(2016年)

摘要

台灣金融業處於過度競爭，為拓展經營規模，紛紛降低貸放標準，以達放款餘額，致使台灣地區銀行業者，房屋貸款占放款總額的比率經常高達30%以上，房地產放款儼然成為銀行主要營業項目，惟2007年爆發次級房貸風暴，係因過度擴張房貸業務造成銀行經營嚴重影響，顯示房價波動會影響銀行經營。
　　爰本研究使用中央銀行按季公布之「本國銀行營運績效季報」之統計資料，並以35家銀行，從2006年起至2014年止季資料進行追蹤資料(Panel Data)模型分析房價與銀行績效之分析，結果顯示
　　不動產價格變動對逾期放款率沒有顯著影響；但房價變動對資產報酬率及股東權益報酬率則有顯著正向影響；本文另一個重要解釋變數─長期放款佔總放款比例對逾期放款率呈現顯著正向影響，而對資產報酬率及股東權益報酬率呈現顯著負向影響；最後，資本適足率及利率敏感比率均顯著影響銀行逾期放款率、資產報酬率及股東權益報酬率；而備抵呆帳覆蓋變化率僅對逾期放款率有顯著影響。

關鍵字

房價 ； 銀行績效 ； 追蹤資料分析

並列摘要

In circumstances of excessive competition, Taiwan's financial industries have loosened the lending conditions to achieve balance of loans and expand the operation scale. This results in a high ratio of house loans to total loans which is often over 30 percent in Taiwan’s banks. Real estate loans have become the main business activity of banks. However, the subprime mortgage crisis in 2007 due to excessive expansion of the mortgage business and severely impacted on banking industries. This shows that fluctuation of house prices affect the banks stability.
　　This paper uses statistics from Condition and Performance of Domestic Banks, a quarterly report published by the Central Bank of Taiwan. Based on the quarterly data of 35 banks from 2006 to 2014, we studies the relationship between real estate prices and bank performance with the Panel Data model. The empirical results revealed that no significant effect on the Non-performing Loan Ratio while real estate prices fluctuate bu the rate change has a significant positive impact on the Return on Asset and Return on Equity; the ratio of long-term loans to total loans, another important explanatory variable in this article, presents a significant positive impact on Non-performing Loan Ratio, while a significant negative effect on the Return on Asset and Return on Equity appears; and finally, both the Bank of International Settlement ratio and Interest Rate Sensitive Ratio significantly affect the Non-performing Loan, Return on Asset and Return on Equity; and Non-performing loan coverage ratio significantly affects the Non-performing Loan Ratio only.

並列關鍵字

Real Estate Prices ； Bank Performance ； Panel data

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