近年來,政府為因應金融危機,與世界各國相同,為刺激國內經濟成長,降低失業率,政府均以寬鬆貨幣政策振興經濟,致市場游資氾濫,導致黃金及不動產價格飆升。故本研究運用計量經濟模型,使用9年共32家銀行縱橫資料(Panel Data),建立不動產景氣與銀行績效之關聯性模型,探討不動產景氣、銀行其他相關特徵及總體經濟與銀行績效的關聯性。 OLS研究結果顯示:(1)不動產指數與銀行資產報酬率及股東權益報酬率均有著正向顯著的關係;(2)銀行規模、逾放比、逾放比與不動產指數交乘項、負債比及購屋貸款比均顯著影響銀行資產報酬率及股東權益報酬率;(3)在總體經濟與銀行績效的相關性上,無論在資產報酬率亦或是股東權益報酬率,利率變動率及加權股價指數報酬率均無解釋力;另加以靜態Panel Data模型,並透過Hausman test後,採用固定模型較為適當,而從固定模型來分析,均與OLS模型實證結果相符,顯示銀行績效,除受到不動產景氣影響,更重要的是本身的規模、財務健全度及授信品質。
In response to the financial crisis, the government recently stimulate domestic economic growth, reduce unemployment rate by easing monetary policy to revive the economy flooding by hot money that surge the prices of gold and housing, as do in other countries. This thesis attempts to examine the extent to which the real estate index, bank characteristics and macroeconomic conditions can influence the performance of banks in Taiwan by using the panel data across nine years and 32 banks. The results from the OLS regression reveals that:(1)The real estate index is positively related to ROA and ROE;(2)Firm size, the NPL ratio, the interaction between the NPL ratio and the real estate index, the debt ratio ,and the housing loan ratio can significantly affect the ROA and ROE if banks in Taiwan; (3)The interest rate change and Taiwan Weighted Stock Return provide no explanatory power on banks’ ROAs and ROEs. The Hausman test for the panel analysis suggests that the fixed-effect model is more adequate than the random-effect model. I also find that the results based on the fixed-effect model are consistent with the results based on the OLS model, suggesting that the ROA and ROE of banks are affected by the real estate index, bank size, financial integrity, and loan quality.