銀行對住宅抵押放款的呆帳準備費用之提撥，可以用來預測未來（總體經濟或不動產）景氣之變化嗎？來自台灣獨特揭露資料的實證與政策涵意

Does Banks' Loan Loss Provision of Residential Mortgage Loan Have any Signal Effect on the Economic Conditions? The Empirical Evidence and the Policy Implication from Taiwan Unique Database of Loan Disclosure

王健安(Chien-An Wang) ； 沈中華(Chung-Hua Shen)

《台灣金融財務季刊》 12卷4期 (2011/12) Pp. 1-41

https://doi.org/10.6985/TBFQ.201112.0001

摘要

根據理論的預期：當銀行預期未來「（總體經濟或不動產）景氣」好時，因房貸戶的收入提高，或預期房地產價格上揚，將降低住宅抵押房貸違約率的誘因，銀行會順應該景氣走向，而「降低」有關住宅抵押放款的備抵呆帳提撥；反之，景氣差時，因為預期倒帳機率提高，而會「增加」提撥水準。本研究使用台灣25家銀行在2006年第2季至2010第4季（共19季）的「住宅」類放款資料，透過初步的基本敘述統計、圖形與迴歸分析後支持：在房地產景氣好時，住宅抵押貸款備抵呆帳的提撥大致呈現「逆景氣循環（Counter-cyclicality）」的增加現象，且在房地產景氣轉衰退之前，房貸備抵呆帳的提撥會領先出現大幅增加的趨勢；但是其領先總體經濟景氣的效果並不明顯。本研究認為上述領先的預測趨勢，與金融主管機關的外部「監理規範」有關，而與銀行內部「前瞻式（Forward-looking）的風險管理」較無關，因此台灣的銀行在房貸放款的風險管理技術，仍有待提升。

關鍵字

住宅抵押放款 ； 呆帳準備費用 ； 預測 ； 總體經濟（不動產）景氣

並列摘要

We make the sample of the housing-mortgage loan loss provision by hand-collecting data to discuss its forward-looking signal toward the future. At the beginning, we present the differences of basic summary statistics between LLP (Loan Loss Provision) of business loan and of consumer (housing mortgage) loan. Next, we observe whether the LLP of the housing mortgage does predict the housing prices as forward-looking. To run the regressions on the full sample, the main results are as follows. First, banks' loan loss provision of housing-mortgage has a signal effect on housing prices rather than on macroeconomic conditions. Second, credit expansion typically leads to a relaxation of a credit standard, which eventually deteriorates assets quality during a subsequent economic downturn. Owing to bank regulations in advance, the financial authority will push banks to increase their housing loan loss provision at the rise of real estate price. The empirical results have policy implications for the financial stability, and the dynamic provisioning (the practice of mandating higher loan loss provisions during upswings) can help limit credit cycles and deal with real estate booms.

並列關鍵字

Loan Loss Provision ； Residential Mortgage Loan ； Signal Effect ； Housing Price

參考文獻

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內政部營建署，住宅資訊統計季報，http://housing.vpami.gov.tw（2006年開始在以上網站揭露相關資訊）