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    Title: 房屋抵押貸款之資訊不對稱問題 -以台北市和新北市為例
    The asymmetric information problems in mortgage lending: the evidence from Taipei City and New Taipei City
    Authors: 林耀宗
    Lin, Yao Tsung
    Contributors: 林左裕
    Lin, Tso Yu
    林耀宗
    Lin, Yao Tsung
    Keywords: 房屋抵押貸款違約
    金融資產證券化
    資訊不對稱
    次貸危機
    二元Logistic迴歸模型
    Residential Mortgage Default
    Information Asymmetry
    Binary Logistic Regression Model
    Date: 2013
    Issue Date: 2014-02-10 15:00:57 (UTC+8)
    Abstract: 2007年美國爆發次級房貸違約潮造成了其經濟、房市和股市的不景氣,也波及到持有美國房貸證券化商品的各國,使其承受重大的損失,因此房屋抵押貸款違約的影響因素和金融資產證券化機制對貸款違約風險的影響又再度成為不動產與金融市場上之重要議題。而以往針對美國次貸危機的研究多指出道德風險是造成此次危機的原因之一,但是較缺乏實證研究的支持。

    有鑑於此,本研究以我國的台北市和新北市的房屋抵押貸款市場作為研究對象,探討逆選擇和道德風險這兩個資訊不對稱的問題對貸款違約率的影響。研究結果顯示「貸款成數高、貸款利率高、搭配信貸和設定二胎的貸款比較容易違約」,證實逆選擇和道德風險問題確實存在於房屋抵押貸款市場,而且會增加貸款違約的機率。為了降低違約機率,從降低資訊不對稱的角度來看,本研究建議:一、建立全國房貸資料庫;二、將信貸的金額納入房貸的貸款成數中考慮,以降低款人的道德風險。

    再者,本研究認為造成次貸危機的根本原因是不當政策導致的保證機制浮濫,以及高風險的房貸證券化商品的氾濫。為了避免我國發生類似次貸危機的事件,從減少資訊不對稱的角度切入,本研究建議我國的金融資產證券化機制應該:一、將道德風險內部化,消除創始機構自利的動機以減少道德風險;二、使用外部信用增強的方式,以確實發揮分散證券風險的作用。
    The 2007 subprime mortgage crisis has severely struck the stability of the worldwide financial markets. Some researches indicate that moral hazard problems are the main factors causing the crisis. However, few studies support asymmetry problems existing in a mortgage market by empirical evidences.

    First, using the mortgage samples from Taipei City and New Taipei City this study would like to understand if the mortgage market are information asymmetry problems, adverse selection and moral hazard, and conduct the empirical analysis for these factors’ impact on mortgage default. The results show that mortgage default is influenced significantly by the Loan-to-Value (LTV) ratio, contract interest rates, the existence of second liens and credit loans, and jobs. It shows that adverse selection and moral hazard actually exist in the mortgage market. According to the empirical results, secondly, this study proposes suggestions for mortgage lending and financial asset securitization to reduce adverse selection and moral hazard problems and enhance the regulation environment and market’s stability. It is expected that the results of this study will be applied to avoid the occurrence of similar crisis in Taiwan.
    Reference: 中文期刊論文

    王瑜琳與洪嘉聲,2001,「檢驗「自願投保」存款保險制度下的「逆向選擇」與
    「道德危機」問題:以台灣區農會信用部為例」,『Journal of Financial Studies』,19(3):71-88。
    王慧綾,2010,「揭穿金融資產證券化之面紗-二檔民國95年後發行金融資產證
    券化受益證券架構之分析」,『台灣金融財務季刊』,11(2): 69-98。
    李桐豪與呂美慧,2000,「金融機構房貸客戶授信評量模式分析─Logistic 迴歸
    之應用」,『台灣金融財務季刊』,1(1):1-20。
    李同龢與鄭治明,2002,「自供需面探討資產證券化中信用評等與信用增強角
    色」,『台灣金融財務季刊』,3(4): 1-14.
    李曜崇,2008,「美國信用評等機構法制建構之研究-兼論我國法相關規定之檢
    討」,『法學新論』,No. 2: 119-149。
    汪琪玲,2006,「台灣車體損失險契約中存在之訊息不對稱問題」,『臺大管理論叢』,16(2):161-186。
    林左裕,2004,「台灣住宅抵押貸款終止行為之研究」,『農業經濟半年刊』,76:169-195。
    ──,2008,「美國次級房貸風暴對臺灣金融資產證券化及投資者之啟示」,
    『住宅學報』,17(1):111-123。
    ──,2009,「再論美國次級房貸風暴對我國金融資產證券化、估價制度及投
    資者之啟示」,『土地問題研究季刊』,8(3): 18-34.
    楊顯爵、林左裕與陳宗豪.,2008,「住宅抵押貸款違約之研究--影響因素之顯著性分析」,『台灣土地研究』,11:1-36。
    葉秋南,2009,「美國政府的房屋政策與次貸危機」,『台灣經濟論衡』,7(7)
    劉代洋與李馨蘋,1994,「購屋貸款與家戶社經特色之實證研究─以台中都會區
    為例」,『管理科學學報』,11:109-127。

    中文書籍、研討會論文、新聞報導

    王濟川與郭志剛,2004,『Logistic 迴歸模型-方法及應用』,台北:五南。
    林震岩,2007,『多變量分析:SPSS的操作與應用』,台北:智勝。
    林左裕,2010,『不動產投資管理』四版,台北:智勝。
    儲蓉,2006,『金融資產證券化理論與案例分析』二版,台北:台灣金融研訓院。

    林益倍,2011,「台灣不動產抵押貸款市場資訊不對稱問題之研究」,台灣大學管理學院財務金融學系博士論文:台北。
    楊智富,2003,「資訊不對稱下的銀行授信」,中山大學經濟學研究所碩士論文:
    高雄。
    賴宗炘,2011,「追索權價值、負權益與違約房屋抵押貸款關連性在台灣之研究」,
    國立政治大學地政研究所碩士論文,台北市
    盧秋玲與郭姿伶,2000,住宅貸款之提前清償與逾期還款,論文發表於〈2000
    年財務金融學術暨實務研討會〉,輔仁大學:台北,6月2日至3日。

    經濟日報,「金融資產證券化恐爆違約潮」,李淑慧,2009/3/25。
    經濟日報,「包裹海外債,美意變噩夢」,李淑慧,2009/3/25。
    經濟日報,「CBO 頻降等,投資人虧逾百億」林巧雁,2009/7//17。


    英文期刊論文

    Akerlof, G. A., 1970, "The Market for "Lemons": Quality Uncertainty and the Market
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    Boyack, Andrea J., 2011, “Laudable Goals and Unintended Consequences : The Role
    and Control of Fannie Mae and Freddie Mac.”, American University Law Review, Vol. 60:1489
    Deng, Y. H., J. M. Quigley, and R. Van Order, 1996, “Mortgage Default and Low Downpayment Loans: The Costs of Public Subsidy”, Regional Science and Urban Economics, 26:263-285.
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    Description: 碩士
    國立政治大學
    地政研究所
    100257018
    102
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G1002570181
    Data Type: thesis
    Appears in Collections:[地政學系] 學位論文

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