| Abstract: | 不動產市場在世界各國隨著經濟成長波動的現象已有豐富的文獻探討，也由於不動產在金融市場上之核貸程序扮演極大比例的擔保品，因此不動產抵押貸款(mortgage)的違約情形也相對會反饋至總體經濟。多數探討不動產抵押貸款違約之文獻指出影響借款人違約現象的因素概括三方面，即總體因素(如經濟成長、利率及失業率等)、貸款契約因素(如貸款成數loan-to-value ratio, LTV、貸款期限、及寬限期grace period等)、以及借款人 個別因素(如個人或家庭收入、工作級職、信用狀況等)。但鮮少文獻針對此三方面因素進行比較，本研究遂嘗試對此三因素比較其顯著性之優先次序，以Logit Model 對國內銀行已結案之房貸資料檢測各因素之顯著性，並進行比較分析，此為動機之一。 其次，美國次級房貸風暴繼2004年開始發生後，於2006年初終於因利率持續上漲而爆發，且嚴重影響美國總體經濟及不動產市場，由於美國為對台灣產品之主要進口國，台灣經濟受美國景氣影響甚鉅，若前一命題(即不動產抵押債權違約率顯著受總體經濟影響)為正確，則美國次級房貸風暴、甚或議論中之卡債風暴，將如何影響未來台灣之經濟成長，以及之後之不動產市場與違約情形，則有必要深入探討其影響程度及我國因應之道。 最後，由於國內已建立金融資產證券化機制，且因此架構可降低金融機構放款先天上之違約風險及流動性風險等，故此機制之施行為未來之金融趨勢。然在證券化過程中，若貸款創始機構(originator)藉售出貸款債權或相關證券(如mortgage-backed security, MBS; 或collateralized-debt obligation, CDO)而免除所有風險，並可賺取手續費用及利差，將又引發道德風險，使創始機構不再審慎查核貸款之申請(即duediligence)，對未來的違約情形及金融秩序又有嚴重影響。因此本研究將深入探討如何降低金融資產證券化機制可能引發之道德風險及系統風險（如針對貸款債權依前述LTV及工作級職等影響違約之顯著因子區分等級、要求創始機構持有一定比例之證券化商品以降低違約風險等），以避免美國次級房貸風暴在台重蹈覆轍。
As the economy grows, real estate markets develop in most countries in the world. Since real estate serves as good collaterals in the due diligence process, so mortgage default in turn may affect macro economy significantly. Most literature indicates that “macro economy factors” (e.g., economy growth, interest rate, and unemployment rate, etc.), “contract factors” (e.g., loan-to-value ratio, LTV, mortgage term, and grace period, etc.), and “individual factors” (e.g., income, credit and work status) are significant factors affecting default behavior. This study intends to explore the significance of these factors and compare the priority. Logit model will be employed for testing the significance on the data collected from local banks in Taiwan. Second, the occurrence of subprime mortgage crisis in 2006 resulted from the rise of interest rates has significantly affected the macro economy and real estate market in the U.S. The U.S. is the major importer from Taiwan, therefore the economy in Taiwan is closely related to the U.S. macro economy. This study thus intends to explore the extent to which how the U.S. subprime (and the suspected subsequent credit card debt crisis) affect the macro economy, the real estate market and the mortgage default behavior in Taiwan, and how the related authorities should prepare for its occurrence . Finally, the mortgage securitization mechanism was established in 2001 in Taiwan. This will become the trend of financial engineering due the reduction and transfer of various risks from originators to security investors. However, originators may assume moral hazard if all the mortgage-related securities (e.g., mortgage-backed security, MBS; or collateralized-debt obligation, CDO) are sold to investors while simultaneously making fee incomes. In this situation, the banking industry will no longer have stakes on due diligence in loan origination. This may significantly increase the default likelihood and systematic risks in the future. This study therefore attempts to explore how to reduce the moral hazard and systematic risks resulting from mortgage securitization, for example, establishing the credit rating system according to the tested significant factors (e.g., loan to value ratio, LTV; working status, etc.) and requiring the originators to obtain some portion of mortgage-related securities. This may greatly reduce the likelihood of similar mortgage crisis in Taiwan. |
