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    題名: 金融資產證券化道德風險之探討與防範金融危機之配套研究
    其他題名: Moral Hazard Behavior of the Asset Securitization Process and the Firewall Mechanism against Financial Crises
    作者: 林左裕
    貢獻者: 地政學系
    關鍵詞: 道德風險;金融資產證券化;住宅抵押貸款違約;政府保證
    moral hazard;asset securitization;residential mortgage default;government guarantee
    日期: 2012
    上傳時間: 2016-04-12 14:33:56 (UTC+8)
    摘要: 2007 年美國爆發的次貸危機(Subprime Crisis)，重創了美國的金融與房地產 市場，由於證券化的機制使得這一原本只是美國境內的次貸違約事件，演變成為 影響全球金融的金融海嘯(Financial Tsunami)。 許多探討次貸危機的文獻指出證券化機制是造成美國此一房貸違約問題蔓 延至全球的元兇，然美國自1970年代便開始實施金融資產證券化，至發生次貸危 機已將近四十年，為何之前沒有發生類似的問題？因此部分文獻指出次貸危機的 主因並非是證券化，而是不當的鼓勵高舉債購屋之住宅政策及政府間接要求 Government-Sponsored Agencies(GSAs, 如FNMA 及FHLMC)所提供之保證，而 使放款機構降低其放款審核標準，終究在後續油價上漲引發通貨膨脹後，政府採 緊縮貨幣政策而導致違約潮。這些一連串不當的政策引發銀行放款及證券化之過 程中之「道德風險」(Moral Hazard)，即銀行在放款時因GSA保證及資產證券化 移轉風險等機制而放寬審核標準，故造成房貸違約機率上升。有鑑於此，本研究 擬藉Logit Model分析銀行貸放及資產證券化過程中之「道德風險」如何影響違約 行為、以及藉此結果探討我國金融資產證券化條例中規範疏漏之處，期能在防範 未然，避免類似金融風暴在臺灣重演。
    The 2007 subprime mortgage crisis has severely struck the stability of the worldwide financial markets. Some literature attributed this crisis to the asset securitization mechanism due to its nature of transferring risks to investors in secondary markets. The asset securitization was incepted in 1970s, however, why the systematic crisis did not occur until 2007? Were there other factors besides the securitization mechanism arisen to facilitate the crisis? Some researches indicate that moral hazard problems originated from inappropriate policies, such as “Affordable Housing Plan”, requiring the GSAs’ guarantee toward subprime mortgages, and encouraging banks to relax lending requirements, are the main factors causing the crisis. This study firstly intends to categorize some moral hazard factors, such as the existence of mortgage guarantee, the ratio of asset securitization, the Loan-to-Value (LTV) ratio, and the existence of second lien, …, to conduct the empirical analysis for these factors’ impact on default. According to the empirical results, secondly, this study will review the current regulations in the Banking Acts and Asset Securitization Acts, and propose suggestions to reduce 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.
    關聯: 計畫編號 NSC101-2410-H004-203
    資料類型: report
    顯示於類別:[地政學系] 國科會研究計畫

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