台灣房地產價格與銀行房屋貸款相關性之分析

Abstract

從美國不動產成為帶動經濟成長的動能到演變為次貸風暴，不僅影響到正常房貸市場、企業授信及信貸市場，同時嚴重衝擊金融體系的健全營運。而台灣在低利率環境及政府各項優惠房貸政策下，房地產變成一個保值、投資很好的標的，投資人的資金也往房地產移動，使得房價上漲與銀行不動產放款金額持續增加。自2003年SARS後，長達10年的房地產多頭市場究竟何時結束，是許多人相當關心的問題。尤其，美國量化寬鬆政策（QE）即將退場，引發的相關效應是利率上升，房市反轉風險升高，這將會提高不動產貸款戶的違約率，等於大幅提高銀行的不動產授信風險。房地產景氣變化對銀行體系將造成何種衝擊，也值得關注。 本研究主要探討台灣房地產價格與銀行房屋貸款之相關性，並加入總體經濟變數包括國內生產毛額、貨幣供給額，以及利率，比較影響兩者之總體因素及關聯性。研究期間從2001年第1季到2013年第2季共50筆的季資料。實證方法係應用時間序列分析方法，包括：單根檢定、共整合檢定、向量誤差修正模型、Granger因果關係檢定等。 實證結果發現：房地產價格、銀行房屋貸款、國內生產毛額、貨幣供給額及利率之間具有長期均衡關係；且房地產價格與銀行房屋貸款兩者間存在雙向回饋的關係，表示兩者間的互動緊密，可作為相互推測未來趨勢之參考。因此，銀行可針對對房地產價格波動預測，作為授信風險控管的指標，政府亦可強化預警機制，管控銀行對房地產授信額度，降低房地產業景氣波動風險，減緩房價下跌的負財富效果，避免金融機構面臨資產價格減損之衝擊，穩定經濟健全發展。

The U.S. real estate, in the evolution of the subprime mortgage crisis from the kinetic energy to drive economic growth, not only affected the normal mortgage market, corporate lending and credit markets, but also impacted on the integrity of the financial system operations. In Taiwan, over a low interest rate environment and government policy of providing various preferential mortgage, real estate becomes a hedge against inflation and a good investment target, the investor's funds are moving toward real estate market and making house prices and the amount of bank real estate loans continued to surge. People are concerned about when the bull market will end since the real state has been booming for 10 years since SARS in 2003. Particularly with the end of Fed's QE (Quantitative Easing) in sight, the risk of turnaround in the housing market increases triggered by rising interest rates. It also causes the increasing borrower's default rate of real estate loans, as well as substantial bank credit risk. What impacts, with the change of the real estate market, would cause to the banking system worth our intensive attention. This research analyzes the correlation between bank housing loans and Taiwan real estate prices, while macroeconomic variables including gross domestic product, money supply and interest rates are also involved to compare the overall impact and the relevance. The research period is from 2001 Q1 to 2013 Q2,an aggregate of 50 quarterly data is derived. Time series analysis is used as the empirical method comprising unit root test, cointegration test, vector error correction model, Granger causality test, etc. . Empirical results show that there is a long-term equilibrium relationship among bank housing loans, real estate prices, gross domestic product, money supply and interest rates .We also find it exists two-way feedback relationship between bank housing loans and real estate prices, which means the interaction is close to each other, and they can be used as a reference for speculating future trends for each other. Therefore, the bank can take the fluctuations of real estate price as an indicator to manage credit risks. The government can strengthen early warning mechanism to control the credit line on the real estate, reduce the risk of fluctuations in the real estate boom, and as a result to ease negative wealth effect caused by house price fall and prevent financial institutions from facing the impact of impairment in asset prices and ultimately stabilize the economic development.