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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 沈中華(Chung-Hua Shen) | |
dc.contributor.author | Wei-Ju Chen | en |
dc.contributor.author | 陳薇如 | zh_TW |
dc.date.accessioned | 2021-06-08T02:26:49Z | - |
dc.date.copyright | 2015-09-03 | |
dc.date.issued | 2015 | |
dc.date.submitted | 2015-08-17 | |
dc.identifier.citation | 一、 中文參考文獻
沈中華(2002)。金控公司的銀行與獨立銀行CAMEL比較:1997~1998。台灣金融財務季刊 第三輯第二期 沈中華、王健安、林昆立 (2014)。房價偏離值與銀行績效關係的研究:跨國的實證分析。證券市場發展季刊,26:4,1-38。 二、 英文參考文獻 Bernanke, B., Gertler, M. (2000). Monetary Policy and Asset Price Volatility. National Bureau of Economic Research Working Paper. No.7559 Collyns, C., Abdehak. S. (2001). Lending Booms, Real Estate Bubbles and The Asian Crisis. IMF Working Paper No. 02/20 Darrat, A. F., Glasock, J. L. (1993). On the Real Estate Market Efficiency.Journal of Real Estate Finance and Economics.Vol. 7, Iss. 1, pp.55-72 Davis, E. P., Haibin, Z. (2004). Bank Lending and Commercial Property Cycles: Some Cross-Country Evidence. BIS Working Papers. No.150 Englund, P., Ioannides, Y. M. (1997). Housing Price Dynamics: An International Perspective. Journal of Housing Economics.Vol. 6, Iss. 2, pp.119-136 Foos, D., Norden, L., Weber, M., (2010). Loan Growth and Riskiness of Banks. Journal of Banking and Finance.Vol.34, Iss. 12, pp.2929-2940 Gerlach, S., W. Peng (2003). Bank Lending and Property Prices in Hong Kong. Journal of Banking Finance.Vol. 29, Iss. 2, pp.461-481 Harris, J. K. (1989). The Effect of Real Rates of Interest on Housing Prices.Journal of Real Estate Finance and Economics.Vol. 2, Iss. 1, pp.47-60 Herring, R. J.,Wachter, S. M.(1999). Real Estate Booms and Banking Busts: An International Perspective. The Wharton School Research Paper. No.99-27, pp. 1-110 Homann, B., (2003). Bank Lending and Property Prices: Some International Evidence. BIS Working Paper. No.22/2003 James B. Thomson (1991). Predicting Bank Failures in the 1980s. Federal Reserve Bank of St. Louis Working Paper. Quarter 1, 1991 Koetter, M., Tigran, P. (2008). Real Estate Markets and Bank Distress. Deutsche Bundesbank Discussion Paper. Series 2: Banking and Financial Studies. No. 18/2008 Liang, Q., Cao, H. (2007). Property Prices and Bank Lending in China. Journal of Asian Economics.Vol.18, Iss. 1, pp.63-75 McCue, T. E., Kling, J. L. (1994). Real Estate Returns and the Macroeconomy: Some Empirical Evidence from Real Estate Investment Trust Data, 1972-1991. Journal of Real Estate Research.Vol. 9, Iss. 3, pp.277-287 Nellis, J. G., J. A. Longbottom (1981).An Empirical Analysis of the Determination of House Price in the United Kingdom. Urban Studies. Vol. 18, Iss.1, pp.9-21 Reichert, A. K. (1990). The Impact of Interest Rates, Income and Employment upon Regional Housing Prices.Journal of Real Estate Finance and Economics.Vol. 3, Iss. 4, pp.373-391 Ruchi Gupta CA. (2014). An Analysis of Indian Public Sector Banks Using Camel Approach.Journal of Business and Management. Vol.16, Iss. 1, pp.94-102 Said, M. J.B., Saucier, P. (2003). Liquidity, Solvency, and Efficiency: An Empirical Analysis of The Japanese Bank’s Distress. Journal of Oxford. 5(3), pp.354-358 Von Peter, G., (2009). Asset Prices and Banking Distress: A Macroeconomic Approach. Journal of Financial Stability.Vol. 5, Iss. 3, pp. 298-319 West, R. C. (1985). A Factor-Analytic Approach to Bank Condition.Vol.9, Iss. 2, pp.253-266 Wheelock, D. C., Wilson, P. W. (1995). Why Do Banks Disappear: The Determinants of U.S. Bank Failures and Acquisitions. Federal Reserve Bank of St. Louis Working Paper.pp. 127-138 Winston T. H. Koh, Mariano, R. S., Pavlov, A., Phang, S. Y., Augustine H. H. Tan, Wachter, S. M. (2005). Bank Lending and Real Estate in Asia: Market Optimism and Asset Bubbles. Journal of Asian Economics.Vol.15, Iss. 6, pp.1103-1118 | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/19914 | - |
dc.description.abstract | 中國大陸自1979年以來積極推動銀行體制改革,以致2007下半年,美國次貸風暴引發之全球金融危機,並未對其銀行業造成重大衝擊,卻讓中國全體銀行資產規模持續擴大。自2008年9月起,大陸政府為支撐經濟成長,實施極度寬鬆貨幣政策與大規模振興經濟政策激勵下,過剩流動性造成房地產市場過熱,銀行貸款激增。縱觀後金融危機以來,中國房地產持續繁榮,不僅使房地產價格快速向世界最高峰靠攏,也使幾乎所有中國國有企業和大型私營企業參與到房地產開發中來,因此未來一旦資產價格暴跌所引起的後續效應,對總體環境之影響將不容忽視。
本研究分為兩部分,第一、探討中國房地產價格變化對銀行CAMEL表現的影響;第二、探討放款成長率與房價之關係。本研究挑選過去文獻常使用的指標作為被解釋變數,在CAMEL各面向皆有一至兩個衡量指標。先使用OLS找出房屋長期基本價值,接著以名目房價減去房屋基本價值後得出偏離值。並將該變數與房價及其他重要解釋變數放入固定效果模型 (Panel Fixed Effect Model),分別討論對銀行CAMEL的影響。在第二研究部分,建立兩個模型,探討究竟是放款成長率影響房價抑或是房價影響放款成長率。 本研究產生三個主要結論。結論一、房價對資本適足率、資產品質、管理能力、獲利能力、流動性皆呈顯著正相關,惟負擔比率與房價呈較不顯著的負相關。結論二、房價偏離值與資本適足率、資產品質、管理能力、獲利能力與流動性呈顯著負向關係。結論三、發現房價對放款成長率影響為顯著正相關,且尤以前期房價對放款成長率之影響更為顯著;然而放款成長率對房價雖為正相關,但並未達顯著水準。 | zh_TW |
dc.description.abstract | Since 1979, China has actively promoted the reform of bank system. In the second half of 2007, although the subprime mortgage crisis in the U.S. has caused the global financial crisis, it did not result in significant impact on the bank industry in China but the expansion of overall bank assets. Since September 2008, to support the economic growth, the government of China has carried out the easing monetary policy and large-scale revitalization of economic policies. The excess liquidity led to the overheated real estate market and sharp increase in bank loans. Since the post-financial crisis, the real estate market in China continues to prosper. The price of real estate has swiftly reached the global peak, and almost every state-owned and large private-run company in China have engaged themselves in the development of real estate. As a result, once the price of assets slumps in the future, the influence of subsequent effects caused by such slump on the overall environment should not be ignored.
The study was divided into two parts. First, the study explored the influence of changes in price of real estate in China on the performance of CAMEL in banks; second, the study explored the relationship between the growth rate of loans and housing price. The study selected the indexes frequently used in the past literatures as dependent variable. One or two indexes were used in each dimension of CAMEL. First, the study used OLS to find out the long-term basic value of housing, followed by the deviation calculated by the nominal housing price subtracted by the basic value of housing. Later, the variable, the housing price and other important independent variables were put in the panel fixed effect model to discuss their influence on CAMEL respectively. In the second part of the study, two models were set up to explore whether the growth rate of loans influenced the housing price or vice versa. The study obtained three conclusions. First, the housing price was positively correlated with the capital adequacy ratio, quality of assets, management, profitability, and liquidity; however, the housing price had a less significant negative relation with the burden ratio. Second, the deviation of housing price was negatively correlated with the capital adequacy ratio, quality of assets, capability of management, profitability, and liquidity. Third, the housing price had a significant positive relation with the growth rate of loans. The influence of previous housing price on the growth rate of loans was even more significant; however, although the growth rate of loans was positively correlated with the housing price, it was not significantly related. | en |
dc.description.provenance | Made available in DSpace on 2021-06-08T02:26:49Z (GMT). No. of bitstreams: 1 ntu-104-R02723016-1.pdf: 1657945 bytes, checksum: ce77bf7c646bb021b584de816bcb56bc (MD5) Previous issue date: 2015 | en |
dc.description.tableofcontents | 口試委員會審定書
誌謝………………………………………………………………………I 中文摘要…………………………………………………………………II 英文摘要………………………………………………………………III 第一章、緒論……………………………………………………………1 第一節 、研究背景與動機…………………………………………1 第二節 、研究目的…………………………………………………3 第三節 、研究架構…………………………………………………4 第二章、文獻回顧………………………………………………………5 第一節、 中國房地產市場現況………………………………………5 第二節、 銀行放款與房地產價格相關文獻…………………………15 第三節、 CAMEL指標相關文獻………………………………………18 第四節、 影響房價因素與房價模型相關文獻………………………24 第三章、研究方法與模型建立…………………………………………26 第一節、 研究範圍與資料來源………………………………………26 第二節、 研究方法……………………………………………………27 第三節、 變數定義與衡量指標………………………………………28 第四節、 研究假說與模型設定………………………………………35 第四章、實證結果………………………………………………………40 第一節、 普通最小平方法……………………………………………40 第二節、 固定效果模型 ……………………………………………41 第五章、結論與建議……………………………………………………59 第一節、 研究結論……………………………………………………59 第二節、 研究限制與建議……………………………………………60 參考文獻…………………………………………………………………62 附錄………………………………………………………………………65 | |
dc.language.iso | zh-TW | |
dc.title | 房價對銀行CAMEL指標之影響---以中國大陸為例 | zh_TW |
dc.title | The Impact of Housing Price on CAMEL---Taking China for Example | en |
dc.type | Thesis | |
dc.date.schoolyear | 103-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 池祥麟,吳孟紋,王健安,張元 | |
dc.subject.keyword | 房價,房價偏離值,CAMEL,資本適足率,資產品質,流動率,房地產不良貸款, | zh_TW |
dc.subject.keyword | Housing price,CAMEL,Capital adequacy ratio,Asset quality,liquidity ratio, | en |
dc.relation.page | 70 | |
dc.rights.note | 未授權 | |
dc.date.accepted | 2015-08-18 | |
dc.contributor.author-college | 管理學院 | zh_TW |
dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
顯示於系所單位: | 財務金融學系 |
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