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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 沈中華 | |
| dc.contributor.author | Tzu-Yun Huang | en |
| dc.contributor.author | 黃子耘 | zh_TW |
| dc.date.accessioned | 2021-06-08T04:24:20Z | - |
| dc.date.copyright | 2010-06-30 | |
| dc.date.issued | 2010 | |
| dc.date.submitted | 2010-06-22 | |
| dc.identifier.citation | 一、 中文部分
張金鶚、林秋瑾，1997，「台灣地區房地產景氣指標電腦輔助系統之建立與應用」， 台北市，內政部建築研究所 張金鶚、陳明卲、鄧筱蓉、楊智元，2009，「台北市房價泡沫知多少？--房價VS. 租金及房價VS.所得」 二、 英文部分 Allen, T.M., J. Madura., and K.J. Wiant, (1995), Commercial Bank Exposure and Sensitivity to the Real Estate Market, The Journal of Real Estate Research, 10, 129-140. Bernanke, B., Gertler, M. (1995), Inside of a black box: The credit channel of monetary policy transmission. Journal of Economic Perspectives 9 (4), 27–48. Black, A., Fraster, P., and Hoesli, M. (2006), House Prices, Fundamentals and Bubbles. Journal of Business Finance & Accounting, 33(9/10), 1535. Bourassa, S. C., Hendershott, P. H., and Murphy, J. (2001), Further Evidence on the Existence of Housing Market Bubbles. Journal of Property Research, 18(1), 1. Case, K. E ., Robert, J. S. (2003), Is There a Bubble in the Housing Market?/Comments and Discussion. Brookings Papers on Economic Activity(2), 299. Collyns. C., Abdehak. S. (2001), Lending Booms, Real Estate Bubbles and The Asian Crisis .【R】.Washington D C : IMF Working Paper,No. 02/20 Daglish, T. (2009), What motivates a subprime borrower to default? Journal of Banking and Finance 33, 681–693. Darrat,A. F., J. L.Glasock. (1993), On the Real Estate Market Efficiency, Journal of Real Estate Finance and Economics, Vol. 7 : 55-72. 40 Davis, E. P., Haibin, Z. (2004), Bank Lending nad commercial Property Cycles : Some Cross-Country evidence, BIS Working Papers, No.150 Ferna´ndez-Kranz, D., and Hon. M. T. (2006), A Cross-Section Analysis of the Income Elasticity of Housing Demand in Spain: Is There a Real Estate Bubble? Journal of Real Estate Finance and Economics, 32(4), 449. Gerlach, S. And W. Peng (2003), Bank Lending and Property Prices in Hong Kong, Journal of Banking Finance, Vol29, pp.461-481 Goodhart, C., Hofmann, B., (2007), House Prices and the Macroeconomy: Implications for Banking and Price Stability. Oxford University Press, Oxford. Hui, E. C. M., and Yue, S. (2006), Housing Price Bubbles in Hong Kong, Beijing and Shanghai: A Comparative Study. Journal of Real Estate Finance and Economics, 33(4), 299. IMF. (2003), Germany: Financial System Stability Assessment. International Monetary Fund, Washington. McQuinn, K., Gerard, O’Reilly. (2007), A Model of Cross-Country House Prices. Rinaldi, L., Alicia, S. A. Household debt sustainability: What explains household non-performing loans? An empirical analysis 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 : 9-21. McCarthy, J., Peach, R., (2004), Are home prices the next bubble? Federal Bank of New York Economic Policy Review 10. McCue, T. E., J. L. Kling. (1994), Real Estate and the Macroeconomy:Some Empirical Evdience from Real Estate Investment Turst, Journal of real Estate Reasearch, Vol. 9, No. 3 : 277-288 Koetter, M., Tigran, P. (2008), Doregional real estate market developments affect bank distress? A multivel mixed-effect analysis. 41 Koetter, M., Tigran, P. (2008), Real estate markets and bank distress. DEUTSCHE BUNDESBANK Discussion Paper. Series 2: Banking and Financial Studies. NO 18/2008 Koetter, M., Tigran, P. (2009), Real estate prices and bank stability. Journal of Banking and Finance 34,1129-1138. 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, No. 4 : 373-391. Smith, M. H., And Gary, Smith (2006), Bubble, Bubble, Where's the Housing Bubble? Comments and Discussion. Brookings Papers on Economic Activity(1), 1. Von Peter, G., (2009), Asset prices and banking distress: A macroeconomic approach. Journal of Financial Stability 33, 298–319. Wu, W. C., C. O. Chang., Z. Selvili,(2003), Banking System,Real Estate Markets,and Nonperforming Loans. INTERNATIONAL REAL ESTATE REVIEW Vol.6 No.1:pp.43-62 | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/22677 | - |
| dc.description.abstract | 自 20 世紀80 年代後，自由化、全球化的金融環境使資金在國際間快速流動，連帶使得資產交易日趨活絡。全球資產市場均出現較歷史紀錄幅度更大和更密集的波動，而資產價格暴跌所引起的金融危機及後續效應，使各國金融監理單位積極探討資產價格波動可能產生的影響及其因應對策。其中，又以2007 年美國次級房貸風暴最受人矚目，次貸風暴一路從房地產市場延燒到資本市場最後危及金融市場的穩定性，凸顯房地產市場、資本市場及金融市場間相互連動的關係，對總體環境之影響不容忽視，並成為目前國際間積極討論的焦點。
本研究探討名目房價變化率與房價背離基本價值(簡稱偏離值)對商業銀行績效表現的影響，資料範圍為1999 年至2007 年25 個國家共1790 家商業銀行的年資料。為求得房價偏離基本價值程度，使用Fully-Modified OLS 找出房屋長期基本價值，然後將名目房價減去房屋長期基本價值得到偏離值。將此變數連同房價成長率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ROA、ROE、NPL (逾放比)的影響。本研究產生三個主要結論。結論一，發現房價成長率對ROA 與ROE 有正向影響且十分顯著。結論二，當偏離值成長率越高，銀行資產面的道德風險累積速度增加。當貸款戶意識到房價偏離基本價值甚多，可能會選擇違約而增加違約機率，使銀行利息收入減少。且因不良放款增加，銀行可能需多提列備抵呆帳費用( Provision for Loan Loss,PLL )，使獲利減少。結論三，偏離值成長率對逾放比呈現顯著的正向關係。代表當偏離值成長率越高，銀行資產面的道德風險累積速度越快，貸款戶違約機率增加，使得銀行逾放比上升。 | zh_TW |
| dc.description.provenance | Made available in DSpace on 2021-06-08T04:24:20Z (GMT). No. of bitstreams: 1 ntu-99-R97723070-1.pdf: 935726 bytes, checksum: e649ab2a5364ad2ff740e13fd727daef (MD5) Previous issue date: 2010 | en |
| dc.description.tableofcontents | 目錄
誌謝………………………………………..……………………i 中文摘要………………………………….…………………....ii 英文摘要……………………………………………………....iii 第一章 緒論……………………………….…………………1 1.1 研究動機………………….……………………....…….1 1.2 研究目的……………..…………………………....……2 1.3 研究架構…………………………………............…......3 第二章 文獻探討……………………………………….……5 2.1 房地產與金融市場案例探討…………..………...…….5 2.2 房價模型相關文獻……………………..……...……….7 2.3 房價偏離值與道德風險相關文獻…..….…...………..10 2.4 房價與房屋貸款相關文獻………………...….………12 2.5 不良債權相關文獻…….............…………...….………13 第三章 研究方法與模型建立……………………………...15 3.1 研究範圍………………………………………...…….15 3.2 研究方法…………………………………………...….15 3.3 研究假說與模型設定....................................................18 3.4 變數定義……………………………………………....20 v 第四章 實證分析與結果…………………………………...24 4.1 敘述統計分析……………………..............................24 4.2 各假說迴歸分析結果………......................................33 第五章 結論與建議………………………………………...37 5.1 結論………………………………………………..…37 5.2 研究限制與建議…………………………………......38 參考文獻……………………………………………………...39 附錄………………………………………….……………..42 | |
| dc.language.iso | zh-TW | |
| dc.subject | 銀行獲利 | zh_TW |
| dc.subject | 房屋價格 | zh_TW |
| dc.subject | 銀行績效表現 | zh_TW |
| dc.subject | 不良債權 | zh_TW |
| dc.subject | Bank Profitability | en |
| dc.subject | Housing Price Deviation | en |
| dc.subject | Non-performing Loan | en |
| dc.subject | Real Estate Price | en |
| dc.title | 房價與銀行績效表現-跨國資料比較 | zh_TW |
| dc.title | Are Bank Performance Affected by Real Estate Prices?
A Cross-country Comparison | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 98-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 王建安,吳孟紋,黃宜侯 | |
| dc.subject.keyword | 房屋價格,銀行績效表現,不良債權,銀行獲利, | zh_TW |
| dc.subject.keyword | Real Estate Price,,Housing Price Deviation,Non-performing Loan,,Bank Profitability, | en |
| dc.relation.page | 51 | |
| dc.rights.note | 未授權 | |
| dc.date.accepted | 2010-06-22 | |
| 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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