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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
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dc.contributor.advisor | 劉啟群(Chi-Chun Liu) | |
dc.contributor.author | Hung-Chi Hsu | en |
dc.contributor.author | 許宏基 | zh_TW |
dc.date.accessioned | 2022-11-25T07:29:44Z | - |
dc.date.available | 2023-09-01 | |
dc.date.copyright | 2021-08-18 | |
dc.date.issued | 2021 | |
dc.date.submitted | 2021-07-12 | |
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Do lenders still monitor when they can securitize loans? Review of Financial Studies, 28, 2354-2391. doi:10.1093/rfs/hhu006 | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/82361 | - |
dc.description.abstract | 本文旨在研究資產證券化與2008金融危機對銀行抵押放款核貸率之影響。資產證券化過往被詬病為利於銀行高槓桿經營、提前認列損益與進行表外融資之工具,導致銀行於借款審核過程產生放水之疑慮,進而促使金融危機之發生。另一方面,美國主管機關自2010起陸續要求金融業者應遵守更加嚴格之資本規範、更健全之授信流程與全面揭露資產證券化相關交易。因此,本研究以2004年至2017年美國金融控股公司為研究對象,配合美國房屋抵押貸款揭露法之資料,探討:一、資產證券化與金融危機本身對銀行抵押放款核貸率之影響;二、金融危機衍生之相關法規修正是否對資產證券化與銀行抵押放款核貸率間之關係帶來變化;並分別就整體貸款、高風險貸款與非高風險貸款核貸率作為信用風險面向之考量。實證結果顯示,資產證券化與金融危機本身對銀行貸款核貸率有負向影響,而資產證券化於金融危機後對銀行貸款核貸率則有顯著正向增額效果。我們認為,金融危機後之制度重整確實對於整體金融市場之放款行為產生正向效益。其中,未涉及資產證券化之金控公司在法規環境改變後,高風險放款行為確實顯著減少;相較之下,涉及資產證券化之金控公司則因信用增強機制之聲譽壓力,致使其放款行為維持在較為嚴格之水準。 | zh_TW |
dc.description.provenance | Made available in DSpace on 2022-11-25T07:29:44Z (GMT). No. of bitstreams: 1 U0001-1107202118355800.pdf: 1686800 bytes, checksum: efdff17d5fc961549836c23289e3ee80 (MD5) Previous issue date: 2021 | en |
dc.description.tableofcontents | "Contents 1. Introduction 1 2. Background, Literature Review, and Hypothesis Development 4 2.1 Background 4 2.1.1 Asset Securitization 4 2.1.2 Regulation Amendments after the 2008 Financial Crisis 5 2.1.3 Home Mortgage Disclosure Act (HMDA) 6 2.2 Literature Review 7 2.3 Hypothesis Development 9 3. Data and Research Methodology 12 3.1 Data 12 3.2 Methodology 13 3.2.1 Testing the Effect of Asset Securitization on Loan Approval Before and After the Crisis 13 3.2.2 Testing the Effect of Real Estate Secured Asset Securitization on Loan Approval Before and After the Crisis 17 4. Empirical Results 18 4.1 Descriptive Analysis 18 4.2 Descriptive Statistics 21 4.3 Effect of Total Asset Securitization on Loan Approval Before and After the Crisis 23 4.4 Effect of Real Estate Secured Asset Securitization on Loan Approval Before and After the Crisis 25 4.5 Robustness Tests 28 4.5.1 Using Overall Net Charge-Off Ratio as Proxy for Credit Risk 28 4.5.2 Redefining the Pre-Crisis and the Post-Crisis Periods 29 4.5.3 Using Full Sample through Adding the Crisis Variable 30 4.5.4 Using Denial Rate as Proxy for Mortgage Lending Behavior 31 5. Conclusions 32 Reference 34 Appendix 36 Variable Definitions 36 List of Figures Figure 1 Average Approval Rates by Total Asset Securitization (AS_Total) Group 39 Figure 2 Average Approval Rates by Real Estate Secured Asset Securitization (AS_Real) Group 40 List of Tables Table 1 BHC Sample 41 Table 2 Descriptive Statistics 42 Table 3 Effect of Total Asset Securitization on Loan Approval Before and After the Crisis 45 Table 4 Effect of Real Estate Secured Asset Securitization on Loan Approval Before and After the Crisis 46 Table 5 Robustness Test: Using Overall Net Charge-Off Ratio as Proxy for Credit Risk 47 Table 6 Robustness Test: Redefining the Pre-Crisis and the Post-Crisis Periods 49 Table 7 Robustness Test: Using Full Sample through Adding the Crisis Variable 55 Table 8 Robustness Test: Using Denial Rate as Proxy for Mortgage Lending Behavior 57" | |
dc.language.iso | en | |
dc.title | 金融危機與資產證券化對銀行抵押放款核貸率之影響 | zh_TW |
dc.title | Impact of the Financial Crisis and Asset Securitization on Banks’ Mortgage Loan Approval Rates | en |
dc.date.schoolyear | 109-2 | |
dc.description.degree | 碩士 | |
dc.contributor.coadvisor | 尤琳蕙(Lin-Hui Yu) | |
dc.contributor.oralexamcommittee | 林純央(Hsin-Tsai Liu),張窈菱(Chih-Yang Tseng),吳思蓉 | |
dc.subject.keyword | 美國房屋抵押貸款揭露法,抵押借款,放款行為,資產證券化,金融危機, | zh_TW |
dc.subject.keyword | HMDA,mortgage loans,lending behaviors,securitization,financial crisis, | en |
dc.relation.page | 57 | |
dc.identifier.doi | 10.6342/NTU202101389 | |
dc.rights.note | 同意授權(全球公開) | |
dc.date.accepted | 2021-07-12 | |
dc.contributor.author-college | 管理學院 | zh_TW |
dc.contributor.author-dept | 會計學研究所 | zh_TW |
dc.date.embargo-lift | 2023-09-01 | - |
顯示於系所單位: | 會計學系 |
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