房價變動對CAMELS評等系統之影響：以台灣銀行業為例

Abstract

本研究探討房價變動對銀行CAMELS評等系統之影響，資料來源來自TEJ台灣經濟新報。銀行選取台灣不動產放款佔比較高之27家銀行，資料時間自2007年至2017年。被解釋變數為銀行CAMELS指標評分，解釋變數為房價指數，控制變數包括實質GDP成長率、通貨膨脹率、房貸利率、失業率、人口數、貨幣供給、銀行資產規模。 實證結果發現，房價變動對資本適足性、資產品質、獲利能力、流動性、市場風險敏感性具顯著正相關；對管理能力具顯著負相關。房價變動對CAMELS評分具顯著正相關，實質GDP成長率對CAMELS指標呈正相關，但統計上並不顯著。通貨膨脹率對CAMELS指標具顯著負相關，房貸利率對CAMELS指標具顯著負相關，失業率對CAMELS指標具顯著負相關，人口成長率對CAMELS指標具顯著正相關，貨幣供給成長率對CAMELS指標具顯著負相關，銀行資產規模對CAMELS指標具顯著正相關。

This study explores the impact of house price changes on CAMELS rating system of the Taiwan banking industry, with the sample data drawn from the Taiwan Economic Journal (TEJ) database. The 27 banks selected for this study each has mortgage loans account for higher proportion of its total loan, and the sample period is from 2007 through 2017. Response variable is the CAMELS rating, explanatory variable is the house price index, and control variable include GDP growth rate, inflation, mortgage rate, unemployment rate, population, money supply, and total bank assets. Our empirical results indicate that there is a significant positive correlation between house price and capital adequacy, asset quality, earnings, liquidity, sensitivity to market risk; a significant negative correlation between house price and management. House price significantly correlates positively with CAMELS rating; GDP growth rate is positively correlated with CAMELS rating, but not statistically significant. There is a significant negative correlation between inflation and CAMELS rating, between mortgage rate and CAMELS rating, between unemployment rate and CAMELS rating, and between growth rate of money supply and CAMELS rating. There is a significant positive correlation between population growth rate and CAMELS rating, and between total bank assets and CAMELS rating.