請用此 Handle URI 來引用此文件：
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/82040完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 劉啟群(Chi-Chun Liu) | |
| dc.contributor.author | Tzy-Yeu Chen | en |
| dc.contributor.author | 陳姿宇 | zh_TW |
| dc.date.accessioned | 2022-11-25T05:34:35Z | - |
| dc.date.available | 2023-07-01 | |
| dc.date.copyright | 2021-08-18 | |
| dc.date.issued | 2021 | |
| dc.date.submitted | 2021-07-08 | |
| dc.identifier.citation | Albertazzi, U., Eramo, G., Gambacorta, L., Salleo, C. 2015. Asymmetric information in securitization: An empirical assessment. Journal of Monetary Economics, 71, 33-49. Altunbas, Y., Gambacorta, L., Marques-Ibanez, D. 2009. Securitisation and the bank lending channel. European Economic Review, 53(8), 996-1009. Ambrose, B. W., LaCour-Little, M., Sanders, A. B. 2005. Does regulatory capital arbitrage, reputation, or asymmetric information drive securitization? Journal of Financial Services Research, 28(1), 113-133. Bonner, C., Streitz, D., Wedow, M. 2016. On the differential impact of securitization on bank lending during the financial crisis. Brunnermeier, M. K. 2009. Deciphering the liquidity and credit crunch 2007-2008. Journal of Economic Perspectives, 23(1), 77-100. Dell'Ariccia, G., Marquez, R. 2006. Lending booms and lending standards. The Journal of Finance, 61(5), 2511-2546. Diamond, D. W., Dybvig, P. H. 1983. Bank runs, deposit insurance, and liquidity. Journal of political economy, 91(3), 401-419. Dou, Y., Ryan, S. G., Xie, B. 2018. The real effects of FAS 166/167 on banks’ mortgage approval and sale decisions. Journal of Accounting Research, 56(3), 843-882. Duffie, D. 2008. Innovations in Credit Risk Transfer: Implications for Financial Stability. BIS Working Paper No. 255 Elul, R. 2016. Securitization and mortgage default. Journal of Financial Services Research, 49(2), 281-309. Fender, I., Mitchell, J. 2009. Incentives and tranche retention in securitisation: a screening model. National Bank of Belgium Working Paper(177). Goderis, B., Marsh, I. W., Castello, J. V., Wagner, W. 2007. Bank behaviour with access to credit risk transfer markets. Bank of Finland Research Discussion Paper(4). Gorton, G. B., Pennacchi, G. G. 1995. Banks and loan sales marketing nonmarketable assets. Journal of Monetary Economics, 35(3), 389-411. Haensel, D., Krahnen, J. P. 2007. Does credit securitization reduce bank risk? Evidence from the European CDO market. Evidence from the European CDO Market (January 29, 2007). Hakenes, H., Schnabel, I. 2010. Credit risk transfer and bank competition. Journal of financial intermediation, 19(3), 308-332. Instefjord, N. 2005. Risk and hedging: Do credit derivatives increase bank risk? Journal of Banking Finance, 29(2), 333-345. Jiang, W., Nelson, A. A., Vytlacil, E. 2014. Securitization and loan performance: Ex ante and ex post relations in the mortgage market. The review of financial studies, 27(2), 454-483. Kara, A., Marques-Ibanez, D., Ongena, S. 2015. Securitization and credit quality. FRB International Finance Discussion Paper(1148). Krainer, J., Laderman, E. 2014. Mortgage loan securitization and relative loan performance. Journal of Financial Services Research, 45(1), 39-66. Loutskina, E. 2011. The role of securitization in bank liquidity and funding management. Journal of Financial Economics, 100(3), 663-684. Loutskina, E., Strahan, P. E. 2009. Securitization and the declining impact of bank finance on loan supply: Evidence from mortgage originations. The Journal of Finance, 64(2), 861-889. Liu, C. C., S. G. Ryan, and S. J. Wu. 2017. The impact of the 2008 financial crisis and regulation reforms on loan growth: Evidence from the effect of capital and liquidity. Working paper. Paskelian, O. G., Bell, S. 2013. The Tale of Two Regulations—Dodd-Frank Act and Basel III: A Review and Comparison of the Two Regulatory Frameworks. Review of Future Markets, 21, 7-29. Ross, D. G. 2010. The “dominant bank effect:” How high lender reputation affects the information content and terms of bank loans. The review of financial studies, 23(7), 2730-2756. Wallison, P. J., Burns, A. F. 2011. Financial crisis inquiry commission. Financial Crisis Inquiry Commission (FCIC), 443-538. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/82040 | - |
| dc.description.abstract | 本文主要研究2008年金融危機對資產證券化與銀行抵押貸款結構關聯性的影響；此處貸款結構係指所有通過的貸款中，高價貸款的比例。資料取自美國房屋抵押貸款披露法案資料庫，並以2004年至2017年間之房貸資料為樣本。本研究結果發現，在金融危機以前，從事證券化活動會對高價貸款比例有負向影響，意味著有從事證券化活動的銀行在審核高風險貸款時態度會較保守；此發現與過去研究關於銀行聲譽保護之論述一致。另外，本研究亦發現，從事證券化活動與高價貸款結構的負向關係在金融危機以後有所改變，可能與更嚴格的法規管制及市場約束有關。 | zh_TW |
| dc.description.provenance | Made available in DSpace on 2022-11-25T05:34:35Z (GMT). No. of bitstreams: 1 U0001-0707202119533600.pdf: 1772026 bytes, checksum: 90569a27ace52e58ec8543d92e5b2254 (MD5) Previous issue date: 2021 | en |
| dc.description.tableofcontents | "致謝 i 摘要 ii Abstract iii Table of Contents iv Table Contents v 1. Introduction 1 2. Background of the Study 4 2.1. The Rise of Mortgage Securitization 4 2.1. Post-crisis Financial Regulatory Reforms 5 3. Literature Review and Development of Hypotheses 7 3.1. Literature Review 7 3.2. Development of Hypothesis 9 4. Research Design 12 4.1. Data and Sample Selection 12 4.2. The Empirical Model 15 5. Empirical Results 17 5.1. Descriptive Statistics 17 5.2. High-priced mortgage lending structure after the financial crisis (H1) 23 5.3. The relation between securitization and high-priced mortgage lending structure before and after the financial crisis(H2a, H2b) 23 5.4. Robustness Tests 27 6. Conclusion 39 Appendix 40 References 43" | |
| dc.language.iso | en | |
| dc.subject | 金融危機 | zh_TW |
| dc.subject | 房屋抵押貸款披露法案 | zh_TW |
| dc.subject | 高價抵押貸款 | zh_TW |
| dc.subject | 證券化 | zh_TW |
| dc.subject | HMDA | en |
| dc.subject | High-priced mortgage loan | en |
| dc.subject | Securitization | en |
| dc.subject | Financial crisis | en |
| dc.title | 金融危機對資產證券化與銀行高價放款結構關聯性的影響 | zh_TW |
| dc.title | Impact of Financial Crisis on the Relation between Securitization and Banks’ High-Priced Mortgage Lending Structure | en |
| dc.date.schoolyear | 109-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.coadvisor | 尤琳蕙(Lin-Hui Yu) | |
| dc.contributor.oralexamcommittee | 張窈菱(Hsin-Tsai Liu),林純央(Chih-Yang Tseng),吳思蓉 | |
| dc.subject.keyword | 房屋抵押貸款披露法案,高價抵押貸款,證券化,金融危機, | zh_TW |
| dc.subject.keyword | HMDA,High-priced mortgage loan,Securitization,Financial crisis, | en |
| dc.relation.page | 45 | |
| dc.identifier.doi | 10.6342/NTU202101333 | |
| dc.rights.note | 同意授權(限校園內公開) | |
| dc.date.accepted | 2021-07-08 | |
| 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 | 2023-07-01 | - |
| 顯示於系所單位： | 會計學系 | |
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