题名

資產證券化，房屋價格，與銀行貸放標準

并列篇名

Securitization, House Prices, and Bank Lending Standards

DOI

10.6277/TER.2017.451.2

作者

江永裕(Yeong-Yuh Chiang)；張興華(Hsing-Hua Chang)；曾秉倫(Ping-Lun Tseng)

关键词

資產證券化 ； 房屋貸款 ； 擴張信用 ； 房屋價格 ； 事前審核 ； securitization ； mortgage ； credit expansion ； house prices ； screening

期刊名称

經濟論文叢刊

卷期/出版年月

45卷1期（2017 / 03 / 01）

页次

57 - 123

内容语文

繁體中文
中文摘要

本研究建立一理論模型，在銀行利用證券化募集的資金於房屋貸款市場擴張信用的情況下，探討證券化與房屋價格的互動如何影響銀行事前審核技術的發展。若銀行比例出售貸款(loan sales)，均衡房屋價格的提高將減少清算房屋貸款的損失,降低銀行事前審核的誘因；若銀行保留權益層級(equity tranche)證券，出售債權層級(debttranche)證券，將增加清算抵押房貸的損失，提高銀行事前審核的誘因，同時隔絕房屋價格對事前審核誘因的影響。若資產證券化使銀行形成未來房屋價格上漲的預期，預期房屋價格上漲幅度愈大，清算房貸的損失愈小，會降低銀行發展事前審核技術的誘因。
英文摘要

We develop a model in which banks raise funds through securitizing their mortgage assets and use the funds to expand credits in the mortgage market, resulting in appreciation in house prices. Houses are used as collateral in mortgage contracts. Appreciation in prices of houses affects banks' incentive to screen mortgage applications. How securitization affects banks' incentive depends upon the way banks sell their securities backed by mortgages. If banks sell a proportion of their securitized packages, an appreciation of house prices lowers losses from mortgage default, and thus decreases banks' incentives to screen. If banks retain the equity tranche and sell the debt tranche, losses from mortgage default reduce banks' profits and thus banks have more incentives to screen mortgage applicants. However, changes in house prices do not affect the banks' incentives to screen mortgage applicants. Furthermore, if credit expansion by securitization leads banks to expect house-price appreciation in the future, the higher the expected appreciation, the less the expected losses from mortgage default, and the lower the banks' screening incentives.
主题分类 社會科學 > 經濟學
参考文献
  1. (2010).Handbook of Monetary Economics.
  2. Acharya, Viral,Naqvi, Hassan(2012).The Seeds of a Crisis: A Theory of Bank Liquidity and Risk Taking over the Business Cycle.Journal of Financial Economics,106,349-366.
  3. Adrian, Tobias,Shin, Hyun Song(2008).Liquidity, Monetary Policy, and Financial Cycles.Economics and Finance,14,1-7.
  4. Adrian, Tobias,Shin, Hyun Song(2009).Money, Liquidity and Monetary Policy.American Economic Review,99,600-605.
  5. Adrian, Tobias,Shin, Hyun Song(2008).FRB of New York Staff ReportFRB of New York Staff Report,未出版
  6. Allen, Franklin(1983).Credit Rationing and Payment Incentives.Review of Economic Studies,50,639-646.
  7. Allen, Franklin(2001).Do Financial Institutions Matter?.Journal of Finance,56,1165-1175.
  8. Allen, Franklin,Carletti, Elena(2010).AnOverview of the Crisis: Causes, Consequences, and Solutions.International Review of Finance,10,1-26.
  9. Allen, Franklin,Carletti, Elena,Marquez, Robert(2014).Deposits and Bank Capital Structure.Journal of Financial Economics,118,601-619.
  10. Allen, Franklin,Gale, Douglas(2000).Bubbles and Crises.Economic Journal,110,236-255.
  11. Allen, Franklin,Santomero, Anthony M.(2001).What Do Financial Intermediaries Do?.Journal of Banking and Finance,25,271-294.
  12. Benmelech, Efraim,Dlugosz, Jennifer,Ivashina, Victoria(2012).Securitization without Adverse Selection: The Case of CLOs.Journal of Financial Economics,106,91-113.
  13. Berger, Allen N.,Espinosa-Vega, Marco A.,Frame, W. Scott,Miller, Nathan H.(2011).Why Do Borrowers Pledge Collateral? New Empirical Evidence on the Role of Asymmetric Information.Journal of Financial Intermediation,20,55-70.
  14. Berger, Allen N.,Frame, W. Scott,Ioannidou, Vasso(2011).Tests of Ex Ante versus Ex Post Theories of Collateral Using Private and Public Information.Journal of Financial Economics,100,85-97.
  15. Boot, Arnoud W.A.,Thakor, Anjan V.(1993).Security Design.Journal of Finance,48,1349-1378.
  16. Borio, Claudio,Zhu, Haibin(2012).Capital Regulation, Risk-Taking and Monetary Policy: A Missing Link in the Transmission Mechanism?.Journal of Financial Stability,8,236-251.
  17. Bougheas, Spiros(2014).Pooling, Tranching, and Credit Expansion.Oxford Economic Papers,66,557-579.
  18. Boyd, John H.,Gertler, Mark(1994).Are Banks Dead? Or Are the Reports Greatly Exaggerated?.Federal Reserve Bank of Minneapolis Quarterly Review,18,1-27.
  19. Boyd, John H.,Prescott, Edward C.(1986).Financial Intermediary-Coalitions.Journal of Economic Theory,38,211-232.
  20. Broecker, Thorsten(1990).Credit-Worthiness Tests and Interbank Competition.Econometrica,58,429-452.
  21. Bubb, Ryan,Kaufman, Alex(2014).Securitization and Moral Hazard: Evidence from Credit Score Cutoff Rules.Journal of Monetary Economics,63,1-18.
  22. Caballero, Ricardo J.,Farhi, Emmanuel,Gourinchas, Pierre-Olivier(2008).An EquilibriumModel of "Global Imbalances" and Low Interest Rates.American Economic Review,98,358-393.
  23. Caballero, Ricardo J.,Krishnamurthy, Arvind(2009).Global Imbalances and Financial Fragility.American Economic Review,99,584-588.
  24. Casu, Barbara,Clare, Andrew,Sarkisyan, Anna,Thomas, Stephen(2011).Does Securitization Reduce Credit Risk Taking? Empirical Evidence from US Bank Holding Companies.European Journal of Finance,17,769-788.
  25. Cebenoyan, A. Sinan,Strahan, Philip E.(2004).Risk Management, Capital Structure and Lending at Banks.Journal of Banking and Finance,28,19-43.
  26. Cerasi, Vittoria,Rochet, Jean-Charles(2014).Rethinking the Regulatory Treatment of Securitization.Journal of Financial Stability,10,20-31.
  27. Chan, Yuk-Shee,Greenbaum, Stuart I.,Thakor, Anjan V.(1986).Information Reusability, Competition and Bank Asset Quality.Journal of Banking and Finance,10,243-253.
  28. Chemla, Gilles,Hennessy, Christopher A.(2014).Skin in the Game and Moral Hazard.Journal of Finance,69,1597-1641.
  29. Cociuba, Simona Elena,Shukayev, Malik,Ueberfeldt, Alexander(2012).University of Western Ontario, Economic Policy Research Institute, Working PapersUniversity of Western Ontario, Economic Policy Research Institute, Working Papers,未出版
  30. Dell'Ariccia, Giovanni,Igan, Deniz,Laeven, Luc(2012).Credit Booms and Lending Standards: Evidence from the Subprime Mortgage Market.Journal of Money, Credit and Banking,44,367-384.
  31. Dell'Ariccia, Giovanni,Laeven, Luc,Marquez, Robert(2014).Real Interest Rates, Leverage, and Bank Risk-Taking.Journal of Economic Theory,149,65-99.
  32. Dell'Ariccia, Giovanni,Marquez, Robert(2006).Lending Booms and Lending Standards.Journal of Finance,61,2511-2546.
  33. DeMarzo, Peter M.(2005).The Pooling and Tranching of Securities: A Model of Informed Intermediation.Review of Financial Studies,18,1-35.
  34. DeMarzo, Peter,Duffie, Darrell(1999).A Liquidity-Based Model of Security Design.Econometrica,67,65-99.
  35. Demyanyk, Yuliya,Van Hemert, Otto(2011).Understanding the Subprime Mortgage Crisis.Review of Financial Studies,24,1848-1880.
  36. Diamond, Douglas W.(1984).Financial Intermediation and Delegated Monitoring.Review of Economic Studies,51,393-414.
  37. Fender, Ingo,Mitchell, Janet(2009).Incentives and Tranche Retention in Securitisation: A Screening Model.National Bank of Belgium.
  38. Foote, Christopher L.,Gerardi, Kristopher S.,Willen, Paul S.(2012).NBER Working PaperNBER Working Paper,未出版
  39. Freixas, Xavier,Hurkens, Sjaak,Morrison, Alan D.,Vulkan, Nir(2007).Interbank Competition with Costly Screening.B.E. Journal of Theoretical Economics,7,1-27.
  40. Gan, Yingjin Hila,Mayer, Christopher(2006).NBER Working PaperNBER Working Paper,未出版
  41. Gehrig, Thomas(1998).Screening, Cross-Border Banking, and the Allocation of Credit.Research in Economics,52,387-407.
  42. Gennaioli, Nicola,Shleifer, Andrei,Vishny, Robert(2012).Neglected Risks, Financial Innovation, and Financial Fragility.Journal of Financial Economics,104,452-468.
  43. Glaeser, Edward L.,Gyourko, Joseph,Saks, Raven(2005).Why Is Manhattan So Expensive? Regulation and the Rise in Housing Prices.Journal of Law and Economics,48,331-369.
  44. Glaeser, Edward L.,Gyourko, Joseph,Saks, Raven E.(2005).Why Have Housing Prices Gone Up?.American Economic Review,95,329-333.
  45. Goel, Anand M.,Song, Fenghua,Thakor, Anjan V.(2014).Correlated Leverage and Its Ramifications.Journal of Financial Intermediation,23,471-503.
  46. Goetzmann, William N.,Peng, Liang,Yen, Jacqueline(2012).The Subprime Crisis and House Price Appreciation.Journal of Real Estate Finance and Economics,44,36-66.
  47. Gorton, Gary(2009).The Subprime Panic.European Financial Management,15,10-46.
  48. Gorton, Gary B.,Pennacchi, George G.(1995).Banks and Loan Sales Marketing Nonmarketable Assets.Journal of Monetary Economics,35,389-411.
  49. Gorton, Gary,Metrick, Andrew(2010).Haircuts.Federal Reserve Bank of St. Louis Review,92,507-519.
  50. Gorton, Gary,Metrick, Andrew(2012).Securitized Banking and the Run on Repo.Journal of Financial Economics,104,425-451.
  51. Gorton, Gary,Ordoñez, Guillermo(2014).Collateral Crises.American Economic Review,104,343-378.
  52. Greenbaum, Stuart I.,Thakor, Anjan V.(1987).Bank Funding Modes: Securitization versusDeposits.Journal of Banking and Finance,11,379-401.
  53. Hakenes, Hendrik,Schnabel, Isabel(2010).Credit Risk Transfer and Bank Competition.Journal of Financial Intermediation,19,308-332.
  54. Holmstrom, Bengt,Tirole, Jean(1997).Financial Intermediation, Loanable Funds, and the Real Sector.Quarterly Journal of Economics,112,663-691.
  55. Hughes, Joseph P.,Mester, Loretta J.(2013).Who Said Large Banks Don't Experience Scale Economies? Evidence from a Risk-Return-Driven Cost Function.Journal of Financial Intermediation,22,559-585.
  56. Hughes, Joseph P.,Mester, Loretta J.,Moon, Choon-Geol(2001).Are Scale Economies in Banking Elusive or Illusive? Evidence Obtained by Incorporating Capital Structure and Risk-Taking into Models of Bank Production.Journal of Banking and Finance,25,2169-2208.
  57. Iacoviello, Matteo(2005).House Prices, Borrowing Constraints, and Monetary Policy in the Business Cycle.American Economic Review,95,739-764.
  58. Innes, Robert D.(1990).Limited Liability and Incentive Contracting with Ex-Ante Action Choices.Journal of Economic Theory,52,45-67.
  59. Jaffee, Dwight M.,Russell, Thomas(1976).Imperfect Information, Uncertainty, and Credit Rationing.Quarterly Journal of Economics,90,651-666.
  60. James, Christopher(1988).The Use of Loan Sales and Standby Letters of Credit by Commercial Banks.Journal of Monetary Economics,22,395-422.
  61. Keys, Benjamin J.,Mukherjee, Tanmoy,Seru, Amit,Vig, Vikrant(2010).Did Securitization Lead to Lax Screening? Evidence from Subprime Loans.Quarterly Journal of Economics,125,307-362.
  62. Kiff, John,Kisser, Michael(2014).A Shot at Regulating Securitization.Journal of Financial Stability,10,32-49.
  63. Kiyotaki, Nobuhiro,Moore, John(1997).Credit Cycles.Journal of Political Economy,105,211-248.
  64. Leland, Hayne E.,Pyle, David H.(1977).Informational Asymmetries, Financial Structure, and Financial Intermediation.Journal of Finance,32,371-387.
  65. Lustig, Hanno N.,Van Nieuwerburgh, Stijn G.(2005).Housing Collateral, Consumption Insurance, and Risk Premia: An Empirical Perspective.Journal of Finance,60,1167-1219.
  66. Manove, Michael A.,Padilla, Jorge,Pagano, Marco(2001).Collateral versus Project Screening: A Model of Lazy Banks.RAND Journal of Economics,32,726-744.
  67. Mayer, Christopher,Pence, Karen,Sherlund, Shane M.(2009).The Rise in Mortgage Defaults.Journal of Economic Perspectives,23,27-50.
  68. Mian, Atif,Sufi, Amir(2009).The Consequences of Mortgage Credit Expansion: Evidence from the U.S. Mortgage Default Crisis.Quarterly Journal of Economics,124,1449-1496.
  69. Myers, Stewart C.,Majluf, Nicholas S.(1984).Corporate Financing and Investment Decisions When Firms Have Information That Investors Do Not Have.Journal of Financial Economics,13,187-221.
  70. Nadauld, Taylor D.,Sherlund, Shane M.(2013).The Impact of Securitization on the Expansion of Subprime Credit.Journal of Financial Economics,107,454-476.
  71. Parlour, Christine A.,Plantin, Guillaume(2008).Loan Sales and Relationship Banking.Journal of Finance,63,1291-1314.
  72. Pennacchi, George G.(1988).Loan Sales and the Cost of Bank Capital.Journal of Finance,43,375-396.
  73. Rajan, Raghuram G.(2006).Has Finance Made the World Riskier?.European Financial Management,12,499-533.
  74. Rajan, Raghuram G.(1994).Why Bank Credit Policies Fluctuate: A Theory and Some Evidence.Quarterly Journal of Economics,109,399-441.
  75. Rajan, Uday,Seru, Amit,Vig, Vikrant(2010).Statistical Default Models and Incentives.American Economic Review,100,506-510.
  76. Repullo, Rafael,Suarez, Javier(2000).Entrepreneurial Moral Hazard and Bank Monitoring: A Model of the Credit Channel.European Economic Review,44,1931-1950.
  77. Riddiough, Timothy J.(1997).Optimal Design and Governance of Asset-Backed Securities.Journal of Financial Intermediation,6,121-152.
  78. Santomero, Anthony M.,Trester, Jeffrey J.(1998).Financial Innovation and Bank Risk Taking.Journal of Economic Behavior and Organization,35,25-37.
  79. Shin, Hyun Song(2009).Securitisation and Financial Stability.Economic Journal,119,309-332.
  80. Shleifer, Andrei,Vishny, Robert W.(2010).Unstable Banking.Journal of Financial Economics,97,306-318.
  81. Stiglitz, Joseph E.,Weiss, Andrew(1981).Credit Rationing in Markets with Imperfect Information.American Economic Review,71,393-410.
  82. Thakor, Anjan V.(1996).Capital Requirements, Monetary Policy, and Aggregate Bank Lending: Theory and Empirical Evidence.Journal of Finance,51,279-324.
  83. Wheelock, David C.,Wilson, Paul W.(2012).Do Large Banks Have Lower Costs? New Estimates of Returns to Scale for U.S. Banks.Journal of Money, Credit and Banking,44,171-199.
  84. Zarutskie, Rebecca(2013).Competition, Financial Innovation and Commercial Bank Loan Portfolios.Journal of Financial Intermediation,22,373-396.
被引用次数
  1. 曾秉倫,郭文忠(2021)。金融科技、房屋價格、與銀行審核誘因。住宅學報，30(2)，67-96。
  2. 劉啟群,楊東叡,吳思蓉(2023)。資產證券化對銀行抵押貸款規模成長之影響。會計評論，77，33-89。
  3. (2020)。人口結構、醫療資源與房價關係－ 以新北市 29 區資料實證分析。臺灣銀行季刊，71(1)，89-113。
print cancel