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題名：房價偏離值與銀行績效關係的研究：跨國的實證分析
書刊名：證券市場發展季刊
作者：沈中華 引用關係／王健安 引用關係／林昆立 引用關係
作者(外文)：Shen, Chung-hua／Wang, Chien-an／Lin, Kun-li
出版日期：2014
卷期：26:4=104
頁次：頁1-37
主題關鍵詞：房價偏離值；銀行績效；非單調線性關係；偏離假說；House price deviations from fundamentals；Banking performance；Non-monotonic linear relationship；Deviation hypothesis
原始連結：連回原系統網址new window
相關次數：
  • 被引用次數被引用次數:期刊(2) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:2
  • 共同引用共同引用:38
  • 點閱點閱:38
本研究以1998年至2008年，來自20個國家，共1,790家商業銀行的追踪樣本，討論房價與銀行績效的關係。本研究設計三種房價指標：房價成長率、房價偏離基本價值的水準值與比率值，以及三種銀行績效的衡量指標：資產報酬率、股東權益報酬率與逾放比，主要結論有兩個：（1）房價成長率與銀行逾放比率呈現先下降，後上升的非單調線性關係。（2）房價偏離基本價值的比率越高，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，將使銀行逾放比上升且獲利下降，此符合偏離假說的邏輯。
This study investigates the relationships between the house price and the banking performance sampling the panel data from 20 countries and their 1,790 commercial banks at the period of 1998-2008. Three proxies of house price, the growth ratio of house price, the house price deviations from fundamentals, and its ratio scaled by house price are used; and three proxies of banking performance, return of assets (ROA), return of equities (ROE), and non-performing loan ratio (NPL), are also measured. Two main findings are as followings. First, the growth rate of the house price shows the non-monotonic linear relationship with the banks asset quality, which is proxy by NPL. Second, the rise of deviation ratio of house price increases the NPL and decreases the profit significantly. This result supports the deviation hypothesis.
期刊論文
1.王景南、葉錦徽、林宗漢(20110300)。臺灣房市存在價格泡沫嗎？。經濟論文，39(1)，61-89。new window  延伸查詢new window
2.Von Peter, G.(2009)。Asset Prices and Banking Distress: A Macroeconomic Approach。Journal of Financial Stability，33，298-319。  new window
3.Allen, T. M.、Madura, J.、Wiant, K. J.(1995)。Commercial Bank Exposure and Sensitivity to the Real Estate Market。The Journal of Real Estate Research，10(2)，129-140。  new window
4.Barrell, R.、Davis, E. P.、Karim, D.、Liadze, I.(2010)。Bank Regulation, Property Prices and Early Warning Systems for Banking Crises in OECD Countries。Journal of Banking and Finance，34(9)，2455-2464。  new window
5.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。  new window
6.Black, A.、Fraster, P.、Hoesli, M.(2006)。House Prices, Fundamentals and Bubbles。Journal of Business Finance & Accounting，33，1535-1555。  new window
7.Case, K. E.、Shiller, R. J.(2003)。Is There a Bubble in the Housing Market? Comments and Discussion。Brookings Papers on Economic Activity，2，299-362。  new window
8.Daglish, T.(2009)。What Motivates a Subprime Borrower to Default?。Journal of Banking and Finance，33，681-693。  new window
9.Ebrahim, M. S.、Hussain, S.(2010)。Financial Development and Asset Valuation: The Special Case of Real Estate。Journal of Banking and Finance，34，150-162。  new window
10.Gerlach, S.、Peng, W.(2005)。Bank Lending and Property Prices in Hong Kong。Journal of Banking and Finance，29(2)，461-481。  new window
11.Hui, E. C. M.、Yue, S.(2006)。Housing Price Bubbles in Hong Kong, Beijingand Shanghai: A Comparative Study。Journal of Real Estate Finance and Economics，33，299-327。  new window
12.Koetter, M.、Poghosyan, T.(2010)。Real Estate Prices and Bank Stability。Journal of Banking and Finance，34(6)，1129-1138。  new window
13.McCarthy, J.、Peach, R.(2004)。Are Home Prices the Next Bubble?。Federal Bank of New York Economic Policy Review，10，5-17。  new window
14.Muellbauer, J.、Murphy, A.(1997)。Booms and Busts in the UK Housing Market。Economic Journal，107，1701-1727。  new window
15.Pan, H.、Wang, C.(2013)。House Prices, Bank Instability, and Economic Growth: Evidence from the Threshold Model。Journal of Banking Finance，37，1720-1732。  new window
16.Pedroni, P.(2001)。Purchasing Power Parity in Cointegrated Panels。The Review of Economics and Statistics，83，727-731。  new window
17.Peek, J.、Rosengren, E. S.(2000)。Collateral Damage: Effects of the Japanese Bank Crisis on Real Activity in the United States。American Economic Review，90，30-45。  new window
18.Sekine, T.、Kobayashi, K.、Saita, Y.(2003)。Forbearance Lending: A Case for Japanese Firms。Monetary and Economic Studies, Bank of Japan，21(2)，69-92。  new window
19.Smith, M. H.、Smith, G.、Mayer, C.、Shiller, R. J.(2006)。Bubble, Bubble: Where's the Housing Bubble? Comments and Discussion。Brookings Papers on Economic Activity，1，1-67。  new window
20.Shehzad, C. T.、Haan, J.、Scholtens, B.(2010)。The Impact of Bank Ownership Concentration on Impaired Loans and Capital Adequacy。Journal of Banking and Finance，34，399-408。  new window
21.Bourassa, S. C.、Hendershott, P. H.、Murphy, J.(2001)。Further evidence on the existence of housing market bubbles。Journal of Property Research，18(1)，1-19。  new window
22.Beck, T.、Demirgüç-Kunt, A.、Levine, R.(2006)。Bank Concentration, Competition and Crises: First results。Journal of Banking and Finance，30(5)，1581-1603。  new window
23.Sachs, Jeffrey D.、Tornell, Aaron、Velasco, Andrés(1996)。Financial Crises in Emerging Markets: The Lessons From 1995。Brookings Papers on Economic Activity，1996(1)，147-215。  new window
24.Lepetit, Laetitia、Nys, Emmanuelle、Rous, Philippe、Tarazi, Amine(2008)。Bank Income Structure and Risk: An Empirical Analysis of European Banks。Journal of Banking and Finance，32(8)，1452-1467。  new window
25.Poterba, J. M.(1984)。Tax Subsidies to Owner-Occupied Housing: An Asset-Market Approach。Quarterly Journal of Economics，99(4)，729-752。  new window
26.Himmelberg, Charles、Mayer, Christopher、Sinai, Todd(2005)。Assessing High House Prices: Bubbles, Fundamentals and Misperceptions。Journal of Economic Perspectives，19(4)，67-92。  new window
27.Pedroni, Peter(2000)。Fully Modified OLS for Heterogeneous Cointegrated Panels。Advances in Econometrics，15(1)，93-130。  new window
28.張金鶚、陳明吉、鄧筱蓉、楊智元(20091200)。臺北市房價泡沫知多少？--房價vs.租金、房價vs.所得。住宅學報，18(2)，1-22。new window  延伸查詢new window
29.Fernández-Kranz, Daniel、Hon, Mark 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)，449-470。  new window
30.Case, Karl E.、Quigley, John M.、Shiller, Robert J.(2005)。Comparing Wealth Effects: The Stock Market versus the Housing Market。Advances in Macroeconomics，5(1)，1-32。  new window
31.Caprio, Gerard、Laeven, Luc A.、Levine, Ross(2007)。Governance and Bank Valuation。Journal of Financial Intermediation，16(4)，584-617。  new window
會議論文
1.Bernanke, B. S.(2010)。Monetary Policy and the Housing Bubble。The Annual Meeting of the American Economic Association。  new window
2.IMF(2003)。Financial System Stability Assessment。International Monetary Fund Conference in Washington。  new window
研究報告
1.Bank for International Settlements(2006)。Housing Finance in the Global Financial Market。CGFS (Committee on the Global Financial System)。  new window
2.Phillips, P. C. B.、Yu, J.(2010)。Dating the Timeline of Financial Bubbles during the Subprime Crisis。Singapore Management University。  new window
圖書
1.Tsuru, K.(2001)。The Choice of Lending Patterns by Japanese Banks During the 1980s and 1990s: The Causes and Consequences of a Real Estate Lending Boom。  new window
2.王健安(2012)。不動產財務：理論與實務。臺北：指南。  延伸查詢new window
3.Davis, E. P.、Zhu, H.(2005)。Commercial Property Prices and Bank Performance。  new window
4.Goodhart, C.、Hofmann, B.(2007)。House Prices and the Macroeconomy: Implications for Banking and Price Stability。New York, NY：Oxford University Press。  new window
5.Hilbers, P.、Lei, Q.、Zacho, L.(2001)。Real Estate Market Developments and Financial Sector Soundness。  new window
6.Hilbers, P.、Hoffmaister, A.、Banerji, A.、Shi, H.(2008)。House Price Developments in Europe: A Comparison。  new window
7.Iossifov, P.、Cihak, M.、Shanghavi, A.(2008)。Interest Rate Elasticity of Residential Housing Prices。  new window
8.McQuinn, K.、O'Reilly, G.(2007)。A Model of Cross-Country House Prices。  new window
9.Pedroni, P.(1996)。Fully Modified OLS for Heterogeneous Cointegrated Panels and the Case of Purchasing Power Parity。Indiana University。  new window
10.Reinhart, C. M.、Rogoff, K. S.(2008)。This Time Is Different: A Panoramic View of Eight Centuries of Financial Crises。  new window
11.Allen, F.、Gale, D.(2001)。Comparing Financial Systems。Cambridge, MA：MIT Press。  new window
12.Barth, J. R.、Caprio, G.、Levine, R.(2006)。Rethinking Bank Regulation: Till Angels Govern。New York, NY：Cambridge：Cambridge University Press。  new window
 
 
 
 
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