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研究生:陳宏年
研究生(外文):Hung- Nien Chen
論文名稱:銀行房貸業務、資訊不對稱與訂價策略
論文名稱(外文):Banking Mortgage Loan, Asymmetric Information and Pricing Strategy
指導教授:林益倍林益倍引用關係
指導教授(外文):Yih-Bey Lin
學位類別:碩士
校院名稱:朝陽科技大學
系所名稱:財務金融系碩士班
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2009
畢業學年度:97
語文別:中文
論文頁數:50
中文關鍵詞:房屋抵押貸款資訊不對稱利率
外文關鍵詞:Housing LoanAsymmetric InformationInterest Rate
相關次數:
  • 被引用被引用:4
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  • 下載下載:51
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本文採用修正的Chiappori and Salanié (2000)及Dionne et al. (2001)的計量方法,以檢驗資訊不對稱是否存在於銀行房貸市場。研究實證發現,銀行在面臨不同的貸款者或給予貸款者不同的貸款條件時,會產生資訊不對稱現象。特別是貸款者年齡趨於極端值時或貸款金額超過200萬,貸款戶易有道德危機產生。若銀行不管保障高低均給予貸款人高利率,將吸引到高風險貸款人產生逆選擇問題;高風險貸款人為了高利率的還款壓力而進行高風險投資,產生道德危機。此外,銀行欲直接以利率作為降低資訊不對稱的手段,效果有限,需配合一些授信條件才能有效降低資訊不對稱問題。
This paper demonstrates the existence of asymmetric information in the bank housing loan market. A large body of research papers examine whether the value of collateral mitigates the effect of asymmetric information between lenders and borrowers. We reexamine the variables of interest rate, whether the adjustment of pricing strategy in lenders helps to control the problems of asymmetric information. On the basis of the econometric model of and Dionne et al. (2001), we examine whether adverse selection or moral hazard exists in the housing loan market, and using Chiappori and Salanié (2000), we create a practical econometrics model to prove asymmetric information. That is, the models consider the generalized correlation between error terms form two bivariate models. This empirical finding supports the existence of asymmetric information; in particular, moral hazard exists mainly in the market and indeed interest rate can limitly release asymmetric information problem.
第ㄧ章 前言.................................................................................................... 1
第一節 研究背景與動機.................................................................. 1
第二節 研究目的.............................................................................. 4
第三節 研究方法.............................................................................. 4
第四節 研究架構.............................................................................. 5
第二章 文獻探討............................................................................................ 7
第一節 國內相關文獻評述.............................................................. 7
第二節 國外相關文獻評述............................................................ 11
第三章 研究方法.......................................................................................... 17
第一節 控制利率是否能降低資訊不對稱.................................... 17
第二節 樣本敘述............................................................................ 20
第三節 實證模型設定.................................................................... 22
第四章 實證結果與分析.............................................................................. 29
第一節 樣本敘述統計量................................................................ 29
IV
第二節 銀行房貸市場資訊不對稱之檢測.................................... 33
第三節 利率與保障對資訊不對稱的影響.................................... 40
第五章 結論.................................................................................................. 45
參考文獻.......................................................................................................... 47
一、中文部分...................................................................................... 47
二、英文部分...................................................................................... 48
V
圖表目錄
圖1-1 研究流程圖............................................................................................... 6
表1-1 銀行貸款業務表........................................................................................ 2
表3-1 變數說明.................................................................................................. 21
表3-2 違約金額定義.......................................................................................... 26
表4-1 全體樣本敘述統計量............................................................................. 30
表4-2 類別化全體樣本敘述統計量................................................................. 31
表4-3 分類後個別樣本敘述統計量................................................................. 32
表4-4 不同樣本下,控制利率對W 的影響.................................................... 33
表4-5 全體樣本估計量...................................................................................... 33
表4-6 Model 4 與Model 4-1 的分析結果........................................................ 35
表4-7 違約金額與年齡之測試(Model4) .......................................................... 36
表4-8 違約金額與年齡之測試(Model4-1) ....................................................... 38
表4-9 高、低利率樣本下,利率變數對W 的影響........................................ 39
表4-10 利率與保障配對下,利率變數對W 的影響...................................... 41
表4-11 高利率VS.高保障(HH) 與 高利率VS.低保障(HL)......................... 42
表4-12 低利率VS.高保障(LH) 與 低利率VS.低保障(LL) ......................... 43
一、中文部分
1.李桐豪、呂美慧 (2000)。金融機構房貸客戶授信評量模式分析-Logistic迴歸之應用。台灣金融財務季刊,1(1),1-20。
2.汪琪玲 (2006)。台灣車體損失險契約中存在之資訊不對稱問題。台大管理論叢,16(12),161-186。
3.周欣怡 (2007)。房屋貸款違約預測-存活分析模型之應用。真理大學財經研究所碩士論文。
4.張雅君 (2007)。商業銀行房貸客戶違約因素之探討。世新大學財務金融研究所碩士論文。
5.陳清泉 (2003)。風險基礎下不動產放款訂價之可行性研究。淡江大學財務金融研究所碩士論文。
6.郭姿伶 (2000)。住宅貸款之提前清償與逾期放款。國立中正大學財務金融研究所碩士論文。
7.蔡英哲 (2008)。不對稱訊息在台灣車體保險市場之研究。國立台灣大學財務金融研究所博士論文。
8.蔡敏華 (2001)。風險評估報告與銀行授信決策之分析。東吳大學會計研究所碩士論文。
9.賴政治 (2002)。汽車第三人責任保險理賠與逆選擇之研究-主成分因素分析與迴歸分析之應用。高雄第一科技大學風險管理與保險學系研究所 碩士論文。
二、英文部分
1.Akerlof, G. (1970). The market for lemons: Quality uncertainty and the market mechanism. Quarterly Journal of Economics, 84, 488-500.
2.Amir, S. (2007). Information Asymmetry and Financing Arrangements: Evidence from Syndicated Loans. Journal of Finance, 62, 629-668.
3.Aoki, T. (2005). Proposed modified probit model incorporating non-parametric density estimation: how to measure asymmetric information in the health insurance market?. Applied Economics Letters, 12, 347-350.
4.Bebchuk, L. A. (2002). Ex Ante Costs of Violating Absolute Priority in Bankruptcy. Journal of Finance, 57, 445-460.
5.Chae, J. (2005). Trading Volume, Information Asymmetry, and Timing Information. Journal of Finance, 60, 413-442.
6.Chiappori, P-A and Salanié, B. (2000). Testing for Asymmetric Information in Insurance Market. Journal of Political Economy, 108, 56-78.
7.Cohen, A. (2005). Asymmetric Information and Learning : Evidencefrom the Automobile Insurance Market. Review of Economics and Statistics, 87, 197-207.
8.Dionne, G., Gourieroux, C. and Vanasse, C. (2001). Testing for Evidence of the Automobile Insurance Market: A Comment. Journal of Political Economy , 109, 44.
9.Finkelstein, A. and McGarry, K. (2006). Mutiple Dimensions of Private Information: Evidence from the Long-Term Care Insurance Market. American Economic Review, 96, 938-958.
10.Finkelstein, A. and Poterba, J. (2004). Adverse Selection in Insurance Markets:Policyholder Evidence from the U.K. Annuity Market. Journal of Political Economy, 112, 183-208.
11.Gan, J. (2004). Banking market structure and financial stability: Evidence from the Texas real estate crisis in the 1980s. Journal of Financial Economics, 73, 567–601.
12.Garmaise, M. J. and Moskowitz, T. J. (2004). Confronting Information Asymmetries: Evidence from Real Estate Markets. Review of Financial Studies, 17, 405-437.
13.Gilligan, T. W. (2004). Lemons and Leases in the Used Business Aircraft Market. Journal of Political Economy, 112, 1157-1180.
14.Li, C. S., Liu, C. C. and Yeh, J. H. (2007). The Incentive Effects of Increasing Per-Claim Deductible Contracts In Automobile Insurance. Journal of Risk and Insurance, 74, 441-459.
15.Mester, L. J., Leonard I. and Nakamura, M. R. (2007). Transactions Accounts and Loan Monitoring. Review of Financial Studies, 20, 529-556.
16.Reiss, P. C. and Werner, I. M. (2004). Anonymity, Adverse Selection, and the Sorting of Interdealer Trades. Review of Financial Studies, 18, 599-636.
17.Robert, P. and Arthur, S. (1994). Evidence on adverse selection: equilibrium signaling and cross-subsidization in the insurance market. Journal of Political Economy, 102, 236–257.
18.Rothschild, M. and Stiglitz, J. E. (1976). Equilibrium in Competitive Insurance Market: An Essay on the Economics of Imperfect Information. Quarterly Journal of Economics, 90, 629-650.
19.Ruckes, M. (2004). Bank Competition and Credit Standards. Review of Financial Studies, 17, 1073-1102.
20.Saito, K. (2006). Testing for Asymmetric Information in the Automobile Insurance Market Under Rate Regulation. Journal of Risk and Insurance, 73, 335-356
21.Shavell, S. (1979) .On moral hazard and insurance. Quarterly Journal of Economics.,93, 541-562.
22.Wang, J. L., Chung, C. F. and Tzeng, L. Y. (2008). An Empirical Analysis of the Effects of Increasing Deductibles on Moral Hazard. Journal of Risk and Insurance, 75, 551-566.
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