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研究生:王瑋茹
研究生(外文):WANG. WEI-JU
論文名稱:抵押品、貸款利差與事後違約:抵押品流動性及類型之觀察
論文名稱(外文):Collateral, Loan Spread and Nonperformance: A Test of Collateral Liquidity and Types
指導教授:劉志良劉志良引用關係
指導教授(外文):LIU, CHIH-LIANG
口試委員:張子溥邱敬貿
口試委員(外文):CHANG, TZU-PUCHIU, JUN-MAO
口試日期:2017-06-14
學位類別:碩士
校院名稱:國立雲林科技大學
系所名稱:財務金融系
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:2017
畢業學年度:105
語文別:中文
論文頁數:51
中文關鍵詞:抵押品貸款利差事後違約
外文關鍵詞:collateralloan spreadnonperformance
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本研究以2002年至2013年台灣上市非金融業公司為樣本對象,採用最小平方法OLS,探討台灣借貸市場中,抵押品對貸款利差與事後違約之影響為何,並將抵押品依流動性性質分為具流動性抵押品與非流動性抵押品,以及將抵押品依照類型區分14種類型,包含:定存、證券、機構擔保、建物、土地、出租資產、機器設備、交通工具、客票、行為擔保、票據擔保、存貨及應收款、固定資產、其他。本研究結果顯示,使用抵押品的貸款有較高的貸款利差與事後違約;具流動性抵押品與非流動抵押品皆有較高的貸款利差與事後違約;而依抵押品類型來看的話,定存、證券、機構擔保、客票、存貨及應收款、其他有較高的貸款利差,定存、證券、建物、機器設備、存貨及應收款則有較高的事後違約。
Using non-financial firm as sample from 2002 to 2013, this research utilizes the Ordinary Least Squares model (OLS) to analyze how the collateral affects the loan spread and nonperformance in lending market in Taiwan. We examine collateral on the loan spread and nonperformance, then we limit sample to pledged loans and distinguish collateral into liquid and illiquid. And we also divide collateral into 14 different types. The empirical evidence shows that collateral is associated with higher loan spread and nonperformance. The result of liquid and illiquid collateral is consistent with the empirical of collateral. And individual collateral types show different results. Most significant result shows that collateral types are associated with higher loan spread and nonperformance.
摘要 i
ABSTRACT ii
目錄 iii
表目錄 iv
圖目錄 v
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 2
第三節 研究流程 4
第二章 文獻探討與假說 5
第一節 信號發射說與道德危機說 5
第二節 貸款利差與使用抵押品之關係 6
第三節 事後違約與使用抵押品之關係 7
第四節 貸款利差與具流動性抵押品之關係 8
第五節 事後違約與具流動性抵押品之關係 8
第六節 各類型抵押品與貸款利差、事後違約之關係 9
第三章 研究方法與模型 11
第一節 資料與變數 11
第二節 敘述性統計 19
第三節 相關性分析 22
第四節 研究模型 27
第四章 實證結果與分析 32
第五章 結論與建議 41
第一節 結論 41
第二節 研究限制與建議 42
參考文獻 43

中文文獻
1.杜玠瑤,2012,「台灣企業的借款利差與利差波動之研究」。國立中央大學財務金融學系研究所,碩士論文。
2.陳家彬、賴怡洵,2001,「台灣地區銀行放款有無擔保之決定因素-Logit 模型之實證分析」。管理評論,第二十期,頁129-159。
英文文獻
1.Benmelech, Efraim, Bergman, and Nittai K., 2009, "Collateral Pricing", Journal of Financial Economics 91(3), pp. 339-360.
2.Benmelech, Efraim, Garmaise, Mark J., Moskowitz, and Tobias J., 2005, "Do Liquidation Values Affect Financial Contracts? Evidence from Commercial Loan Contracts and Zoning Regulation", Quarterly Journal of Economics 120(3), pp. 1121-1154.
3.Berger, A. N., Scott Frame, W., and Ioannidou, V., 2015, "Reexamining the Empirical Relation Between Loan Risk and Collateral: The Roles of Collateral Liquidity and Types", Journal of Financial Intermediation 26, pp. 28-46.
4.Berger, A. N., Scott Frame, W., and Ioannidou, V., 2011, "Tests of Ex Ante Versus Ex Post Theories of Collateral Using Private and Public Information", Journal of Financial Economics 100(1), pp. 85-97.
5.Berger, A. N., & Udell, G. F., 1990, "Collateral, Loan Quality, and Bank Risk", Journal of Monetary Economics 25(1), pp.21-42.
6.Besanko, David, Thakor, and AnjanV., 1987, "Collateral and Rationing: Sorting Equlibria in Monopolistic and Competitive Credit Markets", International Economic Review 28, pp. 671-689.
7.Bester, H., 1985, "Screening vs. Rationing in Credie Markets with Imperfect Information", American Economic Review 75, pp. 850-855.
8.Bharath, S. T., Dahiya, S., Saunders, A., and Srinivasan, A, 2011, "Lending Relationships and Loan Contract Terms", Review of Financial Studies 24(4), pp. 1141-1203.
9.Boot, Aroud W. A., Thakor, and Anjan V, 1994, "Moreal Hazard And Secured Lending in An Infinitely Repeated Credit Market Game", International Economic Review 35(4), pp. 899-920.
10.Brick, I. E., and Palia, D., 2007, "Evidence of Jointness in the Terms of Relationship Lending", Journal of Financial Intermediation 16(3), pp. 452-476.
11.Cerqueiro, G., Ongena, S., and Roszbach, K, 2016, "Collateralization, Bank Loan Rates, and Monitoring", The Journal of Finance 71(3), pp. 1295-1322.
12.Chan, Y.-S., and Thakor, A. V., 1987, "Collateral and Competitive Equilibria with Moral Hazard and Private Information", Journal of Finance 42, pp. 345-364.
13.Godlewski, C. J., and Weill, L., 2011, "Does Collateral Help Mitigate Adverse Selection? A Cross-Country Analysis", Journal of Financial Services Research 40(1-2), pp. 49-78.
14.Gonas, J. S., Highfield, M., & Mullineaux, D. (2004). "When are Commercial Loans Secured", The Financial Review, 39, pp. 79-99.
15.Harris, Milton, Raviv, & Artur. (1990). "Capital Structure and the Informational Role of Debt", Journal of Finance, 45(2), pp. 321-349.
16.Jiménez, Gabriel, Saurina, and Jesús., 2004, "Collateral, Yype of Lender and Relationship Banking as Determinants of Credit Risk", Journal of Banking and Finance 28(9), pp. 2191-2212.
17.Liberti, Jose Maria, Sturgess, and Jason, 2014, "Uncovering Collateral Constraints", working paper.
18.Manove, Michael, Padilla, A. Jorge, Pagano, and Marco, 2001, "Collateral versus Project Screening: A Model of Lazy Banks", RAND Journal of Economics 32(4), pp. 726-744.


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