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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/118554


    Title: 住宅抵押貸款證券與總體變數之關連性分析
    An Analysis of the Impact of Macroeconomics Variable on the Return of Mortgage-Backed Securities
    Authors: 黃慕晨
    Huang, Mu-Chen
    Contributors: 林祖嘉
    Lin, Chu-Chia
    黃慕晨
    Huang, Mu-Chen
    Keywords: 住宅抵押貸款證券
    時間序列
    Date: 2018
    Issue Date: 2018-07-10 15:36:03 (UTC+8)
    Abstract: 2008 年美國次級房貸所造成的金融風暴影響全球的實質經濟，而此次的導 火線正是住宅抵押貸款。2000 年科技泡沫讓美國進入低利率的時代，資金便宜 加上法規的緣故，讓次級貸款量大幅上升，也讓房價越炒越高。隨著 FED 升息 的政策，房價開始走跌，導致違約率與拖欠率大幅的上升，因為同一個資產池的 負債已經被包裝且賣出過好幾次，讓借貸關係牽連到許多金融機構與投資人，一 連串的連鎖反應讓許多金融機構倒閉，也讓許多投資人血本無歸。過去在金融海 嘯前就有文獻評價住宅抵押貸款的價格，一直到金融海嘯後陸續都有模型在評價 住宅抵押貸款的價格，但與實際的價格一直有所出入。可能的原因在於過去所使 用的無套利模型並沒有考慮到與過去變數之間的關係，只有客戶過去違約率會作 為模型的參考依據，但實際上其他總體或個體變數對於違約率或拖欠率都會有影 響。故本研究透過時間序列分析住宅抵押貸款與總體變數之間的的關係。本研究 的資料為 Barclays US MBS Index Total Return Value、S&P CoreLogic Case-Shiller Home price Index、消費者信心水準、聯邦基金利率、個人所得與拖欠率，本研究 發現長期來說，拖欠率與 MBS 報酬率有負向關係，個人所得與 MBS 報酬率亦 有負向關係，且短期有脫離長期關係時，MBS 市場是有效率的，會以反方向修 正回來。短期落後期數方面顯著的有 MBS 報酬率落後一期與兩期的變動率，拖 欠率落後兩期的變動率，個人所得落後一期與落後三期的變動率，表示總體經濟 變數的落後期數對於 MBS 報酬率有顯著的影響，且透過因果關係檢定可知總體 變數大多為 MBS 報酬率的先行指標。
    Reference: 參考文獻 林左裕(2004)，“台灣住宅抵押貸款終止行為之研究”，農業經濟半年刊，76，第169-195 頁
    楊顯爵、林左裕、陳宗豪(2007)， “住宅抵押貸款違約之研究 影響因素之顯著性
    分析”，台灣土地研究，11，第 1-36 頁。
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    Description: 碩士
    國立政治大學
    經濟學系 
    105258017
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0105258017
    Data Type: thesis
    DOI: 10.6814/THE.NCCU.ECONO.007.2018.F06
    Appears in Collections:[經濟學系] 學位論文

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