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    题名: 追索權價值、負權益與違約房屋抵押貸款關連性在台灣之研究
    The study on relationship among the value of recourse, negative equity and default mortgage in Taiwan
    作者: 賴宗炘
    Lai,Tsung Hsin
    贡献者: 林左裕
    林秋瑾

    賴宗炘
    Lai,Tsung Hsin
    关键词: 違約房屋抵押貸款
    權益學說
    支付能力學說
    負權益
    貸款追索權
    Default Mortgage
    Equity Theory
    Ability-to-Pay Theory
    Negative Equity
    Right of Recourse
    日期: 2010
    上传时间: 2011-10-07 14:28:29 (UTC+8)
    摘要: 金融海嘯(financial tsunami)對全世界造成了相當大之衝擊,遭受最大損失者莫過於金融機構,其中房屋抵押貸款(mortgage)違約(default)產生之損失在銀行損失中占了一定的比例,本文認為深入研究影響違約之因素有其必要性。過去文獻於探討貸款違約時,主要可分為兩種學說,分別為權益學說(Equity Theory)與支付能力學說(Ability-to-Pay Theory),本文以台灣地區之實際房屋抵押貸款資料作為研究對象,以確認權益學說與支付能力學說於台灣房屋抵押貸款之適用程度。
    本文採用二元羅吉特迴歸模型(Binomial Logit Regression Model, BLR)與比例危機模型(Proportional Hazards Model, PHM),並於權益學說之驗證中,考慮台灣房屋抵押貸款契約中常見之貸款追索權(right of recourse),以了解是否因借款人考慮追索權價值(value of recourse)而較不易違約。
    實際結果發現,由於台灣長期房價趨勢皆為上漲之緣故,且台灣之貸款成數(Loan-to-value, LTV)較國外為低,導致處於負權益(Negative Equity)之抵押貸款筆數較少,然本研究發現,在修正了過去研究所使用之借款人權益變數後,其顯著性於BLR模型與PHM中皆較佳,而考量了追索權之價值後,考量追索權之修正後權益變數的表現更優於修正後之權益變數,顯示本研究於權益變數上之修正與考量追索權價值有助於模型改善違約預測之能力。
    就權益學說與支付能力學說而言,由於兩種學說之相關變數皆有部分變數顯著,顯示兩種學說於台灣皆有其適用性,故於違約模型中需將權益學說與支付能力學說之相關變數皆列入考慮。
    Financial tsunami caused considerable impact in the world, and the financial institutions suffered huge losses in this crisis. Mortgage default losses accounted for a certain proportion in losses of financial institutes. It’s necessary to research the factors which influence the default decisions. In the past, the literatures divided the theory related to mortgage default into two parts, the Equity theory and the Ability-to-Pay theory. This article use the mortgage data in Taiwan to confirm which theory is more applicable in Taiwan.
    To understand if the borrowers would consider value of recourse when they make decision of default, this study adopts Binomial Logit Regression Model (BLR) and Proportional Hazards Model (PHM), adding the right of recourse, which is common in the mortgage contract in Taiwan.
    The result shows that owing to the rising trend of Taiwan housing price and the lower loan-to-value (LTV) level than foreign countries, there are fewer mortgages in negative equity situation. However, we discover that after we modify equity variable, the modified equity variable is more significant than non-modified equity variable. Besides, if we consider the value of recourse, the modified equity variable with value of recourse performs best among three types of equity variable. The results above show that the modification of equity variable and the consideration of recourse can improve predicting ability of default model. And it shows the clause of recourse in Taiwan has certain influence on the decision of borrowers’ default behavior.
    Furthermore, the results of model illustrate the equity-related variables and ability-to-pay-related variables have certain explanation power on the behavior of default, which mean equity theory and ability-to-pay theory are applicable in Taiwan. We infer when carrying out the prediction of default, it’s necessary to take equity-related variables and ability-to-pay-related variables into consideration.
    參考文獻: 一、 學位論文
    王儷璇(2004),「商業銀行如何衡量住宅貸款之違約機率與違約損失率-內部模型法之應用」,國立中央大學財務金融所碩士論文。
    林炳棋(2007),「住宅抵押貸款違約損失之實證分析」,朝陽科技大學財務金融所碩士論文
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    黃建智(2004),「以卜瓦松迴歸方法探討房屋抵押貸款提前償還與違約決策」,國立政治大學企業管理學系碩士論文。
    楊博翔(2008),「點「屋」成金不是夢!—逆向房屋抵押貸款在台推行之可行性研究」,國立政治大學地政研究所碩士論文。
    劉宗哲(2002),「房屋抵押貸款客戶違約預測模式之比較研究」,國立高雄第一科技大學金融營運所碩士論文。
    鍾岳昌(2003),「以比例危險模型估計房貸借款人提前清償及違約風險」,國立政治大學財務管理研究所碩士班碩士論文。
    二、 期刊論文
    江百信、張金鶚(1995),「我國購屋貸款放款條件之研究」,3(1),1-20。
    林左裕、柯俊禎、王琮生(2006),「房貸保險之費率結構研究」,台灣土地研究,9(2),27-52。
    林左裕、賴郁媛(2005),「我國銀行業逾放比與總體經濟因素間關係之研究」,商管科技季刊,6(1),165-179。
    林哲群、張家華(2009),「房貸違約率估計之初探」,金融聯合徵信雙月刊,7,24-35。
    黃佳玲、張金鶚(2005),「從房地價格分離探討地價指數之建立」, 台灣土地研究,8(2),73-106。
    黃嘉興、謝永明、劉宗哲(2004),「房屋抵押貸款客戶違約預測模式之比較研究」,東吳經濟商學學報,48,103-126。
    楊顯爵、林左裕、陳宗豪(2006),「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(2),1-36。
    三、 會議論文
    林左裕、王美玲(2003),「應用競爭風險模型 (Competing Risks Model) 於不動產抵押貸款終止行為之探討」, 2003全國大專教師經濟金融會計研討會, 台大財金系。
    林亭妙、洪甄鎂、廖子家、廖茂原(2008),「房屋信用貸款之違約因素探討」,2008健康與管理學術研討會,元培科技大學餐飲管理系。
    賴宗炘、林左裕、林秋瑾、李展豪(2011),「追索權價值、負權益與違約房屋抵押貸款關連性在台灣之研究」,世界華人不動產學會2011年會。
    四、 國外期刊論文
    Ambrose, B. W., C. A. Capone, Jr., and Y. Deng , 2001, ”Optimal put exercise: An empirical examination of conditions for mortgage foreclosure”, Journal of Real Estate Finance and Economics, 23(2): 213–234.
    Archer, Wayne R., Peter J. Elmer, David M. Harrison, and David C. Ling, 2002, “Determinants of Multifamily Mortgage Default”, Real Estate Economics, 30: 445–473.
    Campbell, T. S. and J. K. Dietrich, 1983, “The determinants of default on insured conventional residential mortgage loans”, Journal of Finance, 38: 1569-1581.
    Childs, Paul D., Steven H. Ott and Timothy J. Riddiough, 1994, “The Value of Recourse and Cross-Default Clauses in Commercial Mortgage Contracting”, Forthcoming Journal of Banking and Finance, 20(3): 511-536.
    Cox, D.R., 1972, “Regression Models and Life-Tables”, Journal of the Royal Statistical Society, Series B (Methodological) 34: 187-220.
    Cox, J. C., Ingersoll, J. E., and Ross, S. A., 1984, “A Theory of the Term Structure of Interest Rates” , Econometrica, 53(2): 385-407.
    Crawford, G. W., and Rosenblatt, E.,1995, “Efficient Mortgage Default Option Exercise: Evidence from Loss Severity”, The Journal of Real Estate Research, 10(5): 543-556.
    Cunningham, D., and Hendershott, P. H.,1986, “Pricing FHA Mortgage Default Insurance ”, Housing Finance Review,3(4): 373-92.
    Deng, Y. H., 1997, “Mortgage Termination: An Empirical Hazard Model with Stochastic Term Structure”, Journal of Real Estate Finance and Economics, 14: 309-331.
    Calhoun, C. A. and Deng, Y., 2002, “A Dynamic Analysis of Fixed-and Adjustable Rate Mortgage Terminations ”, Journal of Real Estate Finance and Economics, 24(1/2): 9-33.
    Deng, Y., and Van Order, R., 2000, ”Mortgage Terminations, Heterogeneity and the Exercise of Mortgage Options ”, Econometrica, 68(2): 275-307.
    Foster, C., and Van Order, R., 1984,”An Option-based Model of Mortgage Default”, Housing Finance Review, 3(4): 351-372.
    Gardner, Mona, J. and Dixie L. Mills, 1989, “Evaluating the Likelihood of Default on Delinquent Loans,” Financial Management, 18: 55-63.
    Gatzlaff, Dean H., and Tirtiroglu, Dogan, 1995,“Real Estate Market Efficiency: Issues and Evidence”, Journal of Real Estate Literature, 3: 157-189.
    Jackson, Jerry R. and David L. Kaserman, 1980, “Default Risk on Home Mortgage Loans: A Test of Competing Hypotheses”, Journal of Risk and Insurance, 47: 678-690.
    Kau, J. B., Keenan, D. C., Muller, W. J. III, and Epperson, J. F.,1992, “A Generalized Valuation Model for Fixed-Rate Residential Mortgages”, Journal of Money, Credit, and Banking, 24(3): 279-298.
    Kau, J. B., Keenan, D.C., Muller, W. J. III, and Epperson, J. F., 1995, “The Valuation at Origination of Fixed-Rate Mortgages with Default and Prepayment”, Journal of Real Estate Finance and Economics, 11(1): 5-39.
    Lekkas, Quigley, and R. Van order, 1993, “Loan Loss Severity and Optimal Mortgage Default”, Journal of the American Real Estate and Urban Economics Association, 21(4): 353-371.
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    五、 專書
    林左裕(2003),《不動產投資管理》,智勝文化,台北市。
    Jolliffe, I. T, 2002, Principal component analysis, New York: Springer.
    六、 研究報告
    內政部地政司,2010,「都市地區地價指數」第35期。
    Deng, Yong heng, John M. Quigley, and Robert Van Order, 1996, “Mortgage Default and Low Down payment Loans: The Cost of Public Subsidy,” NBER Working Paper #5184.
    Ghent, A. C. and Kudlyak, M., 2009, “Recourse and Residential Mortgage Default: Theoryand Evidence from U.S. State”, Federal Reserve Bank of Richmond Working Paper No.09-10.
    International Monetary Fund, April 2010,”Global Financial Stability Report-Meeting New Challenges to Stability and Building a Safer System”, World Economic and Financial Surveys.
    七、 網站
    MBA智庫百科:
    http://www.mbalib.com/
    中央銀行:
    http://www.cbc.gov.tw/mp1.html
    中華民國統計資訊網
    http://www.stat.gov.tw/
    內政部住宅統計資訊網:
    http://housing.cpami.gov.tw/house/default.aspx
    永慶房屋
    http://yungching.housefun.com.tw/
    信義房屋
    http://www.sinyi.com.tw/
    新北市政府稅捐稽徵處
    http://www.tax-en.ntpc.gov.tw/
    臺北市稅捐稽徵處
    www.tpctax.gov.tw/eng/index.php
    標準普爾金融服務公司
    http://www.standardandpoors.com/home/en/ap
    Investopedia
    http://www.investopedia.com/terms/d/deed_in_lieu_of_foreclosure.asp
    描述: 碩士
    國立政治大學
    地政研究所
    98257004
    99
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0098257004
    数据类型: thesis
    显示于类别:[地政學系] 學位論文

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