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題名 Securitization, House Prices, and Bank Lending Standards. (In Chinese. With English summary.) 資產證券化, 房屋價格, 與銀行貸放標準
作者 張興華
Chiang, Yeong-Yuh
Chang, Hsing-Hua
Tseng, Ping-Lun
貢獻者 金融學系
關鍵詞 Bank; Bank Lending; Credit; Lending; Mortgage; Mortgage Market; Securitization
日期 2017-03
上傳時間 12-Sep-2017 17:19:04 (UTC+8)
摘要 We develop a model in which banks raise funds through securitizing their mortgage assets and use the funds to expand credits in the mortgage market, resulting in appreciation in house prices. Houses are used as collateral in mortgage contracts. Appreciation in prices of houses affects banks` incentive to screen mortgage applications. How securitization affects banks` incentive depends upon the way banks sell their securities backed by mortgages. If banks sell a proportion of their securitized packages, an appreciation of house prices lowers losses from mortgage default, and thus decreases banks` incentives to screen. If banks retain the equity tranche and sell the debt tranche, losses from mortgage default reduce banks` profits and thus banks have more incentives to screen mortgage applicants. However, changes in house prices do not affect the banks` incentives to screen mortgage applicants. Furthermore, if credit expansion by securitization leads banks to expect house-price appreciation in the future, the higher the expected appreciation, the less the expected losses from mortgage default, and the lower the banks` screening incentives.
關聯 Taiwan Economic Review, v. 45, iss. 1, pp. 57-123
資料類型 article
DOI http://dx.doi.org/10.6277/TER.2017.451.2
dc.contributor 金融學系zh_TW
dc.creator (作者) 張興華zh_TW
dc.creator (作者) Chiang, Yeong-Yuhen_US
dc.creator (作者) Chang, Hsing-Huaen_US
dc.creator (作者) Tseng, Ping-Lunen_US
dc.date (日期) 2017-03
dc.date.accessioned 12-Sep-2017 17:19:04 (UTC+8)-
dc.date.available 12-Sep-2017 17:19:04 (UTC+8)-
dc.date.issued (上傳時間) 12-Sep-2017 17:19:04 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/112592-
dc.description.abstract (摘要) We develop a model in which banks raise funds through securitizing their mortgage assets and use the funds to expand credits in the mortgage market, resulting in appreciation in house prices. Houses are used as collateral in mortgage contracts. Appreciation in prices of houses affects banks` incentive to screen mortgage applications. How securitization affects banks` incentive depends upon the way banks sell their securities backed by mortgages. If banks sell a proportion of their securitized packages, an appreciation of house prices lowers losses from mortgage default, and thus decreases banks` incentives to screen. If banks retain the equity tranche and sell the debt tranche, losses from mortgage default reduce banks` profits and thus banks have more incentives to screen mortgage applicants. However, changes in house prices do not affect the banks` incentives to screen mortgage applicants. Furthermore, if credit expansion by securitization leads banks to expect house-price appreciation in the future, the higher the expected appreciation, the less the expected losses from mortgage default, and the lower the banks` screening incentives.en_US
dc.format.extent 1702285 bytes-
dc.format.mimetype application/pdf-
dc.relation (關聯) Taiwan Economic Review, v. 45, iss. 1, pp. 57-123en_US
dc.subject (關鍵詞) Bank; Bank Lending; Credit; Lending; Mortgage; Mortgage Market; Securitizationen_US
dc.title (題名) Securitization, House Prices, and Bank Lending Standards. (In Chinese. With English summary.) 資產證券化, 房屋價格, 與銀行貸放標準en_US
dc.type (資料類型) article
dc.identifier.doi (DOI) 10.6277/TER.2017.451.2
dc.doi.uri (DOI) http://dx.doi.org/10.6277/TER.2017.451.2