本篇研究以1984第一季至2015年第三季，美國所有參加聯邦存款保險公司 (Federal Deposit Insurance Corporation，FDIC) 的商業銀行之時間序列資料為樣本，並採用複迴歸模型以最小平方法 (ordinary least squares，OLS) 及時間序列模型進行分析，探討總體經濟波動對於美國銀行業不良債權比率之影響效果，更進一步探討總體景氣於繁榮與衰退間是否對於銀行不良債權比率有一致的影響效果。此外，亦探討在景氣衰退期間的不良債權是否會間接影響銀行之資產品質，並檢驗美國銀行是否會產生道德風險的行為。
本研究結果顯示，不良債權的確會隨著景氣循環波動，在景氣衰退時往往會伴隨著較高比率的不良債權。透過時間序列模型，可以證實不良債權顯著正相關影響風險性資產比率，意謂間接影響到銀行的資產品質。此外，我們可以發現不良債權對於資產性風險、資產性風險對於貸款、貸款對於不良債權有顯著的因果關係。此現象說明當銀行風險提高時，經理人有更大的誘因放貸更多的貸款，符合道德風險假說。

The paper uses the commercial banks in the U.S. that joined the Federal Deposit Insurance Corporation (FDIC) as the samples during the 1984Q1-2015Q3. The structure of the thesis involves the use of time series data, and a multiple regression is built to assess a time series model and analyze whether macroeconomic conditions can contribute significantly to the level of non-performing loans to total loans in the U.S. banking system. Further, we want to explore whether the non-performing loans fluctuate in accordance with the macroeconomic condition along with in boom or in recession. Finally, we examine whether the non-performing loans have an indirect influence on banks’ asset quality and to check whether lending decisions of U.S. banks exhibit moral hazard.
Our results show that the non-performing loans actually fluctuate associated with business cycle. When the economy is in bust, the ratio of the non-performing loans raises up. Through the time series model, it can be proved that there are significantly positive correlation between non-performing loans and the ratio of risk weighted assets. It represents the non-performing loans affect the asset quality indirectly. Moreover, we can find the non-performing loans versus risk weighted assets, risk weighted assets versus banks’ loans and the banks’ loans versus non-performing loans have significant Granger-cause relations. The phenomenon explains that a bank’ managers have an incentive to lend more loans when the bank’s risk enhances. The result of the thesis is consistent with the moral hazard hypothesis.

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