本研究旨在探討美國聯邦存款保險公司(Federal Deposit Insurance Corporation，簡稱FDIC)承保銀行的房地產抵押貸款餘額變動率、房貸逾放比的變動與房地產抵押貸款利率的變動、房價指數變動率之間的互動關係。研究區間為1984年第一季至2015年第四季，以季資料進行分析，在研究方法上採用單根檢定、VAR向量自我迴歸模型、Granger因果關係檢定、衝擊反應分析及預測誤差變異數分解等方法來實證各變數間的關係。
經由Granger因果關係檢定發現房貸逾放比的變動與房價指數變動率具有雙向回饋的關係、房地產抵押貸款餘額變動率與房價指數變動率具有雙向回饋的關係、房地產抵押貸款餘額變動率具有領先房貸逾放比的變動的單向因果關係，因此房價指數與房貸逾放比之間具有密切關係，故銀行應採取適度的房地產授信風險政策，以防範房市的波動造成銀行資產的衝擊。

The present study explores the interactive relationships between the rate of change of the balance of real estate mortgage loans and the rate of change of nonperforming loans within housing mortgages, with changes in the interest rates of real estate mortgage loans and the rate of change of the house price index among banks underwritten by the US Federal Deposit Insurance Corporation (FDIC). The period chosen for study was from 1984Q1 to 2015Q4. To empirically prove the relationships between the various variables, the data were analyzed quarterly using methods including the unit root test, vector auto-regression (VAR) model, Granger causality test, impulse-response analysis, and variance decomposition of forecast errors.
In terms of casual relationship testing, the change in the NPL ratio of housing mortgages and the rate of change in house price index had bi-directional feedback relationship. The rate of change in the balance of real estate mortgage loans also had a bi-directional feedback relationship with the rate of change of the house price index. The rate of change of the balance of real estate mortgage loans had a one-way causal relationship with the change of housing mortgage's NPL ratio.

國內文獻
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