本文採用修正的Chiappori and Salanié (2000)及Dionne et al. (2001)的計量方法，以檢驗資訊不對稱是否存在於銀行房貸市場。研究實證發現，銀行在面臨不同的貸款者或給予貸款者不同的貸款條件時，會產生資訊不對稱現象。特別是貸款者年齡趨於極端值時或貸款金額超過200萬，貸款戶易有道德危機產生。若銀行不管保障高低均給予貸款人高利率，將吸引到高風險貸款人產生逆選擇問題；高風險貸款人為了高利率的還款壓力而進行高風險投資，產生道德危機。此外，銀行欲直接以利率作為降低資訊不對稱的手段，效果有限，需配合一些授信條件才能有效降低資訊不對稱問題。

This paper demonstrates the existence of asymmetric information in the bank housing loan market. A large body of research papers examine whether the value of collateral mitigates the effect of asymmetric information between lenders and borrowers. We reexamine the variables of interest rate, whether the adjustment of pricing strategy in lenders helps to control the problems of asymmetric information. On the basis of the econometric model of and Dionne et al. (2001), we examine whether adverse selection or moral hazard exists in the housing loan market, and using Chiappori and Salanié (2000), we create a practical econometrics model to prove asymmetric information. That is, the models consider the generalized correlation between error terms form two bivariate models. This empirical finding supports the existence of asymmetric information; in particular, moral hazard exists mainly in the market and indeed interest rate can limitly release asymmetric information problem.

第ㄧ章 前言.................................................................................................... 1
第一節 研究背景與動機.................................................................. 1
第二節 研究目的.............................................................................. 4
第三節 研究方法.............................................................................. 4
第四節 研究架構.............................................................................. 5
第二章 文獻探討............................................................................................ 7
第一節 國內相關文獻評述.............................................................. 7
第二節 國外相關文獻評述............................................................ 11
第三章 研究方法.......................................................................................... 17
第一節 控制利率是否能降低資訊不對稱.................................... 17
第二節 樣本敘述............................................................................ 20
第三節 實證模型設定.................................................................... 22
第四章 實證結果與分析.............................................................................. 29
第一節 樣本敘述統計量................................................................ 29
IV
第二節 銀行房貸市場資訊不對稱之檢測.................................... 33
第三節 利率與保障對資訊不對稱的影響.................................... 40
第五章 結論.................................................................................................. 45
參考文獻.......................................................................................................... 47
一、中文部分...................................................................................... 47
二、英文部分...................................................................................... 48
V
圖表目錄
圖1-1 研究流程圖............................................................................................... 6
表1-1 銀行貸款業務表........................................................................................ 2
表3-1 變數說明.................................................................................................. 21
表3-2 違約金額定義.......................................................................................... 26
表4-1 全體樣本敘述統計量............................................................................. 30
表4-2 類別化全體樣本敘述統計量................................................................. 31
表4-3 分類後個別樣本敘述統計量................................................................. 32
表4-4 不同樣本下，控制利率對W 的影響.................................................... 33
表4-5 全體樣本估計量...................................................................................... 33
表4-6 Model 4 與Model 4-1 的分析結果........................................................ 35
表4-7 違約金額與年齡之測試(Model4) .......................................................... 36
表4-8 違約金額與年齡之測試(Model4-1) ....................................................... 38
表4-9 高、低利率樣本下，利率變數對W 的影響........................................ 39
表4-10 利率與保障配對下，利率變數對W 的影響...................................... 41
表4-11 高利率VS.高保障(HH) 與 高利率VS.低保障(HL)......................... 42
表4-12 低利率VS.高保障(LH) 與 低利率VS.低保障(LL) ......................... 43

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