雖然次級房貸佔美國金融體系貸款比重不高， 2007年8月份美國次級房貸危機，卻造成全球股市的崩跌、金融體系的動盪及實質經濟活動的衰退。何以次級房貸違約會造成全球金融風暴，是一值得研究議題。本研究以美國前五十大銀行控股公司旗下有投資銀行之公司為樣本，檢視在次級房風暴前後，銀行控股公司之投資、企業貸款、消費性貸款及房貸對銀行控股公司績效之影響。此外，本研究亦檢視在2004年至2008年間，不動產抵押擔保證券每季成交量與經濟成長率、通貨膨脹率、失業率、房地產報酬率、存放款利差、道瓊股票報酬率以及採購經理人指數等總體經濟變數之相關性。 本研究結果顯示，不動產擔保抵押證券每季成交量與經濟成長率、房價報酬率、股價報酬率及採購經理人指數呈現顯著負相關，而與存放款利差呈現顯著正相關。由迴歸分析結果得知，銀行控股公司在面臨次級房貸風暴後，其資產報酬率與股東權益報酬率均顯著下跌。至於企業貸款、消費性貸款、房貸佔總資產比例均與銀行控股公司資產報酬率未有顯著關連性，而企業貸款佔總資產比例與股東權益報酬率成顯著正關聯。 The global financial crisis began in August 2007. The reason is that investors lose the confidence in the value of mortgage backed securities in the United States and then resulted in a liquidity crisis. The crisis deepened in September 2008 as stock markets worldwide crashed. The purpose of this study is to examine whether the performance of bank holding companies is affected by the amount of investment, commercial and industrial loans, consumer loans, and housing mortgage loans. Furthermore, this study aims to examine the relationship between the quarterly trading volume of mortgage backed security and macroeconomic variables during the period from 2004 to 2008. The results indicate that the quarterly trading volume of mortgage backed security is significantly negatively correlated with economic growth rates, housing price rates, stock price rates, and ; but it is significantly negative correlated of spread rates. The results of regression analyses show that the performance of banking holding companies significantly declines due to subprime crisis. As the return on assets, the coefficients on the commercial and industrial loans, consumer loans, and housing mortgage loans are insignificant. However, as the return on equity, the coefficients on the percentage of commercial and industrial loans are significantly positively.
