本研究探討我國不動產市場景氣對銀行風險和財務績效之關係，運用Gonza’lez, Terasvirta and Dijk（2004, 2005）之縱橫平滑移轉迴歸模型，臆測不動產市場景氣對銀行風險及銀行財務績效是否存在縱橫平滑移轉效果，並進一步對銀行風險及財務績效受解釋變數之影響進行評估與衡量。 實證結果發現，不動產市場景氣和資產報酬率間確實存在非線性關係，在不動產市場景氣為135.4679和140.5379時發生結構性變化。不動產市場景氣低於轉換門檻135.4679前，資本適足率與備抵呆帳覆蓋率對資產報酬率皆存在正相關，而逾放比與資產報酬率則呈現負相關；資本適足率對資產報酬率惟在介於門檻間為負相關。備抵呆帳覆蓋率對資產報酬率在不動產市場景氣低於門檻值140.5379時為正相關，但當不動產市場景氣高於140.5379，則備抵呆帳覆蓋率對資產報酬率將從正相關轉變為負相關。 In this paper, we investigate panel smooth transition effect between Real Estate Cycle and bank’s financial performance by using panel smooth transition regression model（Gonza’lez, Terasvirta and Dijk, 2004, 2005）.In addition, we assess and weigh the bank’s risk and finalcial performance by the influence of independent variables. Empirical results show that the real estate market below the conversion threshold 135.4679, the BIS ratio and coverage ratio have positive correlation with ROA , while NPL ratio has negative correlation with ROA. Below the conversion threshold 140.5379, coverage ratio has positive correlation with ROA, however, impact on ROA and ROE were inconsistent under the real state market. However, bank’s risk impact on ROA and ROE were inconsistent under the real state market.
