住宅增值參與證券(Home Appreciation Participation Notes, HAPNs)藉由分開出售房屋的消費財與投資財兩種特性，以降低購屋者買房的負擔及銀行呆帳風險，亦增加了購屋者投資組合之規劃調整彈性。本文主要探討HAPNs在現行制度與市場環境中順利發行後，銀行所面對的信用風險會降低，HAPNs投資者則承擔房價波動的風險以賺取未來房屋增值的利益，兩者之間會產生一個賽局，銀行在給定HAPNs投資者持分率(1-α)下決定契約利率(contract rate) c，而HAPNs投資者在契約利率c已知下決定最適持分率(1-α)，兩者之反應函數相交處得到 Nash Equilibrium。本文從銀行的角度來求算最適的契約利率c，並針對變動各項參數對銀行最適契約利率c的影響做比較靜態分析，模擬的結果將有助於HAPNs在市場上的穩定發展。

There are two kinds of demanders in housing market. One regards house as consumer goods and they buy house for long-term residence. The other regards house as investment goods and they buy house in order to invest in housing appreciation. Home Appreciation Participation Notes decompose these two elements into segregated markets. It allows buyers to purchase these elements individually. In addition to the benefit of improved housing affordability and reduced mortgage default risk, HAPNs also enable homeowners to more flexibly manage their wealth portfolios. This research sheds light on the influence of investors and banks when HAPNs is implemented under the current legislative and market environments. Banks and HAPNs investors are playing a game. Banks set contract rate (c) given that HAPNs investors’ share rate (1-α) is known whereas HAPNs investors determine share rate (1-α) according to the known banks’ contract rate (c). The intersection of these two reaction functions can find Nash equilibrium. In this paper, we calculate the optimal contract rate for HAPNs from bank’s perspective and analyze all different kinds of potential effects caused by parameters changed.

Chinese Abstract……………………………………………………..................i
English Abstract…………………………………………………….................ii
1、Introduction…………………………………........................- 1 -
1.1 Background……………………………………………………..................- 1 -
1.2 Shared Appreciation Mortgages (SAMs)............- 1 -
1.3 Home Appreciation Participation Notes (HAPNs)...- 2 -
1.4 Research Motivation and Purpose.................- 3 -
2、Literature Review……………………………………….................- 3 -
3、Research Methods……………………………......................- 6 -
3.1 Conceptual Framework…………………………….................- 6 -
3.2 Parameters Simulation……………………………...............- 9 -
3.3 Simulation Results…………………………….................- 11 -
4、Conclusion……………………………............................- 25 -
5、References……………………………............................- 26 -

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