本文利用2012年8月至2021年3月台灣六都的銀行個人購屋貸款，依不動產擔保品所在地區的貸款資料實證研究房市流動性與價格風險在貨幣傳遞機制中銀行放款管道所扮演的角色。本文以代表房市流動性的流通天數與買賣交易量，以及代表價格風險的房價波動作爲影響銀行不動產抵押貸款的傳遞變數，利用結構性向量自我迴歸模型與反事實衝擊反應函數，探討貨幣政策對於銀行在各地區不動產抵押貸款影響的變化。根據衝擊反應函數分析，本文發現實施緊縮性貨幣政策後，銀行對各地區房貸呈現下滑，但此減少的幅度，在房市流動性較穩定與價格風險較低的地區較小。根據反事實衝擊的分析，流通天數是影響銀行房貸衝擊反應的主要傳遞變數，此銀行房貸對貨幣衝擊反應受不同都市房市流動性變化的影響，隱含了不動產的變現速度是銀行經理人不動產抵押貸款決策的重要因素。

This paper aims to empirically study the effect of housing liquidity and price risk on the impact of monetary policy on bank housing loans using Taiwan city-level (six special municipalities) data from August 2012 to March 2021. We estimate the structural vector autoregressive model and counterfactual impulse response function. We consider three transmission variables, which include time on the market and transaction volume (as measures of housing liquidity) and housing price volatility (as a measure of price risk). We find that housing loans decline in response to monetary tightening, but this negative effect is less in cities where housing liquidity is more stable and price risk is lower. Counterfactual analysis indicates the main transmission variable is time on the market. Our findings also show the preference for bank housing loans when the intermediation cost increases. The smaller decline in housing loans in higher liquidity cities implies the time it takes real estate to be changed into cash is important to bank managers when granting real estate mortgage loans.