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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/116016
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    題名: 使用方向距離函數探討我國銀行業技術效率 —非貝氏方法考慮函數的單調與曲度性質
    Technical Efficiency of Commercial Banks in Taiwan on Directional Distance Function - A Non-Bayesian Approach Imposing Monotonicity and Curvature Conditions
    作者: 毛芝瑩
    Mao, Chih Ying
    貢獻者: 黃台心
    Huang, Tai Hsin
    毛芝瑩
    Mao, Chih Ying
    關鍵詞: 隨機邊界法
    產出方向距離函數
    非意欲產出
    單調性與曲度限制
    技術效率
    台灣銀行業
    Stochastic frontier analysis
    Output directional distance function
    Undesirable output
    Monotonicity and curvature conditions
    Technical efficiency
    Commercial banks in Taiwan
    日期: 2017
    上傳時間: 2018-03-02 11:40:31 (UTC+8)
    摘要: 本研究發展新的計量方法,運用隨機邊界法將單調性和曲度條件等性質納入迴歸模型,使用聯立迴歸模型進行估計,藉此讓係數估計值不易出現違反經濟理論的情況。
    採用台灣2002年至2015年,51家商業銀行進行實證分析,發現本研究方法估計產出方向距離函數時,僅有5%以下的樣本點不符合單調和曲度等性質,用於估計產出面距離函數時,僅有2%以下的樣本點不符合。進一步探討台灣銀行業之非意欲產出--逾期放款--對估計技術效率的影響,顯示不考慮此非意欲產出造成整體銀行業、非金控本國銀行與外商銀行的技術效率被高估,而金控本國銀行的技術效率則被低估,此外,分析2007年金融風暴前後銀行業經營效率變化,顯示考慮非意欲產出銀行業經營效率顯著提升,然而,未考慮非意欲產出銀行業經營效率卻下降,兩者結果有著極大的差異。
    The aim of the paper is to develop a new approach, which is stochastic frontier analysis imposing monotonicity and curvature conditions, then using simultaneous regression model to estimate. By the approach, it can solve the problem of most of the coefficient estimates violating the economic theory.
    The study uses the data of 51 commercial banks in Taiwan from 2002 to 2015 to conduct the empirical analysis. It indicates that by output directional distance function, less than 5% sample points violate the monotonicity and curvature conditions; by output distance function, less than 2% sample points don’t obey the restricted conditions. Further, the paper discusses the effect of commercial banks’ undesirable output- non-performing loan- on estimating technical efficiency. The results show that ignoring the undesirable output cause the technical efficiency of overall banks, non-finance holding banks and foreign banks are overvalued, and the technical efficiency of finance holding banks are undervalued. Furthermore, analyze the change of business efficiency after financial crisis in 2007. It points out that using the model consider the undesirable output, the banks’ efficiency rises. However, using the model no consider the undesirable output, the banks’ efficiency decreases. There is an extremely conflict between two approach.
    參考文獻: 中文文獻
    [1] 王媛慧、李文福、翁竹君,(2007)。台灣國際觀光旅館業生產力與效率分析:隨機邊界距離函數之應用。經濟論文叢刊,第35卷第1期,pp. 55-86。
    [2] 李文福、范雅鈞,(2010)。台灣銀行業經營績效分析:Luenberger生產力指標法之應用。經濟論文叢刊,第38卷第4期,pp. 593-627。
    [3] 李揚、李曉娟,(2008)。亞洲生技產業之總要素生產力解析─應用隨機邊界模型。農業與資源經濟,第 5卷第1期,pp. 55-76。
    [4] 卓佳慶,(2011)。以方向性距離函數法衡量本國銀行業之效率與 生產力─考慮逾放比率。台灣銀行季刊,第62卷第1期,pp. 26-41。
    [5] 林村基,(2013)。以貝氏隨機前緣分析法估計參數與廠商績效。運輸計劃季刊,第42卷第2期,pp. 95-119。
    [6] 邱冠熒、藍武王、林村基,(2006)。非意欲產出對市區公車營運效率之影響--隨機邊界分析法。未出版之博(碩)士論文,國立交通大學,運輸與物流管理學系,。
    [7] 游明敏,(2005)。非意欲產出對國內機場經營效率及產出損失之影響。管理學報,第22卷第2期,pp. 241-259。
    [8] 黃台心,(1997)。台灣地區本國銀行成本效率之實證研究─隨機邊界模型之應用。人文及社會科學集刊,第9卷第1期,pp. 85-123。
    [9] 鄭政秉、莊桓勛,(2005)。中國大陸銀行業經營績效之研究-隨機邊界分析法之應用。遠景基金會季刊,第 6卷第3期,pp. 137-174。

    英文文獻
    [10] Assaf, A.G., R. Matousek and E.G. Tsionas, (2013). Turkish bank efficiency: Bayesian estimation with undesirable outputs, Journal of banking & finance, Vol. 37, pp. 506-517.
    [11] Aigner, D., C.A. Knox Lovell and P. Schmidt, (1977). Formulation and estimation of stochastic frontier production function models, Journal of Econometrics, Vol. 6, pp. 21-37.
    [12] Bhattacharyya, A. and S. Pal, (2013). Financial reforms and technical efficiency in Indian commercial banking: A generalized stochastic frontier analysis, Review of Financial Economics, Vol. 22, Issue 3, pp. 109-117.
    [13] Färe, R., S. Grosskopf and C.A. Knox Lovell, (1985). The measurement of efficiency of production, Boston US: Kluwer-Nijhoff Publishing.
    [14] Farrell, M.J. (1957). The measurement of productive efficiency, Journal of Royal Statistical Society, Vol. 120, No. 3, pp. 253-290.
    [15] Fenn, P., D. Vencappa, S. Diacon, P. Klumpes and C. O'Brien, (2008). Market structure and the efficiency of European insurance companies: A stochastic frontier analysis, Journal of Banking & Finance, Vol. 32, Issue 1, pp. 86-100.
    [16] Feng, G. and A. Serletis, (2014). Undesirable outputs and a primal Divisia productivity index based on the directional output distance function, Journal of Econometrics, Vol. 183, Issue 1, pp. 135-146.
    [17] Huang, Tai-Hsin, Dien-Lin Chiang and Chao-Min Tsai, (2015). Applying the new metafrontier directional distance function to compare banking efficiencies in Central and Eastern European countries, Economic Modelling, Vol. 44, No. 1, pp. 188-199.
    [18] Hattori, Toru, (2002). Relative performance of U.S. and Japanese electricity distribution: An application of stochastic frontier Analysis, Journal of Productivity Analysis, Vol. 18, Issue 3, pp. 269-284.
    [19] Koutsomanoli-Filippaki, A., D. Margaritis and C. Staikouras, (2009). Efficiency and productivity growth in the banking industry of Central and Eastern Europe, Journal of Banking & Finance, Vol. 33, Issue 3, pp. 557-567.
    [20] Meeusen, W. and J. van den Broeck, (1977). Efficiency estimation from Cobb-Douglas production functions with composed error, International Economic Review, Vol. 18, No. 2, pp. 435-444.
    [21] O'Donnell, C.J. and T.J. Coelli, (2005). A Bayesian approach to imposing curvature on distance functions, Journal of Econometrics, Vol. 126, Issue 2, pp. 493-523.
    [22] Shephard, R.W., (1970). The theory of cost and production functions, Princeton. US: Princeton University Press.
    描述: 碩士
    國立政治大學
    金融學系
    104352012
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G1043520121
    資料類型: thesis
    顯示於類別:[金融學系] 學位論文

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