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|Title: ||銀行產業效率分析: 網絡隨機邊界模型與其應用|
Studies on Bank Efficiency: The Network SFA Model and Its Applications
Lin, Chung I
Huang, Tai Hsin
Stochastic production and cost frontiers
|Issue Date: ||2016-05-02 13:50:31 (UTC+8)|
The main contribution of network DEA deals with the dual role of deposits in the bank production process. Deposits are first viewed as an intermediate output, produced by, e.g., fractions of labor and capital. This intermediate output is next used as an input in the second process, together with the remaining labor and capital, to produce output combinations. A problem occurs in that network DEA suffers from the difficulty of determining the fractions of labor and capital used in the first process. This first research thus develops an economic model to characterize the underlying multi-stage technologies and proposes a copula-based econometric model to identify parameters of the structural equations, including the fractional parameters, by the maximum likelihood. Our model also estimates technical efficiencies of the stochastic production and cost frontiers. We collect data from U.S. banks in 2009 to illustrate the feasibility and usefulness of our modeling, and the results are promising. In the second empirical application, we compile data from the Chinese banking industry over the period 2006-2013 to exemplify our approach with the help of copula methods. Under the assumption of two production stages - i.e., deposit-gathering and loan-expansion stages - we find that banks allocate roughly 35% and 50% of labor and capital, respectively, to collect deposits in the first stage and that the average technical efficiency scores in both production stages are respectively 64% and 69%. Additionally, both production stages enjoy economies of scale, however, we do not verify the presence of scope economies Our study supports the previous findings that joint-stock banks are the most technically efficient, while larger commercial banks, including the big four state-owned banks, are the least technically efficient.
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|Source URI: ||http://thesis.lib.nccu.edu.tw/record/#G0983525091|
|Data Type: ||thesis|
|Appears in Collections:||[金融學系] 學位論文|
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