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題名 台灣金控與非金控銀行經營效率分析-網絡隨機共同邊界法
Comparing the efficiency between Financial and Non-Financial Holding Banks in Taiwan - A Network Stochastic Metafrontier Approach作者 王允立 貢獻者 黃台心
Huang, Tai-Hsin
王允立關鍵詞 技術缺口比率
網絡隨機共同邊界
技術效率
成本效率
關聯結構法
多生產階段
隨機生產與成本邊界
Technology gap ratio
Network stochastic frontier
Technical efficiency
Cost efficiency
Copula-based method
Multi-stage technologies
Stochastic production and cost frontiers日期 2019 上傳時間 1-Jul-2019 10:47:11 (UTC+8) 摘要 本研究根據Huang, Lin, and Chen (2017)方法將網絡架構納入隨機邊界模型，假設銀行生產過程分為兩階段，第一階段運用部分勞動與資本份額吸收客戶存款，視為中間產出，並將其作為第二階段投入得到最終出。然而因兩類銀行在技術水平不同情況下，所得之效率平均值無法直接進行比較，必須建構在共同邊界下，因此本研究將網絡架構納入Huang, Huang, and Liu (2014)隨機共同邊界模型，為網絡隨機共同邊界法，可估計兩生產階段技術缺口比率(TGR)，進而求得兩生產階段共同邊界總效率(MTE)。實證分析利用台灣經濟新報資料庫(TEJ)蒐集台灣金控與非金控銀行2002-2017 年資料進行分析，研究結果在網絡隨機共同邊界法下，非金控銀行第一生產階段總效率較金控銀行佳，第二階段則相反，顯示兩類銀行在不同生產階段各有其優勢。若僅將銀行生產行為採單一生產階段模型估計，並無法看出各生產階段經營效率狀況。
This study employs Huang, Lin, and Chen (2017) to use stochastic network model, which allows firms to produce outputs through multistage process. Under the assumption of two production stage, banks allocate fraction of labor and capital to collect deposits at first stage as intermediate output, then we view deposits as an inputin second stage. However, due to the different production technique level between holdings and non-holding banks, we cannot compare the average efficiency directly. As a result, this study uses a network stochastic metafrontier to extend Huang, Huang, and Liu (2014) methodology. Under the metafrontier, we can estimate TGR of each stage,then we obtain the estimation of MTE of each production stage. Data collect for years 2002-2017 Holdings and Non-Holding banks in Taiwan from TEJ database. The resultsreveal that Non-Holdings bank has relatively better average efficiency in first stage under metafrontier. On the contrary, Holdings bank has relatively better averageefficiency in second stage.參考文獻 黃台心 (1997)，「臺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，第九卷第一期，85-123 頁。黃美瑛與謝志彬 (2009)，「系統風險對金控法通過前後之銀行業成本與效率影響－隨機成本邊界法」，應用經濟論叢，第八十六卷，1-35 頁。顏晃平與張瀞文 (2011)，「本國銀行業成本效率之研究─共同邊界函數應用」，經濟研究，第四十七卷第一期，147-181 頁。毛芝瑩 (2017)，「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」，國立政治大學金融所碩士論文。鄭文豪 (2018)，「使用多階段生產模型探討我國銀行業效率-金控與非金控銀行之比較」，國立彰化師範大學企業管理學系國際經營管理碩士論文。陳柏琪與顏晃平 (2018)，「臺灣銀行業經營效率之分析--共用投入下網絡資料包絡分析法之應用」，應用經濟論叢，139-183 頁。Huang, T.H., Chen, K.C., and Lin, C.I. (2018), "An Extension from Network DEA to Copula-Based Network SFA: Evidence from the U.S. Commercial Banks in 2009, Quarterly Review of Economics and Finance", 67(2), 51-62.Huang, T.H., Lin, C.I., and Wu, R.C. (2019), "Assessing the Marketing and Investment Efficiency of Taiwan’s Life Insurance Firms under Network Structures", Quarterly Review of Economics and Finance, 71, 132-147.Battese, G.E., D.S. Prasada Rao, and O`Donnell, C.J. (2004), “A metafrontier production function for estimation of technical efficiencies and technology gaps for firms operating under different technologies”, Journal of Productivity Analysis, 21(1), pp. 91-103.Bos, J. W. B., J. W. Kolari, and R. van Lamoen (2013), “Competition and innovation: evidence from financial services”, Journal of Banking and Finance, 37, pp. 1590-1601.Bos, J.W.B. and H. Schmiedel (2007), “Is there a single frontier in a single European banking market?” , Journal of Banking and Finance, 31, pp. 2081-2102.Chang, B.G., Huang, T.H., and C.Y. Kuo (2015), “A comparison of the technicalefficiency of accounting firms among the US, China, and Taiwan under the framework of a stochastic metafrontier production function”, Journal of Productivity Analysis, 44, pp. 337-349.Chen, K.H. (2012), “Incorporating risk input into the analysis of bank productivity: Application to the Taiwanese banking industry”, Journal of Banking and Finance, 36, pp. 1911-1921.Chen, Y., W.D. Cook, N. Li, and J. Zhu (2009), “Additive efficiency decomposition in two-stage DEA”, European Journal of Operational Research, 196, pp. 1170–1176.Chen, Y., J. Du, H. D. Sherman and J. Zhu, (2010), “DEA model with shared resources and efficiency decomposition”, European Journal of Operational Research, 207, pp.339–349.Chen, K.H. and Yang, H.Y. (2011), “A cross-country comparison of productivity growthusing the generalised metafrontier Malmquist productivity index: with application to banking industries in Taiwan and China”, Journal of Productivity Analysis, 35, pp. 197-212.Färe, R., S. Grosskopf and G. Whittaker (2007), “Network DEA, in Zhu, J., and W.D.Cook, Modeling Data Irregularities and Structural Complexities in Data Envelopment Analysis”, New York: Springer.Holod, D. and H.F. Lewis (2011), “Resolving the deposit dilemma: A new DEA bank efficiency model”, Journal of Banking and Finance, 35, pp. 2801–2810.Huang, T.H., Chang, B.G., and Hu, C.N. (2017), “Competition, Efficiency, and Innovation in Taiwan’s Banking Industry - An Application of Copula Methods”, Quarterly Review of Economics and Finance, 337-349.Huang, T.H., Chiang, D.L., and Chao, S.W. (2017), “A New Approach to Jointly Estimating the Lerner Index and Cost Efficiency for Multi-output Banks under aStochastic Meta-Frontier Framework”, Quarterly Review of Economics and Finance, 65, pp. 212-226.Huang, T.H., Chiang, L.C., and Chen, K.C. (2011), “An empirical study of bank efficiencies and technology gaps in European banking”, The Manchester School, 79, pp. 839-860.Huang, T.H. and Chung, M.T. (2017), “Do Undesirables Matter on the Examination of Banking Efficiency Using Stochastic Directional Distance Functions”, Quarterly Review of Economics and Finance, 65, pp. 194-211.Huang, M.Y. and Fu T.T. (2013), “An examination of the cost efficiency of banks in Taiwan and China using the metafrontier cost function”, Journal of Productivity Analysis, 40, pp. 387-406.Huang, C. J., Huang, T.H., and Liu, N.H. (2014), “A new approach to estimating the metafrontier production function based on a stochastic frontier framework”, Journal of Productivity Analysis, 42, pp. 241-254.Huang, M.Y., Juo, J.C. , and Fu, T.T. (2015), “Metafrontier cost malmquist productivity index: an application to Taiwanese and Chinese commercial banks”, Journal of Productivity Analysis, 44, pp. 321-335.Huang, T.H., Chen, K.C., and Lin, C.I. (2017), “An Extension from Network DEA to Copula-Based Network SFA: Evidence from the U.S. Commercial Banks in 2009”, Quarterly Review of Economics and Finance, pp. 51-62.Jiang, N., and B. Sharp (2015), “Technical efficiency and technological gap of New Zealand dairy farms: a stochastic meta-frontier model”, Journal of Productivity Analysis, 44, pp. 39-49.Kao, C. (2009), “Efficiency decomposition in network data envelopment analysis: A relational model’’, European Journal of Operational Research, 192, pp. 949–962.Kao, C., and Hwang S.N. (2008),“ Efficiency decomposition in two-stage dataenvelopment analysis: An application to non-life insurance companies in Taiwan”, European Journal of Operational Research, 185, pp. 418–429.Moreira, V.H., B.E. Bravo-Ureta (2010), “Technical efficiency and metatechnology ratios for dairy farms in three southern cone countries: a stochastic meta-frontiermodel”, Journal of Productivity Analysis, 33, pp. 33-45.O’Donnell, C.J., D. S. Prasada Rao, and G.E. Battese (2008), “Metafrontier frameworks for the study of firm -level efficiencies and technology ratios”, Empirical Economics, 34, pp. 231–255.Lee, C.C and Huang, T.H. (2017), “Cost efficiency and technological gap in Western European banks:A stochastic metafrontier analysis”, International Review of Economics and Finance, 48, pp. 161-178.Huang, T.H., Chiang, D.L., and Tsai, C.M. (2015), “Applying the New Metafrontier Directional Distance Function to Compare Banking Efficiencies in Central and Eastern European Countries”, Economic Modelling, 44, pp. 188-199.Jiang, N., and Basil Sharp. (2015), “Technical efficiency and technological gap of New Zealand dairy farms: a stochastic meta-frontier model”, JPA, 44, pp. 39-49.Feng, G., Peng, B., and Zhang, X. (2017), “Productivity and efficiency at bank holding companies in the U.S.: a time-varying heterogeneity approach”, JPA, 48, pp. 179-192.Liu, S.T. (2011), “Performance measurement of Taiwan financial holding companies: An additive efficiency decomposition approach”, Expert Systems with Applications,38, pp. 5674–5679.Lo, F.S., and Lu, W.M. (2009), “An integrated performance evaluation of financial holding companies in Taiwan”, European Journal of Operational Research, 198, pp. 341-350.Aigbe, A., James, E.M., and Bradley A.S. (2017), “Does the form of ownership affect firm performance? Evidence from US bank profit efficiency before and during the financial crisis”, The Quarterly Review of Economics and Finance, 64, pp. 120-129. 描述 碩士
國立政治大學
金融學系
106352005資料來源 http://thesis.lib.nccu.edu.tw/record/#G0106352005 資料類型 thesis dc.contributor.advisor 黃台心 zh_TW dc.contributor.advisor Huang, Tai-Hsin en_US dc.contributor.author (Authors) 王允立 zh_TW dc.creator (作者) 王允立 zh_TW dc.date (日期) 2019 en_US dc.date.accessioned 1-Jul-2019 10:47:11 (UTC+8) - dc.date.available 1-Jul-2019 10:47:11 (UTC+8) - dc.date.issued (上傳時間) 1-Jul-2019 10:47:11 (UTC+8) - dc.identifier (Other Identifiers) G0106352005 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/124138 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 金融學系 zh_TW dc.description (描述) 106352005 zh_TW dc.description.abstract (摘要) 本研究根據Huang, Lin, and Chen (2017)方法將網絡架構納入隨機邊界模型，假設銀行生產過程分為兩階段，第一階段運用部分勞動與資本份額吸收客戶存款，視為中間產出，並將其作為第二階段投入得到最終出。然而因兩類銀行在技術水平不同情況下，所得之效率平均值無法直接進行比較，必須建構在共同邊界下，因此本研究將網絡架構納入Huang, Huang, and Liu (2014)隨機共同邊界模型，為網絡隨機共同邊界法，可估計兩生產階段技術缺口比率(TGR)，進而求得兩生產階段共同邊界總效率(MTE)。實證分析利用台灣經濟新報資料庫(TEJ)蒐集台灣金控與非金控銀行2002-2017 年資料進行分析，研究結果在網絡隨機共同邊界法下，非金控銀行第一生產階段總效率較金控銀行佳，第二階段則相反，顯示兩類銀行在不同生產階段各有其優勢。若僅將銀行生產行為採單一生產階段模型估計，並無法看出各生產階段經營效率狀況。 zh_TW dc.description.abstract (摘要) This study employs Huang, Lin, and Chen (2017) to use stochastic network model, which allows firms to produce outputs through multistage process. Under the assumption of two production stage, banks allocate fraction of labor and capital to collect deposits at first stage as intermediate output, then we view deposits as an inputin second stage. However, due to the different production technique level between holdings and non-holding banks, we cannot compare the average efficiency directly. As a result, this study uses a network stochastic metafrontier to extend Huang, Huang, and Liu (2014) methodology. Under the metafrontier, we can estimate TGR of each stage,then we obtain the estimation of MTE of each production stage. Data collect for years 2002-2017 Holdings and Non-Holding banks in Taiwan from TEJ database. The resultsreveal that Non-Holdings bank has relatively better average efficiency in first stage under metafrontier. On the contrary, Holdings bank has relatively better averageefficiency in second stage. en_US dc.description.tableofcontents 第一章 緒論 1第一節 研究背景與動機 2第二節 研究目的 2第三節 研究流程與架構 3第二章 文獻回顧 4第一節 Network DEA 相關文獻 4第二節 Network SFA 相關文獻 5第三節 共同邊界相關文獻 6第四節 金控與非金控相關文獻 8第三章 研究方法 9第一節 網絡隨機兩階段生產模型 9第二節 網絡隨機共同邊界模型 13第四章 資料說明 16第一節 樣本銀行與變數說明 16第二節 金控與非金控銀行比較表 17第五章 實證分析 19第一節 考慮單一生產階段技術效率分析 19第二節 考慮兩生產階段技術效率分析 22第六章 結論與建議 30附錄 32參考文獻 33 zh_TW dc.format.extent 1030114 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0106352005 en_US dc.subject (關鍵詞) 技術缺口比率 zh_TW dc.subject (關鍵詞) 網絡隨機共同邊界 zh_TW dc.subject (關鍵詞) 技術效率 zh_TW dc.subject (關鍵詞) 成本效率 zh_TW dc.subject (關鍵詞) 關聯結構法 zh_TW dc.subject (關鍵詞) 多生產階段 zh_TW dc.subject (關鍵詞) 隨機生產與成本邊界 zh_TW dc.subject (關鍵詞) Technology gap ratio en_US dc.subject (關鍵詞) Network stochastic frontier en_US dc.subject (關鍵詞) Technical efficiency en_US dc.subject (關鍵詞) Cost efficiency en_US dc.subject (關鍵詞) Copula-based method en_US dc.subject (關鍵詞) Multi-stage technologies en_US dc.subject (關鍵詞) Stochastic production and cost frontiers en_US dc.title (題名) 台灣金控與非金控銀行經營效率分析-網絡隨機共同邊界法 zh_TW dc.title (題名) Comparing the efficiency between Financial and Non-Financial Holding Banks in Taiwan - A Network Stochastic Metafrontier Approach en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 黃台心 (1997)，「臺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，第九卷第一期，85-123 頁。黃美瑛與謝志彬 (2009)，「系統風險對金控法通過前後之銀行業成本與效率影響－隨機成本邊界法」，應用經濟論叢，第八十六卷，1-35 頁。顏晃平與張瀞文 (2011)，「本國銀行業成本效率之研究─共同邊界函數應用」，經濟研究，第四十七卷第一期，147-181 頁。毛芝瑩 (2017)，「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」，國立政治大學金融所碩士論文。鄭文豪 (2018)，「使用多階段生產模型探討我國銀行業效率-金控與非金控銀行之比較」，國立彰化師範大學企業管理學系國際經營管理碩士論文。陳柏琪與顏晃平 (2018)，「臺灣銀行業經營效率之分析--共用投入下網絡資料包絡分析法之應用」，應用經濟論叢，139-183 頁。Huang, T.H., Chen, K.C., and Lin, C.I. (2018), "An Extension from Network DEA to Copula-Based Network SFA: Evidence from the U.S. Commercial Banks in 2009, Quarterly Review of Economics and Finance", 67(2), 51-62.Huang, T.H., Lin, C.I., and Wu, R.C. (2019), "Assessing the Marketing and Investment Efficiency of Taiwan’s Life Insurance Firms under Network Structures", Quarterly Review of Economics and Finance, 71, 132-147.Battese, G.E., D.S. Prasada Rao, and O`Donnell, C.J. (2004), “A metafrontier production function for estimation of technical efficiencies and technology gaps for firms operating under different technologies”, Journal of Productivity Analysis, 21(1), pp. 91-103.Bos, J. W. B., J. W. Kolari, and R. van Lamoen (2013), “Competition and innovation: evidence from financial services”, Journal of Banking and Finance, 37, pp. 1590-1601.Bos, J.W.B. and H. Schmiedel (2007), “Is there a single frontier in a single European banking market?” , Journal of Banking and Finance, 31, pp. 2081-2102.Chang, B.G., Huang, T.H., and C.Y. Kuo (2015), “A comparison of the technicalefficiency of accounting firms among the US, China, and Taiwan under the framework of a stochastic metafrontier production function”, Journal of Productivity Analysis, 44, pp. 337-349.Chen, K.H. (2012), “Incorporating risk input into the analysis of bank productivity: Application to the Taiwanese banking industry”, Journal of Banking and Finance, 36, pp. 1911-1921.Chen, Y., W.D. Cook, N. Li, and J. Zhu (2009), “Additive efficiency decomposition in two-stage DEA”, European Journal of Operational Research, 196, pp. 1170–1176.Chen, Y., J. Du, H. D. Sherman and J. Zhu, (2010), “DEA model with shared resources and efficiency decomposition”, European Journal of Operational Research, 207, pp.339–349.Chen, K.H. and Yang, H.Y. (2011), “A cross-country comparison of productivity growthusing the generalised metafrontier Malmquist productivity index: with application to banking industries in Taiwan and China”, Journal of Productivity Analysis, 35, pp. 197-212.Färe, R., S. Grosskopf and G. Whittaker (2007), “Network DEA, in Zhu, J., and W.D.Cook, Modeling Data Irregularities and Structural Complexities in Data Envelopment Analysis”, New York: Springer.Holod, D. and H.F. Lewis (2011), “Resolving the deposit dilemma: A new DEA bank efficiency model”, Journal of Banking and Finance, 35, pp. 2801–2810.Huang, T.H., Chang, B.G., and Hu, C.N. (2017), “Competition, Efficiency, and Innovation in Taiwan’s Banking Industry - An Application of Copula Methods”, Quarterly Review of Economics and Finance, 337-349.Huang, T.H., Chiang, D.L., and Chao, S.W. (2017), “A New Approach to Jointly Estimating the Lerner Index and Cost Efficiency for Multi-output Banks under aStochastic Meta-Frontier Framework”, Quarterly Review of Economics and Finance, 65, pp. 212-226.Huang, T.H., Chiang, L.C., and Chen, K.C. (2011), “An empirical study of bank efficiencies and technology gaps in European banking”, The Manchester School, 79, pp. 839-860.Huang, T.H. and Chung, M.T. (2017), “Do Undesirables Matter on the Examination of Banking Efficiency Using Stochastic Directional Distance Functions”, Quarterly Review of Economics and Finance, 65, pp. 194-211.Huang, M.Y. and Fu T.T. (2013), “An examination of the cost efficiency of banks in Taiwan and China using the metafrontier cost function”, Journal of Productivity Analysis, 40, pp. 387-406.Huang, C. J., Huang, T.H., and Liu, N.H. (2014), “A new approach to estimating the metafrontier production function based on a stochastic frontier framework”, Journal of Productivity Analysis, 42, pp. 241-254.Huang, M.Y., Juo, J.C. , and Fu, T.T. (2015), “Metafrontier cost malmquist productivity index: an application to Taiwanese and Chinese commercial banks”, Journal of Productivity Analysis, 44, pp. 321-335.Huang, T.H., Chen, K.C., and Lin, C.I. (2017), “An Extension from Network DEA to Copula-Based Network SFA: Evidence from the U.S. Commercial Banks in 2009”, Quarterly Review of Economics and Finance, pp. 51-62.Jiang, N., and B. Sharp (2015), “Technical efficiency and technological gap of New Zealand dairy farms: a stochastic meta-frontier model”, Journal of Productivity Analysis, 44, pp. 39-49.Kao, C. (2009), “Efficiency decomposition in network data envelopment analysis: A relational model’’, European Journal of Operational Research, 192, pp. 949–962.Kao, C., and Hwang S.N. (2008),“ Efficiency decomposition in two-stage dataenvelopment analysis: An application to non-life insurance companies in Taiwan”, European Journal of Operational Research, 185, pp. 418–429.Moreira, V.H., B.E. Bravo-Ureta (2010), “Technical efficiency and metatechnology ratios for dairy farms in three southern cone countries: a stochastic meta-frontiermodel”, Journal of Productivity Analysis, 33, pp. 33-45.O’Donnell, C.J., D. S. Prasada Rao, and G.E. Battese (2008), “Metafrontier frameworks for the study of firm -level efficiencies and technology ratios”, Empirical Economics, 34, pp. 231–255.Lee, C.C and Huang, T.H. (2017), “Cost efficiency and technological gap in Western European banks:A stochastic metafrontier analysis”, International Review of Economics and Finance, 48, pp. 161-178.Huang, T.H., Chiang, D.L., and Tsai, C.M. (2015), “Applying the New Metafrontier Directional Distance Function to Compare Banking Efficiencies in Central and Eastern European Countries”, Economic Modelling, 44, pp. 188-199.Jiang, N., and Basil Sharp. (2015), “Technical efficiency and technological gap of New Zealand dairy farms: a stochastic meta-frontier model”, JPA, 44, pp. 39-49.Feng, G., Peng, B., and Zhang, X. (2017), “Productivity and efficiency at bank holding companies in the U.S.: a time-varying heterogeneity approach”, JPA, 48, pp. 179-192.Liu, S.T. (2011), “Performance measurement of Taiwan financial holding companies: An additive efficiency decomposition approach”, Expert Systems with Applications,38, pp. 5674–5679.Lo, F.S., and Lu, W.M. (2009), “An integrated performance evaluation of financial holding companies in Taiwan”, European Journal of Operational Research, 198, pp. 341-350.Aigbe, A., James, E.M., and Bradley A.S. (2017), “Does the form of ownership affect firm performance? Evidence from US bank profit efficiency before and during the financial crisis”, The Quarterly Review of Economics and Finance, 64, pp. 120-129. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU201900031 en_US
