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題名 以關聯結構隨機成本邊界模型比較我國金控、 非金控銀行與壽險公司之成本效率
Comparing the Cost Efficiency of Financial and Non-financial Holding Banks and Insurance Companies under the Framework of the Copula Methods作者 廖育緯
Liao, Yu-Wei貢獻者 黃台心
Huang, Tai-Hsin
廖育緯
Liao, Yu-Wei關鍵詞 金融控股公司
銀行與壽險公司
綜效
隨機共同邊界
關聯結構
Financial holding company
Bank and life insurance company
Synergy
Stochastic meta frontier
Copula method日期 2019 上傳時間 7-Aug-2019 16:12:03 (UTC+8) 摘要 過去研究金融控股公司經營效率之文獻，多針對金控架構下的單一產業進行研究，無法有效捕捉金控子公司間的經營綜效。本文研究台灣2002年至2017年，43家銀行與27家壽險公司經營之成本效率。使用關聯結構模型建構金控銀行與壽險公司成本函數間組合誤差的聯合機率分配，將金控子公司間享有的經營綜效明確納入計量模型，並透過隨機共同邊界模型比較金控、非金控銀行與壽險公司之成本效率。實證結果發現金控銀行在金控公司成立初期成本效率明顯下降，隨時間經過逐漸發揮綜效成本效率開始上升，且金控銀行成本效率高於非金控銀行，經營較有效率。金控壽險公司成本效率高於非金控壽險公司，經營效率較好。金控銀行與金控壽險公司的成本效率間存在低度的正相關，顯示金控銀行與壽險公司間具有經營綜效。若忽略金控銀行與壽險公司間的經營綜效進行估計，將導致金控銀行與金控壽險公司的成本效率被低估，且無法捕捉兩成本效率間的相關性。
This paper examines the cost efficiency of 43 banks and 27 life insurance companies operating in Taiwan from 2002 to 2017. Using the copula method to construct the joint probability distribution of the combination errors between the cost functions of financial holding bank and life insurance company, and clearly integrate the operational synergy enjoyed by the financial holding subsidiaries into econometric model. And compare the cost efficiency of financial holding, non-financial holding banks and life insurance companies through stochastic meta frontier model.The empirical analysis concluded: (a) Cost efficiency of financial holding banks in the initial stage of the establishment of financial holding company was dropped significantly. The cost efficiency of financial holding banks has gradually increased with the passage of time, and the cost efficiency of financial holding banks are higher than non-financial holding banks. (b) The cost efficiency of financial holding life insurance companies are higher than that of non-financial holding life insurance companies, which means their operating efficiency is better. (c) There is a significantly small positive correlation between the cost efficiencies of financial holding banks and life insurance companies, indicating that the financial holding banks and the life insurance companies enjoy a synergy effect. (d) If we ignore the synergy between financial holding banks and life insurance companies, their cost efficiency will be underestimated, and the correlation between the two cost efficiencies cannot be captured.參考文獻 1. 王儷玲、彭金隆與張義宏 (2006) 「我國壽險業銀行保險業務參與度與經營效率分析」，《臺大管理論叢, 17(1)》，59-90頁2. 朱炫璉與吳志銘 (2009) 「台灣金融控股組織對銀行效率之影響」，《台灣管理學刊, 9(1)》，97-114頁3. 陳玉娟與沈鵬飛 (2007) 「金控公司子銀行與獨立銀行之成本效率分析」，《運籌與管理學刊, 6(2)》，45-56頁4. 黃台心、高棟梁、姜麗智與梁嘉惠 (2010) 「我國壽險業考慮準固定投入後的效率與生產力變動分析」，《東吳經濟商學學報, (68)》，1-38頁5. 黃美瑛、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, (86)》，1-35頁6. 梁連文、彭顯浩 (2016) 「公司治理、外資進入可提升銀行效率嗎？－金控與非金控銀行之比較分析」，《績效與策略研究, 13(1)》，21-43頁7. 劉松瑜、謝燧琪與溫育芳 (2006) 「台灣銀行業在金控與非金控架構下之效率分析」，《台灣金融財務季刊，7(3)》，127-176頁8. 顏晃平、張靜文 (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, 47(1)》，147-181頁1. Battese, George ; Rao, D. ; O`Donnell, Christopher (2004) “A Metafrontier Production Function for Estimation of Technical Efficiencies and Technology Gaps for Firms Operating Under Different Technologies” Journal of Productivity Analysis, Vol.21(1), pp.91-1032. Chu-Fen Li (2009) “Using Frontier Efficiency Analysis to Measure Impacts of Financial Holding Company System on Operational Performance of Subsidiary Banks” Asian Journal of Management and Humanity Sciences, 4(4), pp.259-2703. Cummins J. David, Sharon Tennyson, Mary A. Weiss (1999) “Consolidation and efficiency in the US life insurance industry” Journal of Banking & Finance 23 325-3574. Cummins J. David, Weiss Mary A., Xie Xiaoying, Zi, Hongmin (2010) “Economies of scope in financial services: A DEA efficiency analysis of the US insurance industry” Journal of Banking and Finance, Vol.34(7), pp.1525-15395. Eling Martin, Luhnen Michael (2010) “Efficiency in the international insurance industry: A cross-country comparison” Journal of Banking and Finance Vol.34(7), pp.1497-15096. Fecher, F. ; Kessler, D. ; Perelman, S. ; Pestieau (1993) “Productive performance of the French insurance industry” P. Journal of Productivity Analysis, Vol.4(1), pp.77-937. Fenn Paul ,Vencappa Dev, Diacon Stephen, Klumpes Paul, O’brien Chris (2008) “Market structure and the efficiency of European insurance companies: A stochastic frontier analysis” Journal of Banking and Finance Vol.32(1), pp.86-1008. Huang, Cliff ; Huang, Tai-Hsin ; Liu, Nan-Hung (2014) “A new approach to estimating the metafrontier production function based on a stochastic frontier framework” Journal of Productivity Analysis, Vol.42(3), pp.241-2549. Huang Tai-Hsin, Chiang Dien-Lin, Chao Shih-Wei(2017) “A new approach to jointly estimating the Lerner index and cost efficiency for multi-output banks under a stochastic meta-frontier framework” Quarterly Review of Economics and Finance, Vol.65, pp.212-22610. Lai, Hung-pin ; Huang, Cliff (2013) “Maximum likelihood estimation of seemingly unrelated stochastic frontier regressions” Journal of Productivity Analysis, Vol.40(1), pp.1-1411. Lee, Tung-Hao (2013) “Do mergers improve the efficiency of banks in Taiwan? evidence from stochastic frontier approach” The journal of developing areas, Vol.47(1), pp. 395-41612. Ming-Tse Wu (2015) “The impact of transformation on economic efficiency – a case study of financial holding companies in Taiwan” Journal of the Asia Pacific Economy, 20:3, 465-48813. W.J. Tsay, C.J. Huang, T.T. Fu, I.L. Ho (2013) “A simple closed-form approximation for the cumulative distribution function of the composite error of stochastic frontier models” Journal of Productivity Analysis, 39 pp. 259-26914. Yamori, Nobuyoshi ; Harimaya, Kozo ; Kondo, Kazumine (2003) “Are Banks Affiliated with Bank Holding Companies More Efficient Than Independent Banks? The Recent Experience Regarding Japanese Regional BHCs” Asia-Pacific Financial Markets, Vol.10(4), pp.359-376 描述 碩士
國立政治大學
金融學系
106352033資料來源 http://thesis.lib.nccu.edu.tw/record/#G0106352033 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) 廖育緯 zh_TW dc.contributor.author (Authors) Liao, Yu-Wei en_US dc.creator (作者) 廖育緯 zh_TW dc.creator (作者) Liao, Yu-Wei en_US dc.date (日期) 2019 en_US dc.date.accessioned 7-Aug-2019 16:12:03 (UTC+8) - dc.date.available 7-Aug-2019 16:12:03 (UTC+8) - dc.date.issued (上傳時間) 7-Aug-2019 16:12:03 (UTC+8) - dc.identifier (Other Identifiers) G0106352033 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/124736 - 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) 106352033 zh_TW dc.description.abstract (摘要) 過去研究金融控股公司經營效率之文獻，多針對金控架構下的單一產業進行研究，無法有效捕捉金控子公司間的經營綜效。本文研究台灣2002年至2017年，43家銀行與27家壽險公司經營之成本效率。使用關聯結構模型建構金控銀行與壽險公司成本函數間組合誤差的聯合機率分配，將金控子公司間享有的經營綜效明確納入計量模型，並透過隨機共同邊界模型比較金控、非金控銀行與壽險公司之成本效率。實證結果發現金控銀行在金控公司成立初期成本效率明顯下降，隨時間經過逐漸發揮綜效成本效率開始上升，且金控銀行成本效率高於非金控銀行，經營較有效率。金控壽險公司成本效率高於非金控壽險公司，經營效率較好。金控銀行與金控壽險公司的成本效率間存在低度的正相關，顯示金控銀行與壽險公司間具有經營綜效。若忽略金控銀行與壽險公司間的經營綜效進行估計，將導致金控銀行與金控壽險公司的成本效率被低估，且無法捕捉兩成本效率間的相關性。 zh_TW dc.description.abstract (摘要) This paper examines the cost efficiency of 43 banks and 27 life insurance companies operating in Taiwan from 2002 to 2017. Using the copula method to construct the joint probability distribution of the combination errors between the cost functions of financial holding bank and life insurance company, and clearly integrate the operational synergy enjoyed by the financial holding subsidiaries into econometric model. And compare the cost efficiency of financial holding, non-financial holding banks and life insurance companies through stochastic meta frontier model.The empirical analysis concluded: (a) Cost efficiency of financial holding banks in the initial stage of the establishment of financial holding company was dropped significantly. The cost efficiency of financial holding banks has gradually increased with the passage of time, and the cost efficiency of financial holding banks are higher than non-financial holding banks. (b) The cost efficiency of financial holding life insurance companies are higher than that of non-financial holding life insurance companies, which means their operating efficiency is better. (c) There is a significantly small positive correlation between the cost efficiencies of financial holding banks and life insurance companies, indicating that the financial holding banks and the life insurance companies enjoy a synergy effect. (d) If we ignore the synergy between financial holding banks and life insurance companies, their cost efficiency will be underestimated, and the correlation between the two cost efficiencies cannot be captured. en_US dc.description.tableofcontents 第一章 緒論 1第一節 研究背景與動機 1第二節 研究目的 2第三節 研究流程圖 4第二章 文獻回顧 5第一節 銀行經營效率 5第二節 壽險業經營效率 7第三節 共同邊界模型 9第三章 迴歸模型 11第一節 隨機成本邊界函數 11第二節 隨機共同成本邊界模型 12第三節 關聯結構函數 14第四章 資料來源與變數定義 18第一節 資料來源 18第二節 銀行投入與產出變數定義 19第三節 壽險公司投入與產出變數定義 21第五章 實證結果與分析 24第一節 估計結果 25第二節 銀行成本效率分析 31第三節 壽險公司成本效率分析 36第四節 未考量綜效模型估計結果 41第六章 結論 49參考文獻 50 zh_TW dc.format.extent 1921380 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0106352033 en_US dc.subject (關鍵詞) 金融控股公司 zh_TW dc.subject (關鍵詞) 銀行與壽險公司 zh_TW dc.subject (關鍵詞) 綜效 zh_TW dc.subject (關鍵詞) 隨機共同邊界 zh_TW dc.subject (關鍵詞) 關聯結構 zh_TW dc.subject (關鍵詞) Financial holding company en_US dc.subject (關鍵詞) Bank and life insurance company en_US dc.subject (關鍵詞) Synergy en_US dc.subject (關鍵詞) Stochastic meta frontier en_US dc.subject (關鍵詞) Copula method en_US dc.title (題名) 以關聯結構隨機成本邊界模型比較我國金控、 非金控銀行與壽險公司之成本效率 zh_TW dc.title (題名) Comparing the Cost Efficiency of Financial and Non-financial Holding Banks and Insurance Companies under the Framework of the Copula Methods en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 1. 王儷玲、彭金隆與張義宏 (2006) 「我國壽險業銀行保險業務參與度與經營效率分析」，《臺大管理論叢, 17(1)》，59-90頁2. 朱炫璉與吳志銘 (2009) 「台灣金融控股組織對銀行效率之影響」，《台灣管理學刊, 9(1)》，97-114頁3. 陳玉娟與沈鵬飛 (2007) 「金控公司子銀行與獨立銀行之成本效率分析」，《運籌與管理學刊, 6(2)》，45-56頁4. 黃台心、高棟梁、姜麗智與梁嘉惠 (2010) 「我國壽險業考慮準固定投入後的效率與生產力變動分析」，《東吳經濟商學學報, (68)》，1-38頁5. 黃美瑛、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, (86)》，1-35頁6. 梁連文、彭顯浩 (2016) 「公司治理、外資進入可提升銀行效率嗎？－金控與非金控銀行之比較分析」，《績效與策略研究, 13(1)》，21-43頁7. 劉松瑜、謝燧琪與溫育芳 (2006) 「台灣銀行業在金控與非金控架構下之效率分析」，《台灣金融財務季刊，7(3)》，127-176頁8. 顏晃平、張靜文 (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, 47(1)》，147-181頁1. Battese, George ; Rao, D. ; O`Donnell, Christopher (2004) “A Metafrontier Production Function for Estimation of Technical Efficiencies and Technology Gaps for Firms Operating Under Different Technologies” Journal of Productivity Analysis, Vol.21(1), pp.91-1032. Chu-Fen Li (2009) “Using Frontier Efficiency Analysis to Measure Impacts of Financial Holding Company System on Operational Performance of Subsidiary Banks” Asian Journal of Management and Humanity Sciences, 4(4), pp.259-2703. Cummins J. David, Sharon Tennyson, Mary A. Weiss (1999) “Consolidation and efficiency in the US life insurance industry” Journal of Banking & Finance 23 325-3574. Cummins J. David, Weiss Mary A., Xie Xiaoying, Zi, Hongmin (2010) “Economies of scope in financial services: A DEA efficiency analysis of the US insurance industry” Journal of Banking and Finance, Vol.34(7), pp.1525-15395. Eling Martin, Luhnen Michael (2010) “Efficiency in the international insurance industry: A cross-country comparison” Journal of Banking and Finance Vol.34(7), pp.1497-15096. Fecher, F. ; Kessler, D. ; Perelman, S. ; Pestieau (1993) “Productive performance of the French insurance industry” P. Journal of Productivity Analysis, Vol.4(1), pp.77-937. Fenn Paul ,Vencappa Dev, Diacon Stephen, Klumpes Paul, O’brien Chris (2008) “Market structure and the efficiency of European insurance companies: A stochastic frontier analysis” Journal of Banking and Finance Vol.32(1), pp.86-1008. Huang, Cliff ; Huang, Tai-Hsin ; Liu, Nan-Hung (2014) “A new approach to estimating the metafrontier production function based on a stochastic frontier framework” Journal of Productivity Analysis, Vol.42(3), pp.241-2549. Huang Tai-Hsin, Chiang Dien-Lin, Chao Shih-Wei(2017) “A new approach to jointly estimating the Lerner index and cost efficiency for multi-output banks under a stochastic meta-frontier framework” Quarterly Review of Economics and Finance, Vol.65, pp.212-22610. Lai, Hung-pin ; Huang, Cliff (2013) “Maximum likelihood estimation of seemingly unrelated stochastic frontier regressions” Journal of Productivity Analysis, Vol.40(1), pp.1-1411. Lee, Tung-Hao (2013) “Do mergers improve the efficiency of banks in Taiwan? evidence from stochastic frontier approach” The journal of developing areas, Vol.47(1), pp. 395-41612. Ming-Tse Wu (2015) “The impact of transformation on economic efficiency – a case study of financial holding companies in Taiwan” Journal of the Asia Pacific Economy, 20:3, 465-48813. W.J. Tsay, C.J. Huang, T.T. Fu, I.L. Ho (2013) “A simple closed-form approximation for the cumulative distribution function of the composite error of stochastic frontier models” Journal of Productivity Analysis, 39 pp. 259-26914. Yamori, Nobuyoshi ; Harimaya, Kozo ; Kondo, Kazumine (2003) “Are Banks Affiliated with Bank Holding Companies More Efficient Than Independent Banks? The Recent Experience Regarding Japanese Regional BHCs” Asia-Pacific Financial Markets, Vol.10(4), pp.359-376 zh_TW dc.identifier.doi (DOI) 10.6814/NCCU201900158 en_US
