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題名 臺灣本國銀行效率和生產力分析 - 一般化Malmquist生產力指數之應用
The efficiency and productivity analysis of domestic banks in Taiwan with the application of generalized Malmquist productivity index作者 高世修
Kao, Shih-Hsiu貢獻者 李文福
Lee, Wen-Fu
高世修
Kao, Shih-Hsiu關鍵詞 台灣本國銀行
隨機邊界分析法
單調性
三階段估計法
一般化Malmquist總要素生產力指數
Taiwanese domestic banks
Stochastic frontier analysis
Monotonicity
Three-step procedure
Generalized Malmquist total factor productivity index日期 2020 上傳時間 3-Aug-2020 18:11:09 (UTC+8) 摘要 在多投入多產出的情況下，本文使用投入距離函數衡量2007年第1季至2017年第4季18家台灣本國(本土)銀行的效率值，並使用隨機邊界分析法(Stochastic Frontier Analysis；SFA)進行估計。本文採用Henningsen and Henning (2009)提出的三階段估計法確保估計的投入距離函數滿足經濟理論的單調性(monotonicity)，以獲得更正確的效率值。在衡量生產力變動方面，本文使用李文福、張佩茹(2013)推導出的投入導向一般化Malmquist總要素生產力指數，分析銀行總要素生產力變動及其來源。實證結果顯示: (1)未滿足單調性的模型，其效率估計值可能會被高估。(2)全體銀行的季平均效率值為0.9351，顯示研究樣本中的銀行在投入資源的運用上仍有6.49%的改善空間。(3)在影響銀行技術效率之環境變數分析中，本文發現銀行為金控子公司、逾放比率以及分行數目，皆與無效率因子呈現顯著正相關，是三項不利的環境因素，而銀行規模與資本適足率則與無效率因子呈現顯著負相關，是兩項有利的環境因素，至於銀行為公股銀行對於無效率因子的影響為負，但係數在統計上並不顯著。(4)在總要素生產力變動及其變動來源方面，本文發現純技術效率變動幅度相對較大。樣本期間平均而言，純技術效率每季微幅進步(+0.106%)，技術每季微幅成長(+0.004%)，而規模效率則每季退步(-0.019%)。此外，導致生產力變動的主要來源為純技術效率變動，次之則為規模效率變動，而且樣本銀行目前屬於規模報酬遞減階段。綜合言之，銀行的總要素生產力變動與總體經濟環境有著密切的關係。
This paper uses input distance function and stochastic frontier analysis to estimate efficiency scores and total factor productivity changes of 18 domestic banks in Taiwan from 2007 Q1 to 2017 Q4. To obtain correct efficiency scores, this paper adopts the simple three-step procedure proposed by Henningsen and Henning (2009). After three-step estimation, this paper uses the input-oriented generalized Malmquist total factor productivity index derived from Lee and Zhang (2013) to analyze productivity change and its components. The empirical results indicate that efficiency scores estimated from models violating monotonicity may be overestimated. Furthermore, this paper finds that banks controlled by financial holding companies, Non-Performing Loans Ratio (NPLR), and number of branches are negative environmental variables, while bank size (measured by total assets) and Capital Adequacy Ratio (CAR) are positive ones. On average, for the whole bank, in each quarter, pure technical efficiency increases, technology progresses, scale efficiency decreases, and productivity improves. The main factor dominating productivity change is pure technical efficiency change. 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國立政治大學
經濟學系
107258002資料來源 http://thesis.lib.nccu.edu.tw/record/#G0107258002 資料類型 thesis dc.contributor.advisor 李文福 zh_TW dc.contributor.advisor Lee, Wen-Fu en_US dc.contributor.author (Authors) 高世修 zh_TW dc.contributor.author (Authors) Kao, Shih-Hsiu en_US dc.creator (作者) 高世修 zh_TW dc.creator (作者) Kao, Shih-Hsiu en_US dc.date (日期) 2020 en_US dc.date.accessioned 3-Aug-2020 18:11:09 (UTC+8) - dc.date.available 3-Aug-2020 18:11:09 (UTC+8) - dc.date.issued (上傳時間) 3-Aug-2020 18:11:09 (UTC+8) - dc.identifier (Other Identifiers) G0107258002 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/131177 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 經濟學系 zh_TW dc.description (描述) 107258002 zh_TW dc.description.abstract (摘要) 在多投入多產出的情況下，本文使用投入距離函數衡量2007年第1季至2017年第4季18家台灣本國(本土)銀行的效率值，並使用隨機邊界分析法(Stochastic Frontier Analysis；SFA)進行估計。本文採用Henningsen and Henning (2009)提出的三階段估計法確保估計的投入距離函數滿足經濟理論的單調性(monotonicity)，以獲得更正確的效率值。在衡量生產力變動方面，本文使用李文福、張佩茹(2013)推導出的投入導向一般化Malmquist總要素生產力指數，分析銀行總要素生產力變動及其來源。實證結果顯示: (1)未滿足單調性的模型，其效率估計值可能會被高估。(2)全體銀行的季平均效率值為0.9351，顯示研究樣本中的銀行在投入資源的運用上仍有6.49%的改善空間。(3)在影響銀行技術效率之環境變數分析中，本文發現銀行為金控子公司、逾放比率以及分行數目，皆與無效率因子呈現顯著正相關，是三項不利的環境因素，而銀行規模與資本適足率則與無效率因子呈現顯著負相關，是兩項有利的環境因素，至於銀行為公股銀行對於無效率因子的影響為負，但係數在統計上並不顯著。(4)在總要素生產力變動及其變動來源方面，本文發現純技術效率變動幅度相對較大。樣本期間平均而言，純技術效率每季微幅進步(+0.106%)，技術每季微幅成長(+0.004%)，而規模效率則每季退步(-0.019%)。此外，導致生產力變動的主要來源為純技術效率變動，次之則為規模效率變動，而且樣本銀行目前屬於規模報酬遞減階段。綜合言之，銀行的總要素生產力變動與總體經濟環境有著密切的關係。 zh_TW dc.description.abstract (摘要) This paper uses input distance function and stochastic frontier analysis to estimate efficiency scores and total factor productivity changes of 18 domestic banks in Taiwan from 2007 Q1 to 2017 Q4. To obtain correct efficiency scores, this paper adopts the simple three-step procedure proposed by Henningsen and Henning (2009). After three-step estimation, this paper uses the input-oriented generalized Malmquist total factor productivity index derived from Lee and Zhang (2013) to analyze productivity change and its components. The empirical results indicate that efficiency scores estimated from models violating monotonicity may be overestimated. Furthermore, this paper finds that banks controlled by financial holding companies, Non-Performing Loans Ratio (NPLR), and number of branches are negative environmental variables, while bank size (measured by total assets) and Capital Adequacy Ratio (CAR) are positive ones. On average, for the whole bank, in each quarter, pure technical efficiency increases, technology progresses, scale efficiency decreases, and productivity improves. The main factor dominating productivity change is pure technical efficiency change. Overall, productivity change is closely associated with the economic conditions at that time. en_US dc.description.tableofcontents 第一章 緒論 11.1 研究背景 11.2 研究目的與方法 3第二章 文獻回顧 7第三章 單調性、三階段隨機邊界估計法與生產力指數 133.1 距離函數與效率衡量 133.2 隨機邊界分析法SFA 143.3 單調性與效率 163.4 三階段隨機邊界估計法 233.5 一般化Malmquist總要素生產力變動 26第四章 實證結果分析 324.1 資料 324.2 效率分析 384.3 銀行之生產力變動與變動來源 54第五章 結論 635.1 結論 635.2 未來研究方向 65參考文獻 66附錄 74 zh_TW dc.format.extent 4403157 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0107258002 en_US dc.subject (關鍵詞) 台灣本國銀行 zh_TW dc.subject (關鍵詞) 隨機邊界分析法 zh_TW dc.subject (關鍵詞) 單調性 zh_TW dc.subject (關鍵詞) 三階段估計法 zh_TW dc.subject (關鍵詞) 一般化Malmquist總要素生產力指數 zh_TW dc.subject (關鍵詞) Taiwanese domestic banks en_US dc.subject (關鍵詞) Stochastic frontier analysis en_US dc.subject (關鍵詞) Monotonicity en_US dc.subject (關鍵詞) Three-step procedure en_US dc.subject (關鍵詞) Generalized Malmquist total factor productivity index en_US dc.title (題名) 臺灣本國銀行效率和生產力分析 - 一般化Malmquist生產力指數之應用 zh_TW dc.title (題名) The efficiency and productivity analysis of domestic banks in Taiwan with the application of generalized Malmquist productivity index en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 中文文獻王允立 (2019)，「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」，政治大學金融研究所碩士論文。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」，政治大學金融研究所碩士論文。李文福、王媛慧、洪琬婷 (2009)，「技術變動、產出組合與台灣銀行產業生產力變動」，經濟論文，37(4)，495-524。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，38(4)，593-627。李文福、翁祥容 (2010)，「預期放款損失與台灣銀行業生產力分析」，台灣金融財務季刊，11(3)，33-59。李文福、張佩茹 (2013)，「臺灣上市櫃證券商經營績效分析－一般化Malmquist生產力指數之應用」，經濟研究，49(1)，89-134。李文福、張民忠、王媛慧 (2015)，「衡量與分解臺灣銀行業生產力與利潤力變動」，經濟研究，51(2)，305-356。李孟羲 (2016)，「臺灣民營金控公司技術效率分析－隨機距離函數法之應用」，臺灣大學生物資源暨農學院農業經濟研究所碩士論文。李睿耆 (2018)，「追蹤資料下貝氏隨機邊界模型之估計-對台灣銀行成本效率分析的應用」，臺灣大學經濟研究所碩士論文。余欣穎 (2018)，「考量CoVaR後對台灣銀行業效率性之探討」，臺北商業大學國際商務研究所碩士論文。邱齡慧 (2014)，「兩岸銀行業之分項投入效率比較:隨機共同邊界分析之應用」，東吳大學經濟研究所碩士論文。林佑穎 (2012)，「以共同邊界方法在銀行效率、環境效率與綠色(環境)生產力之應用」，中興大學應用經濟所博士論文。陳昱銘 (2016)，「臺灣地區本國銀行與外商銀行效率和生產力分析-全域共同邊界法之應用」，政治大學經濟研究所碩士論文。陳碧、陳彧夏、林宛蓉 (2009)，「兩岸銀行業效率及其影響因子之分析－Metafrontier函數之應用」，評價學報，1，12-27。黃台心、江典霖 (2014)，「我國銀行業市場競爭度與金融創新之關聯」，中央銀行季刊，36(2)，15-52。黃思旻 (2016)，「台灣銀行產業之績效評估」，嶺東科技大學財務金融所碩士論文。湯家榳 (2018)，「資本適足率及逾放比率對台灣銀行產業生產效率之影響」，嶺東科技大學企業管理系高階經營管理在職專班碩士論文。薛美雲 (2009)，「台灣商業銀行之業務結構及利潤效率與風險之研究」，臺中技術學院事業經營所碩士論文。蘇以岫 (2016)，「在共同衝擊存在下估計銀行之經營效率：模擬最大概似法在追蹤資料隨機邊界模型的應用」，成功大學經濟研究所碩士論文。英文文獻Adrian, T., Markus K. 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