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題名 以網絡隨機邊界分析法分析台灣銀行經營效率
Applying the Network Stochastic Frontier Approach to study the efficiency of Taiwan`s banking作者 洪維楷
Hung, Wei Kai貢獻者 黃台心
Huang, Tai Hsin
洪維楷
Hung, Wei Kai關鍵詞 隨機邊界分析法
技術效率
兩階段生產
Stochastic Frontier Approach
technical efficiency
two-stage production日期 2012 上傳時間 2-Sep-2013 16:04:20 (UTC+8) 摘要 傳統研究銀行業經營績效時，需考量將存款視為投入或產出，認定方法的不同將導致估計出的效率水準差異極大，本研究應用兩階段的銀行生產模型，第一階段將存款視為中間產出，第二階段與勞動和資本一起瑝作投入，生產另外三種產出。這種作法使得存款既保有產出的特性，又是銀行生產過程的要素投入，不必再主觀的去認定存款對銀行究竟是投入或產出。本研究以1997-2011年的50家台灣銀行業資料，採用隨機邊界分析法估計銀行廠商的技術效率水準與成本效率水準及兩個階段間要素投入量的分配比例。實證結果發現銀行在第一階段生產存款的過程中，要素的投入配置比例較低，大部分的要素是在第二階段生產放款、投資與非利息收入時被使用。另外也發現台灣整體銀行業生產存款的過程存在技術無效率，而生產放款、投資與非利息收入等時的成本效率值甚高。本研究也發現生產存款的過程中，泛公營銀行的技術效率高於民營銀行，這點與過去的研究比較不同。
In previous studies about bank productivity and efficiency, researchers have to indentify deposit as either input or output, as a result, applying different analysis framework produce diverging outcome. In this study we consider bank production model as two-stage. Bank produces deposit as intermediate product which is one of input factor to produce various output in second stage. We don’t have to identify deposit as input or output subjectively by applying this analysis framework. We apply SFA model to estimate technical efficiency and cost efficiency and factor distribution parameter of Taiwan banking industry by 50 Taiwan banks panel data in 1997-2011. Empirical result shows that bank uses little input factor in first stage, in addition, technical inefficiency commonly exists in bank first stage production in contrast with that high cost efficiency in second stage. We also find that pan-publicly banks have both high technical efficiency and cost efficiency in comparison with private banks.參考文獻 Aigner, D., C.A. Knox Lovell, and P. Schmidt(1977), Formulation and Estimation of Stochastic Frontier Production Function Models, Journal of Econometrics, 6,21-37Amsler, C., A. Prokhorov, and P. Schmidt (2011), “Using Copulas to Model Time Dependence in Stochastic Frontier Models,” Working Paper.Atkinson, S.E. and C. Cornwell (1993), Estimation of technical efficiency with panel data: A dual approach, Journal of Econometrics, 59, 257-262.Atkinson, S.E. and C. Cornwell (1994), Parametric estimation of technical and allocative inefficiencies with panel data, International Economic Review, 35, 231-243.Berger, A.N. and D.B. Humphrey (1992), Measurement and efficiency issues in commercial banking, in “Output Measurement in the Service Sector”, edited by Z. Griliches, The University of Chicago Press, Chicago.Berger, A.N., L.F. Klapper, and R. Turk-Ariss (2009), Bank competition and financial stability, Journal of Financial Services Research, 35, 99-118.Chen, T. Y. and T. L. Yeh（2000）,“A Measurement of Bank Efficiency, Ownership and Productivity Changes in Taiwan,”The Service Industries Journal, 20, 95-109.Castelli, C., R. Pesenti, and W. Ukovich (2001), DEA-like models for efficiency evaluations of specialized and interdependent units, European Journal of Operational Research, 132, 274–286.Chen, C.M. (2009), A network-DEA model with new efficiency measures to incorporate the dynamic effect in production networks, European Journal of Operational Research, 194, 687–699.Cook, W.d., J. Zhu, G. Bi, and F. Yang (2010), Network DEA: Additive efficiency decomposition, European Journal of Operational Research, 207, 1122–1129.Eppen, G.D., F.J. Gould, C.P. Schmidt, J.H. Moore, and L.R. Weatherford (1998), Introductory Management Science, Prentice-Hall Inc., New Jersey.Farell, M.J.(1957), The Measurement of Productivity Efficiency, Journal of Royal Statistical Society,120: 253-281Färe, R. and Whittaker (1995), An intermediate input model of dairy production using complex survey data, Journal of Agricultural Economics 46(2), 201–213.Färe, R. and S. Grosskopf. (2000), Network DEA, Socio-Economic Planning Sciences 34, 35–49.Holod, D. and H.F. Lewis (2011), Resolving the deposit dilemma: A new DEA bank efficiency model, Journal of Banking and Finance, 35, 2801-2810.Hung, M. H. and C. J. Hunag(2002), “The Impact of Banking Regulatory Reform on the Industries Productivity and Efficiency in Taiwan” A Presentation at the Asia Conference on Efficiency and Productivity Growth at the Academia Sinica, Taipei,35TaiwanHuang, T.H. (2000), Estimation X-efficiency in Taiwanese banking using a translog shadow profit function, Journal of Productivity Analysis, 14, 225-245.Huang, T.H., C.H. Shen, K.C. Chen, and S.J. Tseng (2011), Measuring technical and allocative efficiencies for banks in the transition countries using the Fourier flexible cost function, Journal of Productivity Analysis, 35, 143-157.Kao, C. (2009), Efficiency decomposition in network data envelopment analysis:A relational model, European Journal of Operational Research, 192, 949-962.Kao, C. and S.N. Hwang (2008), Efficiency decomposition in two-stage data envelopment analysis: An application to non-life insurance companies in Taiwan, European Journal of Operational Research, 185, 418–429.Lewis, H.F. and T.R. Sexton (2004), Network DEA: efficiency analysis of organizations with complex internal structure, Computers and Operations Research, 31, 1365–1410.Lewis, H.F., T.R. Sexton, and S. Mallikarjun (2010), Unoriented two-stage DEA: the case of the oscillating intermediate products, unpublished manuscript.Lai, H. P. and C. J. Huang (2012), “Maximum Likelihood Estimation of Seemingly Unrelated Stochastic Frontier Regressions,” Journal of Productivity Analysis, forthcoming.Meeusen, w. and J. Van Den Broeck(1977), Efficiency Estimation from Cobb-Douglas Production Functions with Composed Error, International Economic Review, 18, 435-444Pardalos, P.M., D.W. Hearn, and W.W. Hager (1997), Eds., Network Optimization, Lecture Notes in Economics and Mathematical Systems Series, vol. 450, Springer, Berlin.Prieto, A.M. and J.L. Zofío (2007), Network DEA efficiency in input–output models:With an application to OECD countries, European Journal of Operational Research, 178, 292-304.Ritter, C., and Simar, L.(1997), “Pitfalls of Normal-Gamma Stochastic Frontier Models. Journal of Productivity Analysis”, 8, 167-182Sklar, A. (1959), “Functions de Répartition àn Dimensions et Leurs Marges,” Publications de l’Institut de Statistique de L’Université de Paris, 8, 229-231.Sexton, T.R. and H.F. Lewis (2003), Two-stage DEA: an application to major league baseball, Journal of Productivity Analysis, 19, 227–249.Turk-Ariss, R. (2010), On the implications of market power in banking: Evidence from developing countries, Journal of Banking and Finance, 34, 765-775.Tsay, W. J., C. J. Huang, T. T. Fu, and I. L. Ho (2012), “A Simple Closed-form Approximation for the Cumulative Distribution Function of the Composite Error of Stochastic Frontier Models,” Journal of Productivity Analysis, forthcoming.36Vaz, C.B., A.S. Camanho and R.C. Guimarães (2010), The assessment of retailing efficiency using Network Data Envelopment Analysis, Annals of Operation Research, 173, 5-24.余銘忠、耿怡、賴郁芬(2011)，”公營銀行民營化經營效率之衡量”，管理科學研究，7:1，75-96林灼榮、張國雄、徐啟升、邱敬貿(2007)，”金融自由化對台灣十大行庫營運績效之影響”，經濟研究，43:1，1-33。陳永琦 (2007)，”探究本國銀行加入金融控股公司對經營風險與生產成本之影響”，經濟研究，43:2，209-242。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，9:1，85-123。黃台心（1998），“以隨機成本邊界函數分析本國銀行的規模與多元經濟”，經濟論文叢刊，26:2，209-241。黃台心 (2002)，”我國多產出銀行業不完全競爭策略行為之研究”，《經濟論文》，30:1，79-113。黃美瑛、盧彥瑋(2008)，”台灣金融業結合案例之經濟效益評估－金控公司範疇經濟衡量”，公帄交易季刊，16:4，31-66。鄭秀玲、劉育碩（2000），“銀行規模、多角化程度與經營效率分析：資料包絡法之應用”，人文及社會科學集刊，12:1，103-148。詹維玲、劉景中 (2006)，”金融自由化後台灣銀行的效率及生產力”，經濟論文，34:2，251-300。劉松瑜、謝燧棋、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顏晃帄、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”，經濟研究，47:1，147-181 描述 碩士
國立政治大學
金融研究所
100352024
101資料來源 http://thesis.lib.nccu.edu.tw/record/#G0100352024 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) 洪維楷 zh_TW dc.contributor.author (Authors) Hung, Wei Kai en_US dc.creator (作者) 洪維楷 zh_TW dc.creator (作者) Hung, Wei Kai en_US dc.date (日期) 2012 en_US dc.date.accessioned 2-Sep-2013 16:04:20 (UTC+8) - dc.date.available 2-Sep-2013 16:04:20 (UTC+8) - dc.date.issued (上傳時間) 2-Sep-2013 16:04:20 (UTC+8) - dc.identifier (Other Identifiers) G0100352024 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/59309 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 金融研究所 zh_TW dc.description (描述) 100352024 zh_TW dc.description (描述) 101 zh_TW dc.description.abstract (摘要) 傳統研究銀行業經營績效時，需考量將存款視為投入或產出，認定方法的不同將導致估計出的效率水準差異極大，本研究應用兩階段的銀行生產模型，第一階段將存款視為中間產出，第二階段與勞動和資本一起瑝作投入，生產另外三種產出。這種作法使得存款既保有產出的特性，又是銀行生產過程的要素投入，不必再主觀的去認定存款對銀行究竟是投入或產出。本研究以1997-2011年的50家台灣銀行業資料，採用隨機邊界分析法估計銀行廠商的技術效率水準與成本效率水準及兩個階段間要素投入量的分配比例。實證結果發現銀行在第一階段生產存款的過程中，要素的投入配置比例較低，大部分的要素是在第二階段生產放款、投資與非利息收入時被使用。另外也發現台灣整體銀行業生產存款的過程存在技術無效率，而生產放款、投資與非利息收入等時的成本效率值甚高。本研究也發現生產存款的過程中，泛公營銀行的技術效率高於民營銀行，這點與過去的研究比較不同。 zh_TW dc.description.abstract (摘要) In previous studies about bank productivity and efficiency, researchers have to indentify deposit as either input or output, as a result, applying different analysis framework produce diverging outcome. In this study we consider bank production model as two-stage. Bank produces deposit as intermediate product which is one of input factor to produce various output in second stage. We don’t have to identify deposit as input or output subjectively by applying this analysis framework. We apply SFA model to estimate technical efficiency and cost efficiency and factor distribution parameter of Taiwan banking industry by 50 Taiwan banks panel data in 1997-2011. Empirical result shows that bank uses little input factor in first stage, in addition, technical inefficiency commonly exists in bank first stage production in contrast with that high cost efficiency in second stage. We also find that pan-publicly banks have both high technical efficiency and cost efficiency in comparison with private banks. en_US dc.description.tableofcontents 第一章 緒論 .............................................. 1第一節 研究背景 ....................................... 1第二節 研究動機與目的 ................................. 2第二章 文獻回顧 .......................................... 4第三章 研究方法 .......................................... 8第一節 隨機邊界分析法(SFA)簡介 ........................ 8第二節 生產與成本函數體系 ............................ 10第三節 關聯結構函數(Copula Function)與最大概似估計法 . 14第四章 資料來源與處理 ................................... 16第一節 資料來源、研究期間與樣本銀行 .................. 16第二節 資料處理 ...................................... 19第五章 實證結果與分析 ................................... 20V第一節 生產函數與成本函數體系估計結果 ................ 20第二節 技術效率的實證分析 ............................ 24第六章 結論與建議 ....................................... 32參考文獻 .................................................... 34 zh_TW dc.format.extent 941570 bytes - dc.format.mimetype application/pdf - dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0100352024 en_US dc.subject (關鍵詞) 隨機邊界分析法 zh_TW dc.subject (關鍵詞) 技術效率 zh_TW dc.subject (關鍵詞) 兩階段生產 zh_TW dc.subject (關鍵詞) Stochastic Frontier Approach en_US dc.subject (關鍵詞) technical efficiency en_US dc.subject (關鍵詞) two-stage production en_US dc.title (題名) 以網絡隨機邊界分析法分析台灣銀行經營效率 zh_TW dc.title (題名) Applying the Network Stochastic Frontier Approach to study the efficiency of Taiwan`s banking en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) Aigner, D., C.A. Knox Lovell, and P. Schmidt(1977), Formulation and Estimation of Stochastic Frontier Production Function Models, Journal of Econometrics, 6,21-37Amsler, C., A. Prokhorov, and P. Schmidt (2011), “Using Copulas to Model Time Dependence in Stochastic Frontier Models,” Working Paper.Atkinson, S.E. and C. Cornwell (1993), Estimation of technical efficiency with panel data: A dual approach, Journal of Econometrics, 59, 257-262.Atkinson, S.E. and C. Cornwell (1994), Parametric estimation of technical and allocative inefficiencies with panel data, International Economic Review, 35, 231-243.Berger, A.N. and D.B. Humphrey (1992), Measurement and efficiency issues in commercial banking, in “Output Measurement in the Service Sector”, edited by Z. Griliches, The University of Chicago Press, Chicago.Berger, A.N., L.F. Klapper, and R. Turk-Ariss (2009), Bank competition and financial stability, Journal of Financial Services Research, 35, 99-118.Chen, T. Y. and T. L. Yeh（2000）,“A Measurement of Bank Efficiency, Ownership and Productivity Changes in Taiwan,”The Service Industries Journal, 20, 95-109.Castelli, C., R. Pesenti, and W. Ukovich (2001), DEA-like models for efficiency evaluations of specialized and interdependent units, European Journal of Operational Research, 132, 274–286.Chen, C.M. (2009), A network-DEA model with new efficiency measures to incorporate the dynamic effect in production networks, European Journal of Operational Research, 194, 687–699.Cook, W.d., J. Zhu, G. Bi, and F. Yang (2010), Network DEA: Additive efficiency decomposition, European Journal of Operational Research, 207, 1122–1129.Eppen, G.D., F.J. Gould, C.P. Schmidt, J.H. Moore, and L.R. Weatherford (1998), Introductory Management Science, Prentice-Hall Inc., New Jersey.Farell, M.J.(1957), The Measurement of Productivity Efficiency, Journal of Royal Statistical Society,120: 253-281Färe, R. and Whittaker (1995), An intermediate input model of dairy production using complex survey data, Journal of Agricultural Economics 46(2), 201–213.Färe, R. and S. Grosskopf. (2000), Network DEA, Socio-Economic Planning Sciences 34, 35–49.Holod, D. and H.F. Lewis (2011), Resolving the deposit dilemma: A new DEA bank efficiency model, Journal of Banking and Finance, 35, 2801-2810.Hung, M. H. and C. J. Hunag(2002), “The Impact of Banking Regulatory Reform on the Industries Productivity and Efficiency in Taiwan” A Presentation at the Asia Conference on Efficiency and Productivity Growth at the Academia Sinica, Taipei,35TaiwanHuang, T.H. (2000), Estimation X-efficiency in Taiwanese banking using a translog shadow profit function, Journal of Productivity Analysis, 14, 225-245.Huang, T.H., C.H. Shen, K.C. Chen, and S.J. Tseng (2011), Measuring technical and allocative efficiencies for banks in the transition countries using the Fourier flexible cost function, Journal of Productivity Analysis, 35, 143-157.Kao, C. (2009), Efficiency decomposition in network data envelopment analysis:A relational model, European Journal of Operational Research, 192, 949-962.Kao, C. and S.N. Hwang (2008), Efficiency decomposition in two-stage data envelopment analysis: An application to non-life insurance companies in Taiwan, European Journal of Operational Research, 185, 418–429.Lewis, H.F. and T.R. Sexton (2004), Network DEA: efficiency analysis of organizations with complex internal structure, Computers and Operations Research, 31, 1365–1410.Lewis, H.F., T.R. Sexton, and S. Mallikarjun (2010), Unoriented two-stage DEA: the case of the oscillating intermediate products, unpublished manuscript.Lai, H. P. and C. J. Huang (2012), “Maximum Likelihood Estimation of Seemingly Unrelated Stochastic Frontier Regressions,” Journal of Productivity Analysis, forthcoming.Meeusen, w. and J. Van Den Broeck(1977), Efficiency Estimation from Cobb-Douglas Production Functions with Composed Error, International Economic Review, 18, 435-444Pardalos, P.M., D.W. Hearn, and W.W. Hager (1997), Eds., Network Optimization, Lecture Notes in Economics and Mathematical Systems Series, vol. 450, Springer, Berlin.Prieto, A.M. and J.L. Zofío (2007), Network DEA efficiency in input–output models:With an application to OECD countries, European Journal of Operational Research, 178, 292-304.Ritter, C., and Simar, L.(1997), “Pitfalls of Normal-Gamma Stochastic Frontier Models. Journal of Productivity Analysis”, 8, 167-182Sklar, A. (1959), “Functions de Répartition àn Dimensions et Leurs Marges,” Publications de l’Institut de Statistique de L’Université de Paris, 8, 229-231.Sexton, T.R. and H.F. Lewis (2003), Two-stage DEA: an application to major league baseball, Journal of Productivity Analysis, 19, 227–249.Turk-Ariss, R. (2010), On the implications of market power in banking: Evidence from developing countries, Journal of Banking and Finance, 34, 765-775.Tsay, W. J., C. J. Huang, T. T. Fu, and I. L. Ho (2012), “A Simple Closed-form Approximation for the Cumulative Distribution Function of the Composite Error of Stochastic Frontier Models,” Journal of Productivity Analysis, forthcoming.36Vaz, C.B., A.S. Camanho and R.C. Guimarães (2010), The assessment of retailing efficiency using Network Data Envelopment Analysis, Annals of Operation Research, 173, 5-24.余銘忠、耿怡、賴郁芬(2011)，”公營銀行民營化經營效率之衡量”，管理科學研究，7:1，75-96林灼榮、張國雄、徐啟升、邱敬貿(2007)，”金融自由化對台灣十大行庫營運績效之影響”，經濟研究，43:1，1-33。陳永琦 (2007)，”探究本國銀行加入金融控股公司對經營風險與生產成本之影響”，經濟研究，43:2，209-242。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，9:1，85-123。黃台心（1998），“以隨機成本邊界函數分析本國銀行的規模與多元經濟”，經濟論文叢刊，26:2，209-241。黃台心 (2002)，”我國多產出銀行業不完全競爭策略行為之研究”，《經濟論文》，30:1，79-113。黃美瑛、盧彥瑋(2008)，”台灣金融業結合案例之經濟效益評估－金控公司範疇經濟衡量”，公帄交易季刊，16:4，31-66。鄭秀玲、劉育碩（2000），“銀行規模、多角化程度與經營效率分析：資料包絡法之應用”，人文及社會科學集刊，12:1，103-148。詹維玲、劉景中 (2006)，”金融自由化後台灣銀行的效率及生產力”，經濟論文，34:2，251-300。劉松瑜、謝燧棋、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顏晃帄、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”，經濟研究，47:1，147-181 zh_TW
