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題名 比較西歐銀行業之成本效率： 新共同邊界Fourier成本函數之應用
Comparing cost efficiency in Western European banking industries: Using the new metafrontier Fourier flexible cost function
作者 李起銓
Lee, Chi Chuan
貢獻者 黃台心
Huang, Tai Hsin
李起銓
Lee, Chi Chuan
關鍵詞 共同邊界
成本效率
技術缺口比率
環境變數
Metafrontier
Cost efficiency
Technology gap ratio
Environmental variables
日期 2012
上傳時間 2-Sep-2013 16:04:43 (UTC+8)
摘要 本文採用新的隨機共同邊界方法，將其擴充至Fourier富伸縮成本函數，針對西歐地區十個國家的銀行業進行成本效率之分析，資料期間涵蓋1996年至2010年。不同於Battese et al. (2004), O’Donnell et al. (2008), and Huang et al. (2011a) 等人利用線性規劃法，本文應用隨機共同邊界法來估計技術缺口比率，進而做跨國間的效率比較，此法的特點在於技術缺口比率可以設為一些反映國家環境差異的外生變數之函數，而線性規劃法則無法做此設定。實證結果顯示採用線性規劃方法所估計出的技術缺口比率與共同成本效率會有低估的現象，技術缺口比率以及共同成本效率在1996年至2000年間逐步上升，此結果支持金融市場的整合可以增進效率，然而，到2000年之後則反轉向下，特別是在2007年至2010年次級房貸風暴時期明顯惡化。此外，進一步的分群進行分析的結果顯示，小規模、高獲利、或是較保守的銀行相對來說較具有效率。
This paper aims to gain further insights into cost efficiency using the newly developed metafrontier approach under the framework of the Fourier flexible cost frontier for banking industries across 10 Western European nations during the period 1996-2010. Unlike Battese et al. (2004), O’Donnell et al. (2008), and Huang et al. (2011a), who suggest using programming techniques, the stochastic metafrontier is formulated and applied to obtain the technology gap ratio (TGR) for efficiency comparisons among countries. One salient feature of our method is that the TGR can be specified as a function of some exogenous variables that reflect group-specific environmental differences, while the mathematical programming is not allowed to do so. Empirical results show that both TGR and metafrontier cost efficiency (MCE) are underestimated by programming techniques. The TGR and MCE exhibit a gradual upward trend during 1996-2000 and then followed by a downward trend, especially after the subprime crisis of 2007-2010. This suggests that a more integrated financial market is able to improve banking efficiency. Smaller banks tend to be more cost efficient than larger ones. Higher profitable banks and more conservative banks are related to greater efficiency.
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描述 博士
國立政治大學
金融研究所
95352502
101
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0953525021
資料類型 thesis
dc.contributor.advisor 黃台心zh_TW
dc.contributor.advisor Huang, Tai Hsinen_US
dc.contributor.author (Authors) 李起銓zh_TW
dc.contributor.author (Authors) Lee, Chi Chuanen_US
dc.creator (作者) 李起銓zh_TW
dc.creator (作者) Lee, Chi Chuanen_US
dc.date (日期) 2012en_US
dc.date.accessioned 2-Sep-2013 16:04:43 (UTC+8)-
dc.date.available 2-Sep-2013 16:04:43 (UTC+8)-
dc.date.issued (上傳時間) 2-Sep-2013 16:04:43 (UTC+8)-
dc.identifier (Other Identifiers) G0953525021en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/59311-
dc.description (描述) 博士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) 95352502zh_TW
dc.description (描述) 101zh_TW
dc.description.abstract (摘要) 本文採用新的隨機共同邊界方法，將其擴充至Fourier富伸縮成本函數，針對西歐地區十個國家的銀行業進行成本效率之分析，資料期間涵蓋1996年至2010年。不同於Battese et al. (2004), O’Donnell et al. (2008), and Huang et al. (2011a) 等人利用線性規劃法，本文應用隨機共同邊界法來估計技術缺口比率，進而做跨國間的效率比較，此法的特點在於技術缺口比率可以設為一些反映國家環境差異的外生變數之函數，而線性規劃法則無法做此設定。實證結果顯示採用線性規劃方法所估計出的技術缺口比率與共同成本效率會有低估的現象，技術缺口比率以及共同成本效率在1996年至2000年間逐步上升，此結果支持金融市場的整合可以增進效率，然而，到2000年之後則反轉向下，特別是在2007年至2010年次級房貸風暴時期明顯惡化。此外，進一步的分群進行分析的結果顯示，小規模、高獲利、或是較保守的銀行相對來說較具有效率。zh_TW
dc.description.abstract (摘要) This paper aims to gain further insights into cost efficiency using the newly developed metafrontier approach under the framework of the Fourier flexible cost frontier for banking industries across 10 Western European nations during the period 1996-2010. Unlike Battese et al. (2004), O’Donnell et al. (2008), and Huang et al. (2011a), who suggest using programming techniques, the stochastic metafrontier is formulated and applied to obtain the technology gap ratio (TGR) for efficiency comparisons among countries. One salient feature of our method is that the TGR can be specified as a function of some exogenous variables that reflect group-specific environmental differences, while the mathematical programming is not allowed to do so. Empirical results show that both TGR and metafrontier cost efficiency (MCE) are underestimated by programming techniques. The TGR and MCE exhibit a gradual upward trend during 1996-2000 and then followed by a downward trend, especially after the subprime crisis of 2007-2010. This suggests that a more integrated financial market is able to improve banking efficiency. Smaller banks tend to be more cost efficient than larger ones. Higher profitable banks and more conservative banks are related to greater efficiency.en_US
dc.description.tableofcontents 1. Introduction 1
2. An Overview of Recent Literature 6
2.1 The Metafrontier Model ……………………………………………………6
2.2 Western European Banking Performance …………………………………..7
3. Methodology 13
3.1 The Fourier Flexible Cost Function ………………………………………..13
3.2 Metafrontier FF Cost Function and Technology Gaps ……………………..14
3.3 Estimation Procedure ………………………………………………………17
4. Data Description 20
5. Empirical Results and Analysis 32
5.1 Parameter Estimates ………………………………………………………..32
5.2 Cost Efficiencies and Technology Gaps ……………………………………41
5.3 Global Views on the Trend …………………………………………………50
5.4 Relationships between Efficiencies and Bank Characteristics ……………..56
6. Conclusion 64
Appendix A 77
Appendix B 88
Appendix C 93
Appendix D 99		zh_TW
dc.format.extent 3428311 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/#G0953525021en_US
dc.subject (關鍵詞) 共同邊界zh_TW
dc.subject (關鍵詞) 成本效率zh_TW
dc.subject (關鍵詞) 技術缺口比率zh_TW
dc.subject (關鍵詞) 環境變數zh_TW
dc.subject (關鍵詞) Metafrontieren_US
dc.subject (關鍵詞) Cost efficiencyen_US
dc.subject (關鍵詞) Technology gap ratioen_US
dc.subject (關鍵詞) Environmental variablesen_US
dc.title (題名) 比較西歐銀行業之成本效率： 新共同邊界Fourier成本函數之應用zh_TW
dc.title (題名) Comparing cost efficiency in Western European banking industries: Using the new metafrontier Fourier flexible cost functionen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) Al-Jarrah, I. and P. Molyneus (2006), “Cost efficiency, scale elasticity and scale economies in Arab banking,” Banks and Bank Systems, 1(3), 60–89.
Allen, L. and A. Rai (1996), “Operational efficiency in banking: An international comparison,” Journal of Banking and Finance, 20(4), 655–672.
Altunbaş, Y., E.P.M. Gardener, P. Molyneux, and B. Moore (2001a), “Efficiency in European banking,” European Economic Review, 45(10), 1931–1955.
Altunbaş, Y., L. Evans, and P. Molyneux (2001b), “Bank ownership and efficiency” Journal of Money, Credit and Banking, 33(4), 926–954.
Altunbaş, Y., M.H. Liu, P. Molyneux, and R. Seth (2000), “Efficiency and risk in Japanese banking” Journal of Banking and Finance, 24(10), 1605–1628.
Andrieş, A.M. (2011), “The determinants of bank efficiency and productivity growth in the Central and Eastern European banking systems,” Eastern European Economics, 49(6), 38–59.
Apergis, N. and E. Alevizopoulou (2011), “Bank efficiency: Evidence from a panel of European banks,” Panoeconomicus, 58(3), 329–341.
Bain, J.S. (1951), “Relation of profit rate to industry concentration: American manufacturing, 1936-1940,” Quarterly Journal of Economics, 65(3), 293–324.
Barth, J.R., G.Jr. Caprio, and R. Levine (2004), “Bank regulation and supervision: What works best?” Journal of Financial Intermediation, 13(2), 205–248.
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