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題名 應用共同邊界隨機方向距離函數探討中東歐國家銀行業生產效率
A study of banking efficiency of Central-East European countries under the framework of the metafrontier directional distance function作者 蔡釗旻
Tsai, Chao Min貢獻者 黃台心
Huang, Tai-Hsin
蔡釗旻
Tsai, Chao Min關鍵詞 共同邊界
隨機邊界方向距離函數
技術效率
metafrontier
stochastic directional distance frontier
technical efficiency日期 2010 上傳時間 4-Sep-2013 10:05:52 (UTC+8) 摘要 本文欲利用方向距離函數 (DDF) 來驗證中東歐國家銀行業之效率。不同的國家之銀行業者會由於不同的文化、資源稟賦和環境而採取不同的經營模式。因此，本文藉由共同邊界方向距離函數，其允許我們在跨國間不同的技術下，得以估計出銀行的技術效率並加以比較。使用方向距離函數，得以讓我們的模型中納入非意欲產出，此外，其亦允許銀行廠商同時增加產出與縮減投入和非意欲產出，相較於傳統模型，方向距離函數屬於較有彈性之模型。重要的是，不良貸款被視為是貸款過程中之副產品，其可能會降低銀行的利潤和績效。因此，為了減少不良貸款之產生，銀行管理者必須花費額外的成本，以確保借貸者是否有良好的信用，此舉亦可能影響銀行的績效。 本文試圖發展新的共同邊界隨機方向距離函數，其不同於Battese et al. (2004) 所提出的方法，該方法是屬於線性規畫法。此數理規畫法是屬於確定邊界，其無法針對有興趣之參數估計出該標準誤，因此，無法做有效地統計推論。因為本文提出的新共同邊界方向距離函數是隨機的，所以參數之標準誤可以被估計，其亦允許我們建造信賴區間和假設檢定。此外，共同邊界方向距離函數之無效率項可以被進一步設定成環境變數之函數，即Battese and Coelli (1995)所提出之模型。
This study plans to employ directional technology distance function (DDF) to examine bank efficiency of Central-East European countries. Banks from different countries choose to operate under distinct technologies due to their differences in culture, endowments, and environments. A metafrontier directional distance function will be established, which allows for calculating comparable technical efficiencies for banks under different technologies relative to the potential technology available to the industry across nations. The salient feature of the DDF is its ability to include undesirable outputs into the model. In addition, it allows for a bank to simultaneously expand outputs and contract inputs, as well as undesirable outputs. It is important to note that the non-performing loans (NPL) can be regarded as a by-product of various loans granted, which lowers a bank’s profitability and performance. To reduce the occurrence of NPL bank managers have to spend extra costs to confirm whether the potential applicants for loans have good credit before granting loans to them. This may also affect the bank’s performance. This study attempts to develop a new metafrontier DDF in the context of the stochastic frontier approach, which differs from the one proposed by Battese et al. (2004) who suggest the use of a linear and/or a quadratic programming technique. The mathematical programming technique is known as deterministic, which is unable to estimate the standard errors for the parameters of interest. Hence, no statistical inference can be made. As our new metafrontier DDF is stochastic, the standard errors of the parameters are estimable, which permits establishing confidence intervals and hypotheses testing for the parameters. Moreover, the inefficiency term of the metafrontier DDF can be further specified as a function of several environmental variables of the form proposed by Battese and Coelli (1995).參考文獻 中文文獻〔1〕 李文福與范雅鈞 (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, 593-628.〔2〕 黃台心、張寶光與邱郁芳 (2009), 「應用共同成本函數探討東亞六國銀行業之生產效率」, 經濟論文, 37:1, 61-100.〔3〕 黃台心、姜麗智、陳冠臻與邱柏豪 (2010), 「應用共同邊界成本函數探討西歐十六國銀行業技術效率和技術缺口比率」, 管理評論第29卷第3期.〔4〕 李明修、何思因 (2004), 「後社會主義國家金融自由化之政治經濟分析，以波蘭、愛沙尼亞及烏克蘭為例」, 國立政治大學政治研究所, 碩士論文.英文文獻〔5〕 Allen, L. and A. Rai (1996). Operational efficiency in banking: an international comparison, Journal of Banking and Finance 20, 655-672.〔6〕 Ariss, R. T. (2010). On the implications of market power in banking: Evidence from developing countries. Journal of Banking & Finance 34, 765–77.〔7〕 Battese, G.E., and Coelli, T. J. (1995). A model for technical inefficiency effects in a stochastic frontier production function for panel data. Empirical Economics 20, 325-332.〔8〕 Battese, G. E. and Rao, D. S. P. 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Transportation Research Part D 12, 1–9.〔36〕 Mester, L.J. (1993). Efficiency in the savings and loan industry, Journal of Banking and Finance 17, 267-286.〔37〕 O’Donnell, C. J., Rao, D. S. P., and Battese, G. E. (2008). Metafrontier frameworks for the study of firm-level efficiencies and technology ratios. Empirical Economics 34, 231–255.〔38〕 Park, K. H., Weber, W. L. (2006). A note on efficiency and productivity growth in the Korean Banking Industry, 1992-2002. Journal of Banking & Finance 30, 2371–2386.〔39〕 Picazo-Tadeo, A. J., Reig-Martínez, E., and Hernández-Sancho, F. (2005). Directional distance functions and environmental regulation. Resource and Energy Economics 27, 131–142.〔40〕 Sathye, M. (2003). Efficiency of banks in a developing economy: The case of India. European Journal of Operational Research 148, 662–671.〔41〕 Santosh Kumar Das. (2010). Financial liberalization and banking sector efficiency: The Indian experience. 12th Money and Finance Conference, 11 – 12th March 2010 IGIDR, Mumbai.〔42〕 Staikouras, C., Mamatzakis, E., and Koutsomanoli-Filippaki, A. (2008). Cost efficiency of the banking industry in the South Eastern European region. Int. Fin. Markets, Inst. and Money 18, 483–497.〔43〕 Staub, R. B., Geraldo da Silva e Souza, and Tabak, B. M. (2010). Evolution of bank efficiency in Brazil: A DEA approach. European Journal of Operational Research 202, 204–213.〔44〕 Turk-Ariss, R. (2010). On the implications of market power in banking: Evidence from developing countries. Journal of Banking and Finance 34, 765–775.〔45〕 Watanabe, M., Tanaka, K. (2004). Efficiency analysis of Chinese industry: A directional distance function approach. Energy Policy 35, 6323–6331.〔46〕 Yu, M.M. (2004). Measuring physical efficiency of domestic airports in Taiwan with undesirable outputs and environmental factors. Journal of Air Transport Management 10, 295–303.研究報告〔47〕 行政院研究發展考核委員會 (中華民國八十八年五月)，「各國對於金融危機處理策略及我國因應之道」。〔48〕 金雁和秦暉 (2001)，「從捷克奇蹟到捷克陷阱」，國際經濟評論。〔49〕 薛瀾、張強、鐘開斌 (2003)，「危機管理」，北京清華大學出版社。〔50〕 聯合國貿易網絡北京中心 (2007)，「拉脫維亞行業市場分析」。〔51〕 經濟部投資業務處 (中華民國98年11月)，「捷克投資環境簡介」。〔52〕 經濟部投資業務處 (中華民國99年11月)，「羅馬尼亞投資環境簡介」。〔53〕 經濟部投資業務處 (中華民國98年10月)，「俄羅斯投資環境簡介」。〔54〕 曾炳榮 (2004)，「波蘭國家專題報告」。〔55〕 曾炳榮、吳世娟、汪家瑜 (2006)，「烏克蘭 (UKRAINE)深度報導」。 描述 碩士
國立政治大學
金融研究所
98352003
99資料來源 http://thesis.lib.nccu.edu.tw/record/#G0098352003 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) 蔡釗旻 zh_TW dc.contributor.author (Authors) Tsai, Chao Min en_US dc.creator (作者) 蔡釗旻 zh_TW dc.creator (作者) Tsai, Chao Min en_US dc.date (日期) 2010 en_US dc.date.accessioned 4-Sep-2013 10:05:52 (UTC+8) - dc.date.available 4-Sep-2013 10:05:52 (UTC+8) - dc.date.issued (上傳時間) 4-Sep-2013 10:05:52 (UTC+8) - dc.identifier (Other Identifiers) G0098352003 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/59960 - 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) 98352003 zh_TW dc.description (描述) 99 zh_TW dc.description.abstract (摘要) 本文欲利用方向距離函數 (DDF) 來驗證中東歐國家銀行業之效率。不同的國家之銀行業者會由於不同的文化、資源稟賦和環境而採取不同的經營模式。因此，本文藉由共同邊界方向距離函數，其允許我們在跨國間不同的技術下，得以估計出銀行的技術效率並加以比較。使用方向距離函數，得以讓我們的模型中納入非意欲產出，此外，其亦允許銀行廠商同時增加產出與縮減投入和非意欲產出，相較於傳統模型，方向距離函數屬於較有彈性之模型。重要的是，不良貸款被視為是貸款過程中之副產品，其可能會降低銀行的利潤和績效。因此，為了減少不良貸款之產生，銀行管理者必須花費額外的成本，以確保借貸者是否有良好的信用，此舉亦可能影響銀行的績效。 本文試圖發展新的共同邊界隨機方向距離函數，其不同於Battese et al. (2004) 所提出的方法，該方法是屬於線性規畫法。此數理規畫法是屬於確定邊界，其無法針對有興趣之參數估計出該標準誤，因此，無法做有效地統計推論。因為本文提出的新共同邊界方向距離函數是隨機的，所以參數之標準誤可以被估計，其亦允許我們建造信賴區間和假設檢定。此外，共同邊界方向距離函數之無效率項可以被進一步設定成環境變數之函數，即Battese and Coelli (1995)所提出之模型。 zh_TW dc.description.abstract (摘要) This study plans to employ directional technology distance function (DDF) to examine bank efficiency of Central-East European countries. Banks from different countries choose to operate under distinct technologies due to their differences in culture, endowments, and environments. A metafrontier directional distance function will be established, which allows for calculating comparable technical efficiencies for banks under different technologies relative to the potential technology available to the industry across nations. The salient feature of the DDF is its ability to include undesirable outputs into the model. In addition, it allows for a bank to simultaneously expand outputs and contract inputs, as well as undesirable outputs. It is important to note that the non-performing loans (NPL) can be regarded as a by-product of various loans granted, which lowers a bank’s profitability and performance. To reduce the occurrence of NPL bank managers have to spend extra costs to confirm whether the potential applicants for loans have good credit before granting loans to them. This may also affect the bank’s performance. This study attempts to develop a new metafrontier DDF in the context of the stochastic frontier approach, which differs from the one proposed by Battese et al. (2004) who suggest the use of a linear and/or a quadratic programming technique. The mathematical programming technique is known as deterministic, which is unable to estimate the standard errors for the parameters of interest. Hence, no statistical inference can be made. As our new metafrontier DDF is stochastic, the standard errors of the parameters are estimable, which permits establishing confidence intervals and hypotheses testing for the parameters. Moreover, the inefficiency term of the metafrontier DDF can be further specified as a function of several environmental variables of the form proposed by Battese and Coelli (1995). en_US dc.description.tableofcontents 第一章 前言………………………………………………….................…………..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 第一節 非銀行業績效－方向距離函數之應用………………………………4 第二節 銀行業績效－方向距離函數之應用…………………………………5 第三節 銀行業績效－其他方法之應用………………………………………7 第四節 應用meta-frontier之實證研究………………………………………11第三章 研究方法………………………………………………..................………12 第一節 方向距離函數 (directional technology distance function)…………..12 第二節 共同邊界函數 (meta-frontier function)………………………….......14 第三節 技術缺口差異 (technology gap difference, TGD)..............................15 第四節 修正的共同邊界函數 (revised meta-frontier function)......................15第四章 資料與變數定義..........................................................................................17 第一節 資料與變數...........................................................................................17 第二節 環境變數之選取...................................................................................18 第三節 敘述統計...............................................................................................20第五章 實證分析......................................................................................................30 第一節 迴歸係數估計結果...............................................................................30 第二節 群組隨機邊界效率...............................................................................41 第三節 共同隨機邊界效率...............................................................................56第四節 忽略非意欲產出下群組隨機邊界效率...............................................62第六章 結論..............................................................................................................64參考文獻......................................................................................................................66附錄..............................................................................................................................72表目錄表1：變數定義.............................................................................................................20表2：中東歐各國之樣本統計以及所有權結構、上市情形之分配...........................21表3：各年所有權結構與上市情形之分配.................................................................22表4：所有國家各變數之敘述統計量.........................................................................22表5：以所有權結構為基準之敘述統計.....................................................................23表6：以是否上市情形為基準之敘述統計.................................................................24表7-1至7-5：各國變數與環境變數之敘述統計........................................................25表8-1至8-3：群組邊界參數估計結果........................................................................32表9：方向距離函數的係數估計值之驗證結果.........................................................40表10：群組邊界無效率值估計結果 (mean) .............................................................42表11：共同邊界參數估計結果...................................................................................56表12： TGD與無效率值 (mean)...............................................................................58表13：平均無效率值與TGD之排名..........................................................................60表14：比較有無非意欲產出下，無效率值與達到邊界之廠商個數、LR檢定..........63表A-1：所有資料直接合併之參數估計結果 (應變數為x1) .....................................72表A-2：群組邊界無效率值估計結果 (median) ........................................................74表A-3： TGD與無效率值 (median) .........................................................................75表A-4：中位數之無效率值與TGD之排名................................................................76圖目錄圖1-1：MK、EE、BG、BA無效率歷年趨勢圖 (mean)................................................43圖1-2：BG、LV、SK、HR無效率歷年趨勢圖 (mean).................................................44圖1-3：UA、HU、MD、RS無效率歷年趨勢圖 (mean)...............................................44圖1-4：CZ、RU、SI、PL、RO無效率歷年趨勢圖 (mean)............................................44圖2：波士尼亞和赫塞哥維納 (BA) 之歷年平均不良貸款.....................................45圖3：捷克 (CZ) 之歷年平均不良貸款......................................................................46圖4：克羅地亞 (HR) 之歷年平均不良貸款.............................................................48圖5：拉脫維亞 (LV) 之歷年平均不良貸款..............................................................50圖6：波蘭 (PL) 之歷年平均不良貸款......................................................................51圖7：羅馬尼亞 (RO) 之歷年平均不良貸款.............................................................53圖8：俄羅斯聯邦 (RU) 之歷年平均不良貸款.........................................................54圖9：烏克蘭 (UA) 之歷年平均不良貸款.................................................................55圖10：各年平均TGD走勢圖......................................................................................59圖11-1：包含RS該國下，平均群組無效率與TGD之散佈圖...................................62圖11-2：無RS該國下，平均群組無效率與TGD之散佈圖.......................................62圖A-1：MK、EE、BA、BG無效率歷年趨勢圖 (median).............................................77圖A-2：LV、LT、CZ、HR無效率歷年趨勢圖 (median) ..............................................77圖A-3：SK、HU、UA、RU無效率歷年趨勢圖 (median) ............................................77圖A-4：RS、RO、SI、MD、PL無效率歷年趨勢圖 (median)........................................78圖A-5：各年中位數TGD之走勢圖.............................................................................78圖A-6：包含RS該國下，中位數群組無效率與TGD之散佈圖.................................78圖A-7：無RS該國下，中位數群組無效率與TGD之散佈圖.....................................79 zh_TW dc.format.extent 144077 bytes - dc.format.extent 298613 bytes - dc.format.extent 1932189 bytes - dc.format.mimetype application/pdf - dc.format.mimetype application/pdf - dc.format.mimetype application/pdf - dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0098352003 en_US dc.subject (關鍵詞) 共同邊界 zh_TW dc.subject (關鍵詞) 隨機邊界方向距離函數 zh_TW dc.subject (關鍵詞) 技術效率 zh_TW dc.subject (關鍵詞) metafrontier en_US dc.subject (關鍵詞) stochastic directional distance frontier en_US dc.subject (關鍵詞) technical efficiency en_US dc.title (題名) 應用共同邊界隨機方向距離函數探討中東歐國家銀行業生產效率 zh_TW dc.title (題名) A study of banking efficiency of Central-East European countries under the framework of the metafrontier directional distance function en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) 中文文獻〔1〕 李文福與范雅鈞 (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, 593-628.〔2〕 黃台心、張寶光與邱郁芳 (2009), 「應用共同成本函數探討東亞六國銀行業之生產效率」, 經濟論文, 37:1, 61-100.〔3〕 黃台心、姜麗智、陳冠臻與邱柏豪 (2010), 「應用共同邊界成本函數探討西歐十六國銀行業技術效率和技術缺口比率」, 管理評論第29卷第3期.〔4〕 李明修、何思因 (2004), 「後社會主義國家金融自由化之政治經濟分析，以波蘭、愛沙尼亞及烏克蘭為例」, 國立政治大學政治研究所, 碩士論文.英文文獻〔5〕 Allen, L. and A. 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