臺灣博碩士論文加值系統

本文以差額變數基礎的超效率模型與 PSTR 模型估計前一期效率、營運風險 (核心資本適足率 (衡量經營的槓桿比率)、價格成本差 (衡量市場的獨佔力或競爭壓力)) 與需求管理政策對當期美國商業銀行績效之非線性效果。實證上以美國紐約區37家聯邦商業銀行在1996:3Q到2016:3Q期間的2997個觀察值進行估計。實證結果顯示，在景氣領先指標 (leading indicator, LI) 低於門檻值時，銀行提升獨佔力導致經營績效下降、槓桿比率 (核心資本適足率衡量之) 對經營績效的影響為負向的、隔夜拆款利率下降能提升銀行經營績效、債務融通所引導長期利率上升可提升銀行經營績效。當景氣領先指標高於門檻值時，提升獨佔力改善績效效果不顯著、弱化槓桿比率對經營績效的負向影響、減弱隔夜拆款利率下降及長期利率上升對績效的貢獻。

本研究政策建議：1. 政府應該創造並維持銀行競爭的經營環境，以提高銀行營運的效率。2. 隨景氣指標變動而採取動態調整的槓桿比率，並在維持核心資本適足率的同時，應解決景氣低迷時銀行籌措資金成本較高的困境。3.在景氣較差時，寬鬆貨幣政策 (或寬鬆財政政策) 所帶動短期利率下降 (或長期利率上升)，有助於提升銀行經營績效。

This paper employs the two-stage approach to evaluate the banks’ performance persistence, operational risk (core capital ratio, price cost margin) and the demand management policies (monetary policy, fiscal policy) to investigate the nonlinear uncertainty effect.

In the first stage, the banks’ performance was evaluated by slack-based super efficiency model, which describes the operating characteristics of banks’ multiple input-outputs. The nonlinear effect was estimated by panel smooth transition regression model with the transition variable of the U.S. leading indicator.

The empirical result shows four useful results when leading indicator (LI) is below the threshold (0.9593): Firstly, the banks will face the operating recession if they are trying to increase their monopoly power in the market. The recovery is ineffective, even though the LI is higher than the threshold. Secondly, maintaining the core capital ratio results in decline of operating performance, but the negative impact is gradually improved while the economy is picking up. Thirdly, decreasing the fund rate may help improve the banks'' performance. However, the contribution is diminished, inch by inch, as the LI exceed the threshold. Finally, the national debt leads to increasing the long-term interest rate, which may help improve banks’ efficiency; however, the contribution is ineffective when economic is warming up.

The policy suggestions, in our research, are including: 1.Maintaining the competitive financial environment may help the banks to improve their operating efficiency. 2. Formulating the flexible leverage ratio, in the different business cycle stage, could reduce the negative effect on banks. 3. Ideating a solution to the banks’ dilemma such as the higher cost of outside financing while maintaining the leverage ratio during the depression. 4. When the economy is in rescission, the quantitative easing monetary (fiscal) policy lead to decreasing (increasing) the short (long) term interest, which may help improve the banks’ efficiency.

摘要 I
Abstract II
致謝 IV
目錄 VI
表目錄 VII
圖目錄 VIII
第壹章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 3
第三節 研究架構與流程 4
第貳章 文獻探討 7
第一節 銀行績效衡量概述 7
第二節 縱橫平滑轉換迴歸模型之相關文獻 12
第三節 需求管理政策與金融業經營之文獻 14
第參章 實證模型 16
第一節 差額變數基礎的超效率模型 16
第二節 縱橫平滑轉換迴歸模型 21
第肆章 研究方法 26
第一節 縱橫單根檢定 26
第二節 線性檢定與無剩非線性檢定 30
第伍章 實證結果與分析 33
第一節 資料來源 33
第二節 敘述統計、相關係數與共整合檢定 35
第三節 經營效率分析 39
第四節 相關檢定結果 40
第五節 PSTR 估計結果分析 44
第陸章 結論與建議 49
第一節 結論 49
第二節 研究貢獻與政策建議 51
參考文獻 52
附表 57

表5- 1變數說明 34
表5- 2敘述統計結果 36
表5- 3投入與產出變數的相關係數 38
表5- 4 Pedroni殘差共整合檢定 38
表5- 5縱橫單根檢定結果 40
表5- 6線性檢定結果 42
表5- 7無剩餘非線性檢定結果 43
表5- 8 PSTR-MP模型的估計結果 47
表5- 9 PSTR-FP模型的估計結果 48
附表 1樣本銀行 57
附表 2 Super-SBM的績效評估結果 – 各期橫斷面統計 58
附表 3 Super-SBM的績效評估結果 – 依決策單位效率值排序 61

圖1- 1研究流程架構 6
圖3- 2要素投入導向的差額變數基礎的效率模型 16
圖3- 3邏輯型轉換函數 (M=1) 23
圖3- 4指數型轉換函數 (M=2) 24

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