臺灣博碩士論文加值系統

本文以傳統效率評估之資料包絡分析法(Data Envelopment Analysis)為濫觴，透過放款、投資之產出變數及利息支出、用人費用與其他營業支出之投入變數，經由產出導向BCC模型先行求得技術效率值以探討目前台灣地區本國銀行業之經營效率。其次則師法於Luc Laeven (1999) 引入風險承受之概念，就台灣地區48家本國銀行經營技術效率為轉換以串連風險，俾以真實反映各樣本銀行效率改變背後隱含之風險承受度變化。

另亦參酌舊有文獻，針對影響銀行經營風險之變數與營運風險承受度進行迴歸分析。企圖藉此尋求有力證據以支持前後二者間之相互關連性；而為驗證銀行經營屬性及時空環境變遷與風險承受度之差異，亦同時嘗試將樣本銀行依過去文獻劃分為不同群組。吾人分就經營型態、營運時間長短與成立期初競爭度比較之。

實證結論第一階段中，倘以三年技術效率之平均值計算後可求得經營效率表現最佳與最差之前四位。表現最佳者有：交通銀行(1)、台灣銀行(1)、台北銀行(1)與世華聯合商業銀行(0.997)；平均績效最差依次為：高雄區中小企業銀行(0.615)、中興商業銀行(0.673)、慶豐商業銀行(0.681)及臺東區中小企業銀行(0.693)。

而依經營型態、營運時間長短及成立期初市場競爭度各類組分別較之，各經營型態銀行技術值之變化，除公營舊銀行呈向上趨勢外，餘皆呈遞減之勢；新舊銀行方面，舊銀行趨勢持平，新銀行則呈遞減之勢；早中晚期成立銀行則除早期成立銀行持平外，中晚期成立銀行皆呈遞減之勢。

此外，經由效率轉換為風險承受值亦可求得風險承受最低與最高之前四位；研究期間承受最低風險者依次為：中興商業銀行(-30.79\%)、中華商業銀行(-16.59\%)、泛亞商業銀行(-14.15\%)及中國信託商業銀行(-11.34\%)；承受最高風險者依次為：陽信商業銀行(25.84\%)、高雄銀行(23.14\%)、新竹區中小企業銀行(22.38\%)與中國國際商業銀行(21.13\%)。綜上所述，顯見研究期間效率表現與風險承受未具必然之關連。

第二階段針對影響銀行經營風險之變數與風險承受度為迴歸分析，各自變數與風險承受之關係分述如後：首先，銀行資產市佔規模變動率與其呈顯著正相關，表研究期間個別銀行可能因致力於擴張市場版圖因而承受較大風險。其次，自有資本比例變動率亦與之呈顯著正相關，此即表隨研究期間銀行自有資本比例之逐年提高，銀行本身之經營成敗有愈來愈多部分僅由股東承擔，如此於無形中便提高其經營風險。第三，備抵呆帳放款比成長率則與應變數呈顯著負相關，此隱含備抵呆帳之逐年成長反映財務報表就授信品質真實面之修正。最後，催收放款比變動率可能與之呈負相關，此表催收款比例變動率提高之銀行可能承受較低風險。拜銀行管理階層之逐漸真實反應銀行潛在危機所賜，乃得降低本身之不確定性。

新舊銀行分組中，新銀行之風險承受顯著小於舊銀行。表示經營時間較長之舊銀行不僅未佔得先天優勢，反較新銀行承受較大之風險；由創業之初面臨相異競爭環境之分組結果觀之，中期成立之銀行風險承受低於早期成立之銀行，可能原因為其背後多有財團支撐。而晚期成立之銀行風險承受雖有較早期成立為低之跡象，惟其並不顯著。推論肇因於其體質較佳且具久經耕耘之在地優勢。上述結果表愈晚成立之銀行雖面臨愈強大之競爭壓力，然並未因此承受較大風險；最後於銀行經營型態分類之實證結果中，未獲顯著證據足驗證相異型態銀行經營之風險承受確有不同。此或間接證實隨公營銀行逐漸民營化，績效分類以經營所有權劃分已不合時宜。

We started our study with Data Envelopment Analysis (DEA) to measure the 48 local banks efficiency in Taiwan. Also we used loan and investment for output variables and interest expenditures, wage cost, and other operating cost for input variables in Banker Charnes Cooper (BCC) model in order to measure the Technique Efficiency (TE) of the 48 Data Measuring Units (DMU).

Second, we translated TE into risk-taking with the formula introduced by Luc Laeven (1999) to reflect the changing of risk-taking while efficiency was no more the same. Besides, we tried to find variables explaining the risk-taking from the old-day literature with Ordinary Least Square (OLS) regression. This research also included analyzing the difference between business type and the changing in management environment with banks risk-taking in several groups.

In conclusion, we could get TE measures by using output orientation in BCC model. After averaging the TE measures among these three years, we could find the four DMUs who had the best or the worst performance. The best four were as follow：Chiao Tung Bank(1), Bank of Taiwan(1), Taipeibank(1) and United World Chinese Commercial Bank(0.997). The worst four were as follow：Kaohsiung Business Bank(0.615), Chung Shing Bank(0.673), Chinfon Commercial Bank (0.681) and Taitung Business Bank(0.693).

After averaging the risk-taking measures translated by TE measures, we could also find the four DMUs who had the highest and lowest performance. The lowest four were as follow：Chung Shing Bank(-30.79\%), The Chinese Bank(-16.59\%), Pan Asia Bank (-14.15\%) and Chinatrust Commercial Bank(-11.34\%). The highest International Bank (22.68\%) and The International Commercial Bank of China(21.13\%). To summarize all the results above, obviously the efficiency performance and the risk-taking of the DMUs did not have absolute relationship during these three years.

In section 2, the relationship between all explicatory variables and the risk-taking was stated as follow：First, the growth of bank asset market share had banner positive correlation with the risk-taking. It meant individual bank might take higher chance in risk-taking while attending to expand the market share.

Second, the growth of the owners’ equities banks owned also had banner positive correlation with the risk-taking. It meant the more owners’ equities bank held, the more risk taking only by stockholders. Third, the growth in the ratio of loan loss provisioning to loans had distinguished negative correlation with the risk-taking. It revealed the promotion of the ratio of loan loss provisioning to loans year by year reflected the modifying of the financial report to be even close the reality.

At last, the growth in the ratio of non-performing loans to loans might have negative correlation with the risk-taking. It meant banks might take lower risk while the ratio of non-performing loans to loans was growing. Because of the management level of banks truly replied the potential crisis little by little lowed the uncertainty of banks.

In the classification depending on banks established period, the risk taking of the new bank group egregiously less than the old bank group. It revealed that neither the senior banks tool advantage in management beyond the junior banks, nor took less risk than early formative banks might have support by conglomerate enterprises. And the latest inaugural banks might take less risk than early formative banks. This might be caused by the better constitution and the long-term local advantage with the latest constituted banks.

The results above replied although the later formatted banks face more competitive surround, they did not take higher risk. At last, we did not have distinguished evidence to prove banks did take different risk in management with disparate business type. It might indirectly identify as the public banks privatized, it was lame to classify banks with business type.

第一章 緒論

第一節 研究背景與動機…………………………………………………1

第二節 研究目的…………………………………………………………4

第三節 研究流程…………………………………………………………5

第四節 研究架構…………………………………………………………7

第五節 研究限制…………………………………………………………9

本章附註………………………………………………………………… 10

第貳章 文獻回顧

第一節 效率之意涵…………………………………………………… 13

第二節 效率評估之法………………………………………………… 15

第三節 銀行投入轉換產出之法……………………………………… 18

第四節 銀行經營與風險承受之管理………………………………… 21

第五節 國內外相關文獻回顧………………………………………… 29

第六節 DEA運用於其他領域之文獻……………………………………58

第參章 實證方法

第一節 研究樣本之選取……………………………………………… 60

第二節 投入產出變數之選取………………………………………… 64

第三節 DEA實證模型之簡介……………………………………………66

第四節 DEA模式之特性…………………………………………………72

第五節 銀行經營風險觀測值之設定………………………………… 74

第六節 影響銀行經營風險之主要因素分析………………………… 76

第七節 資料來源說明………………………………………………… 79

本章附註………………………………………………………………… 81

第肆章 實證結果

第一節 個別銀行經營績效面分析…………………………………… 83

第二節 各分類銀行經營績效分析…………………………………… 86

第三節 風險承受值之因素分析……………………………………… 91

第四節 風險承受之迴歸分析………………………………………… 95

本章附註…………………………………………………………………103

第伍章 結論與建議

第一節 研究結論…………………………………………………… 106

第二節 研究建議…………………………………………………… 109

第三節 研究貢獻…………………………………………………… 111

參考文獻……………………………………………………………… 112

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15.葉南輝(2002)，「金融自由化與銀行危機、匯率危機：台灣總體經濟實證研究」，台灣大學商學研究所碩士論文。

16.郭恆慶(2002)，「金融市場」，台北縣：前程企管，頁413-429。

貳、英文部分：

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