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研究生:劉杏薇
研究生(外文):Hsin-Wei Liu
論文名稱:商業銀行逾放款之研究─應用距離函數法
論文名稱(外文):Analysis of Commercial Banks’ Nonperforming Loans: An application of Distance Function
指導教授:李揚李揚引用關係
指導教授(外文):Yang Li
學位類別:碩士
校院名稱:國立暨南國際大學
系所名稱:經濟學系
學門:社會及行為科學學門
學類:經濟學類
論文種類:學術論文
論文出版年:2002
畢業學年度:90
語文別:中文
論文頁數:59
中文關鍵詞:非意欲產出逾放款投入距離函數影子價格技術效率
外文關鍵詞:undesirable outputsnon-performing loansinput distance functionshadow pricestechnical efficiencies
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  • 下載下載:383
  • 收藏至我的研究室書目清單書目收藏:1
英國經濟學人雜誌 ( 2000/11/11 )、美國紐約時報 ( 2000/12/5 )、美國商業周刊 ( 2000/12/11 ) 等媒體均報導台灣銀行業的逾期放款比率節節昇高,本土性金融危機即將發生,外國媒體雖然有可能是其引用偏差的數據或是誇大其辭的結果,但台灣整體金融體質不健全,經營效率日益下降,卻是不爭的事實。
放款為銀行主要的收入來源,但是每一筆放款皆有可能成為逾放款。逾放款為非意欲產出,導致銀行的資產品質及績效下降,本研究探討逾放款對銀行效率的影響。由於逾放款為非意欲產出,一般的隨機邊界法或資料包絡法無法應用,本研究採用投入距離函數法估計效率邊界,據以取得逾放款之影子價格,影子價格即為銀行解決逾放款問題最高願意付出的邊際成本。研究結果顯現:新銀行較舊銀行願意付出較高的成本解決逾放款問題,而公營銀行處理不良放款的意願較民營銀行為高;此外,新銀行在處理逾放款所願意付出的成本隨不同年度則愈益減少,而舊銀行則呈現相反的現象,隨年度愈增。值得一提的是就台灣本國銀行的技術效率表現而言,尚有34.57% 改善空間。
In Economist (11/11/200), New York Time (12/5/2000), Business Week (12/11/2000) and other news media, they have reported that the (share or ratio) of banks’ nonperforming loans in Taiwan has risen, and that it is likely that a financial crisis will happen in the island. The reports and observations of these foreign news media may be derived from some unorthodox data, and exaggerate the outcome. However, it is undeniable fact that the financial system in Taiwan is not perfectly sounded and that the banks often operate inefficiently.
This study tries to investigate how non-performing loans (NPL) affect Taiwanese commercial banks. We employ the input distance function approach to find the frontier of production possibility set and then apply the envelope theorem to calculate the shadow prices of NPL. The shadow price of NPL is the marginal cost of reducing NPL when banks are operating on the production frontier. Empirical results show that public banks have to spend more resources than private banks to cut NPL and both types of banks follow the similar trend through time. Compared to those established before deregulation, banks established after deregulation need almost 2.5 times more resources to reduce one unit of NPL. The marginal costs of reducing NPL for banks established before and after deregulation appear reverse trends during 1999-2001. Furthermore, Taiwanese commercial banks in average could increase their technical efficiencies by 34.57 percent provided that all banks operated on the production frontier.
第一章 緒論…………………………………………………… 1
第一節 研究背景與動機…………………………………… 1
第二節 研究目的…………………………………………… 4
第三節 研究對象及範圍…………………………………… 4
第四節 論文結構…………………………………………… 5
第二章 文獻回顧…………………………………………… 6
第一節 效率的衡量………………………………………… 6
第二節 效率生產邊界……………………………………… 9
第三節 距離函數…………………………………………… 17
第四節 銀行投入產出變數之研究………………………… 19
第五節 銀行業延革………………………………………… 20
第三章 研究方法論………………………………………… 30
第一節 投入面之距離函數法理論模型…………………… 30
第二節 實證資料來源與處理……………………………… 35
第四章 實證研究結果……………………………………… 39
第一節 逾放款的影子價格的討論………………………… 39
第二節 實證結論…………………………………………… 49
第五章 結論與建議………………………………………… 51
第一節 總結………………………………………………… 52
第二節 建議………………………………………………… 53
參考文獻………………………………………………………… 55
一. 中文部份
1.李榮謙 ( 1997 ),「貨幣銀行學」。
2.黃台心 ( 1999 ),「由利潤函數衡量我國銀行廠商之經濟效率─參數計量法的應用」,經濟論文叢刊,第27卷第2期,頁283-309。
3.徐萬爐 ( 2001 ),「台灣地區商業銀行效率之研究─應用資料包絡分析法」,暨南國際大學國際企業學系研究所碩士論文。
4.「亞洲金融風暴研究」,財政部金融局儲委會金融研究小組,中華民國八十七年六月。
5.「財政部金融局年報」,財政部金融局,中華民國九十年
二.英文部份
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