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研究生:陳穎智
研究生(外文):Ying-Chih Chen
論文名稱:本國銀行總要素生產力之衡量─狀態空間KalmanFilter模型
論文名稱(外文):Total Factor Productivity Growth in Taiwan Commercial Banking:State-space Kalman Filter Model
指導教授:菅瑞昌菅瑞昌引用關係
指導教授(外文):Andy Chien
學位類別:碩士
校院名稱:國立高雄第一科技大學
系所名稱:金融營運所
學門:商業及管理學門
學類:財務金融學類
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:75
中文關鍵詞:總要素生產力狀態空間銀行業
外文關鍵詞:TFPKalman Filterstate-space
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本國銀行總要素生產力之衡量─狀態空間Kalman Filter模型
摘要
國內有關總要素生產力的研究,大多直接使用指數法來估計總要素生產力成長率,而沒有考慮衡量誤差,造成無法真實反映總要素生產力的成長情形,導致接續下來的分析與現況失真的問題。
為避免此一問題,本研究以兩階段的衡量方式來求得總要素生產力,首先以本國銀行業1994年7月至2001年12月的投入、產出資料先求出總要素生產力(TFP),再利用狀態空間─Kalman Filter模型去除衡量上的誤差求出TTFP,再進一步運用普通最小平方法(OLS),探討TTFP與產出、要素投入價格間的關係和TTFP與規模、分行數間的關係,本論文得到下列主要結果:
1.TTFP為一緩慢的正向成長,衡量誤差跟隨TFP變動,雖然衡量誤差小到可以忽略,但是衡量誤差的變動程度幾乎和TFP一樣高,這麼高的變動程度指出TFP指數不能精確地表示任何時點的總要素生產力成長的情形。
2.產出與TTFP有正向關係,但要素價格與TTFP雖然呈現負相關但卻不顯著,探究其原因為這些投入要素具有準固定要素的特性,其價格具有僵固性。
3.規模與TTFP呈現正相關但不顯著;而分行家數與TTFP有正向關係。
Total Factor Productivity Growth in Taiwan Commercial Banking:State-space Kalman Filter Model

Student:Ying-Chih Chen Advisors:Dr. Andy Chien
Department of Financial Operation
National Kaohsiung First University of Science and Technology
ABSTRACT
Most of the domestic researches for total factor productivity(TFP) apply the index method to estimate TFP directly without considering the measurement error, hence they cannot realistically reflect the growth of TFP ,and result in the inaccuracy in the subsequent analysis.
In order to avoid such problems, this paper studies the growth in TFP in Taiwan commercial banking for July 1994─December 2001. Using a two-step estimation method, we computes the TFP growth estimates from the Tornqvist index and then filters the TFP indices into stochastic trend and cyclical components through a state-space modeling framework, as embodied in the kalman filter. We must go a step further to employ the OLS for studying relationships among the true TFP, output, and input price as well as among the true TFP, scale, and number of branches. The main findings of this study can be summarized as follows:
1. True TFP is a positive but slow growth, whose measurement error fluctuates with the TFP. Although the errors are so tiny that they are allowed to ignore but its volatility is as high as the volatility of the TFP index. Such high volatility indicates that the TFP index may not necessarily portray an accurate picture at any point in time.
2. Output has positively significant effect on true TFP. Input prices have negatively effect, although all are not significantly. We investigate the causes and find these input factors are equipped with the characters of quasi-fixed elements, and that the price is inflexible.
3. Scale has positively effect on true TFP but not significantly. Number of branches has positively significant effect up on true TFP.
目 錄
中文摘要…………………………………………………………………Ⅰ
英文摘要…………………………………………………………………Ⅱ
誌謝………………………………………………………………………Ⅲ
目錄………………………………………………………………………Ⅳ
表目錄……………………………………………………………………Ⅵ
圖目錄……………………………………………………………………Ⅶ
第壹章 緒論………………………………………………………………1
第一節 研究動機…………………………………………………………1
第二節 研究目的…………………………………………………………2
第三節 研究範圍…………………………………………………………3
第四節 研究限制…………………………………………………………5
第五節 論文結構…………………………………………………………6
第貳章 文獻回顧…………………………………………………………8
第一節 銀行產出的衡量與定義…………………………………………9
第二節 規模經濟及技術進步 …………………………………………17
第三節 總要素生產力相關文獻 ………………………………………22

第參章 研究方法 ………………………………………………………38
第一節模式設定 ………………………………………………………39
第二節研究架構 ………………………………………………………44
第三節 研究變數操作性定義與資料來源 ……………………………45
第肆章 實證分析 ………………………………………………………47
第一節 樣本資料描述 …………………………………………………48
第二節 狀態空間─Kalman Filter模型分析……………………………50
第三節 TTFP與產出、要素投入價格間的關係………………………57
第四節 TTFP與規模、分行數和技術進步的關係……………………60
第伍章 結論與建議 ……………………………………………………64
第一節 結論 ……………………………………………………………65
第二節 建議 ……………………………………………………………67
參考文獻 ………………………………………………………………69
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