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研究生:李明宗
研究生(外文):Li, Ming-Chung
論文名稱:考量風險與品質因素之銀行業效率分析:隨機投入距離函數法之應用
論文名稱(外文):Bank Efficiency Analysis with Consideration of Risk and Quality Factors: A Stochastic Input Distance Function Approach
指導教授:黃美瑛黃美瑛引用關係
指導教授(外文):HAUNG, MEI-YING
學位類別:碩士
校院名稱:國立臺北大學
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:2006
畢業學年度:94
語文別:中文
論文頁數:59
中文關鍵詞: 隨機投入距離函數 技術效率 風險 逾放比率
外文關鍵詞:stochastic input distance functiontechnical efficiencyrisknon-performing loans
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從民國80年開始到現在,台灣金融產業的經營環境發生相當重大的變化,不論是政府加速金融改革、加入WTO到金融控股公司的成立,皆使得銀行所面臨的競爭壓力日益激烈,因此,銀行所採取的經營策略不論是擴大經營規模或者購併其他對手,皆伴隨著相當程度的風險,如果沒有做好風險的控管,影響的不只是銀行的生存,更嚴重威脅台灣的經濟發展。同樣地,銀行放款品質的好壞也會影響銀行的經營績效與獲利能力,因此,本文欲探討考量風險與放款品質變數對銀行效率的影響。
本文以民國85-93年為研究期間,以34家上市櫃銀行為研究對象,採用隨機投入距離函數法估計銀行效率,並納入風險與放款品質變數,且以統計檢定模型是否有考量風險與放款品質變數之必要性。本文同時探討模型估計結果與造成銀行無效率的主要因素,並分析銀行歷年來效率走勢及技術變動,並將考量風險與放款品質變數模型所估計出來的效率值做分群分析;最後,探討成立金控公司對銀行在效率與風險水準的表現上是否有顯著不同。
本文研究結果發現:
1. 實證結果顯示,系統風險與放款品質變數不但會對銀行資源配置造成影響,更是 造成無效率的主要因素,且透過概度比檢定,考量風險與放款品質變數模型要比未考量模型來的佳。
2. 考量風險與放款品質變數模型所估計出來的平均效率要比未考量模型來的高,且若以此模型所估計出來的各銀行效率值依系統風險作分群分析,發現並未出現絕對「低風險有較高的技術效率,高風險有較低的技術效率」關係:若以逾放比率分群來看,同樣也未出現絕對「有較低的逾放比率會有較高的技術效率,有較高的逾放比率會有較低的技術效率」。
3. 在本文研究期間內探討銀行技術變動的情況,呈現技術衰退的情況。
4. 分析成立金控對銀行的影響,所區分的金控子銀行與非金控子銀行兩個類別在歷年平均技術效率水準的表現上並無顯著不同,若以區分金控成立前後兩個時間點來看,同樣並無顯著不同;而兩者在歷年的系統風險水準表現上,從民國90年後開始呈現顯著差異且顯著性愈來愈高,同樣以金控成立前後兩個時間點來看,兩者在金控成立前與金控成立後,皆有顯著性差異。
Since 1991, the environment of Taiwan’s financial industry has been greatly changing. From the intention of the government to accelerate the financial reform and accession to the WTO to the establishment of the financial holding company (FHC), the banking has been facing increasingly high competitive pressure. Therefore, the operating strategies adopted by the banks, no matter expanding the scale of operation or merging with other competitors, are all followed with a certain degree of risk. If the risk management results failed, not only the existence of the banks will be affected, but the economic development of Taiwan will become sharply threaten as well. Similarly, the quality of the non-performing loans (NPL) will influence the management effects as well as the earnings-generating capacity of the banks. For this reason, the research is to study the influence that risk consideration and loan quality variables hold on the efficiency of the banks.
This research takes 34 quoted banks from 1996 to 2004 as subjects and applies stochastic input distance approach, along with risk and loan quality, to estimate the efficiency of the banks. Furthermore, it statistically tests by model whether risk consideration and loan quality variables have such necessity. The research also investigates the results of model estimation as well as the main factors leading banks to inefficiency, and analyses the banks’ efficiency tendency and technical changes over the years. Besides, the efficiency value estimated through the model of risk consideration and loan quality variables will be taken to clustering analysis. Finally, the research studies whether FHC causes influence on the banks’ performance of efficiency and risk levels.
The research outcomes are as the following:
1. As the results present, systematic risk and loan quality variables not only affect the resource allocation of the banks, but also cause their inefficiency. In addition, through likelihood ratio test, it shows that the model of risk consideration and loan quality variables become better.
2. The average efficiency estimated by the model of risk consideration and loan quality variables is higher than one without considering any factors, and if the efficiency evaluated by such model is taken to clustering analysis based upon systematic risk, it is found that no absolute relationship of “low risk leads to higher technical efficiency; high risk leads to lower technical efficiency” appears. Similarly, based upon NPL cluster, no absolute “lower NPL has higher technical efficiency; higher NPL has lower technical efficiency” exists.
3. It is found that the technology of the banks was declining while the situation in which the technology of the banks kept changing was studied during the research period.
4. According to the analyzed influence FHC possesses on the banks, the holding subsidiary banks and non-holding subsidiary banks have no difference in respect of the average technical efficiency over the years. No outstanding difference is found even from the viewpoint of the two time slots before and after the establishment of FHC. However, in respect of the systematic risk levels over the years, both started to have increasingly obvious difference from 2001. From the same viewpoint of time slots, both had remarkable difference before and after the establishment of FHC.
目錄
頁次
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的、方法及內容 2
第三節 研究架構 3
第二章 文獻回顧 5
第一節 隨機投入距離函數法之文獻 5
第二節 隨機邊界法、風險與放款品質變數之文獻 7
第三章 理論模型 11
第一節 銀行風險 11
一、銀行風險與生產決策之相關性 11
二、銀行系統風險之介紹與估算 12
第二節 效率的測度與隨機邊界法 13
一、確定性邊界法 14
二、隨機邊界法-橫斷面資料 15
三、隨機邊界法-縱橫資料 15
(一)時間變動模型 16
(二)技術無效率因子模型 16
第三節 隨機距離函數 17
第四章 樣本選擇與資料說明 21
第一節 樣本選擇 21
第二節 資料來源及說明 22
一、相關變數 22
(一)產出項 23
(二)投入項 23
(三)控制變數項 23
(四)特性變數項 24
第三節 敘述統計量 28
第五章 實證模型與結果分析 31
第一節 模型的設定與實證結果 31
一、模型設定 31
二、實證結果 34
第二節 概度比檢定-模型優劣性比較 36
第三節 模型實證結果比較、說明 37
一、距離函數模型估計部分 37
二、無效率因子模型部分 37
第四節 銀行技術效率分析 39
一、平均技術效率分析 39
二、分群技術效率分析 40
三、技術變動分析 42
第五節 金控與非金控子銀行 43
一、金控與非金控子銀行之技術效率 44
二、金控與非金控子銀行之系統風險 45
第六章 結論與未來研究方向 47
第一節 結論 47
一、模型優劣性比較 47
二、實證結果 47
三、銀行技術效率分析 48
四、金控與非金控子銀行 49
第二節 未來研究方向 50
參考文獻 51
附錄 55
一、逾放比率資料缺漏之處理 55
二、缺漏股價之處理 55
參考文獻
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