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研究生:嚴珮瑜
研究生(外文):Pei-Yu Yen
論文名稱:台灣本土銀行經營效率比較分析:DEA、Malmquist生產力指數及SFA方法之應用
論文名稱(外文):Comparative Analysis on Operational Efficiency of Domestic Banks in Taiwan: Approaches of DEA, Malmquist Productivity Index and SFA.
指導教授:許志義許志義引用關係
學位類別:碩士
校院名稱:國立中興大學
系所名稱:應用經濟學系所
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:2008
畢業學年度:96
語文別:中文
論文頁數:63
中文關鍵詞:銀行經營效率資料包絡分析Malmquist生產力指數隨機前緣分析
外文關鍵詞:Banksoperational efficiencydata envelopment analysisMalmquist productivity indexstochastic frontier analysis
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本文旨在探討2000至2006年間,22家台灣本土銀行之相對經營效率。特將有無加入金融控股公司、有無合併金融機構,以及其股權狀況這些外在環境因素納入考量。具體言之,本文採用資料包絡分析法(DEA)比較22家銀行各年度之相對效率,並以Malmquist生產力指數觀察各銀行跨年度生產效率之變動。為探討「有無加入金融控股公司」與「是否曾合併金融機構」對經營效率之影響,本文採用隨機前緣分析法(SFA),分析上述兩種環境變數對各銀行投入變項的影響。
實證結果發現:私營銀行的DEA效率優於民營化銀行,但不及公營銀行。惟因本文探討之公營銀行僅有合作金庫一家,故無法將此結果普遍推及其他公營行庫。DEA效率值以銀行是否為金控公司分類觀察,發現非金控銀行比金控子銀行的效率要佳。從Malmquist生產力指數研究,則可發現研究期間內銀行的技術變動、規模效率及總要素生產力均有成長,但總技術效率與純技術效率則在退步。金控子銀行的Malmquist生產力指數除純技術效率外,皆在成長;非金控銀行反而僅有技術進步,其餘效率都在逐漸衰退。結合DEA與Malmquist生產力指數可得知,金控子銀行之相對率雖然較非金控銀行要差,但反而有更大的進步空間,且確實有持續進步。
由SFA分析外在環境變數,可發現:金控子銀行生產時投入變項的過度使用會變嚴重;合併銀行與信用合作社可以減少投入變項的過度使用,其餘則否;隨時間之流逝,各銀行的技術進步會改善投入變項浪費的情況。
比較摒除加入金控與合併金融機構干擾前後的銀行績效,本文發現:有無調整投入變項所得到的規模效率排序有顯著差異,意謂這兩類環境變數確會影響銀行經營規模效率的呈現。沒有環境變數干擾下的技術規模效率與總要素生產力總平均由進轉退;純技術效率由未調整的衰退轉成調整後的成長,隱示成立金融控股公司與合併金融機構,對提升銀行生產力確有幫助,而純技術效率沒有顯現成長,可能是政策須檢討之處。
The main purpose of this thesis is to explore relative operational efficiency of 22 domestic banks in Taiwan. In order to achieve this objective, input-oriented data envelopment analysis(DEA) and Malmquist productivity index are employed to evaluate the relevant efficiency of decision making units (DMUs) and efficiency variation over time period from 2000-2006. In the meantime, exogenous environmental factors such as external environment change by the government policy for establishing financial holding companies and financial institution merger and acquisition (M&A), are also considered in terms of their impact on operational efficiency of those banks. Stochastic frontier analysis (SFA) approach is utilized to distinguish the inefficiency caused by white noise, bad management skill and above -mentioned external environmental factors. In addition, Mann-Whitney U test is adapted to examine whether the exogenous environmental factors affect the ranking order of DEA of those 22 banks. The empirical evidence indicates that the characteristic of the ownership style could affect relative efficiency of these banks. Specifically, state-owned bank (there is only one state-owned bank among these 22 banks, i.e. Taiwan operative bank) operates better than other banks of different ownership styles. Privately owned banks operate better than those newly privatized banks, which were originally state-owned.
As to Malmquist productivity index, it shows in general that technology, scale efficiency and total factor productivity are increasing, while total efficiency and pure technical efficiency are decreasing. The DEA efficiency of financial holding banks is worse than that of non-financial holding ones. However, the efficiency change of financial holding banks shows that they are catching up with non-financial holding banks.
For SFA separating the sources of inefficiency into three parts: external environment factors, white noise and bad management skill, we find that those companies joining financial holdings could increase input slacks of total assets, operating expenses, interest expenses and number of employees of all banks. Contrarily, consolidating banks and credit cooperatives could decrease the input slacks. Merging those farmers and fishermen credit cooperatives and other financial institution increase the input slacks.
In terms of the impact of external environmental factors, it shows that the impact is significantly different for the ranking order of scale efficiency of those 22 banks. Without considering external environmental factors, the DEA efficiency values of those 22 banks are all less than their original efficiency. This implies that establishing financial holding companies and M&A of financial institutions could improve the efficiency of domestic banks in Taiwan.
第一章 緒論 1
第一節 研究背景與研究目的 1
第二節 研究內容與研究方法 2
第三節 本文結構 3
第二章 文獻回顧 5
第一節 企業合併的誘因 5
第二節 金融自由化與金融控股公司 6
第三節 評估銀行經營效率 8
第三章 研究方法 13
第一節 線性規劃與生產效率 13
第二節 資料包絡分析法 14
第三節 跨期效率變動-Malmquist生產力指數 17
第四節 調整DEA效率值─隨機前緣分析法 20
第四章 實證分析與結果 24
第一節 實證對象與投入/產出變項 24
第二節 未調整之DEA相對效率與Malmquist生產力指數 28
第三節 估計環境變數影響─隨機前緣分析法 45
第四節 調整環境變數前後之DEA與Malmquit生產力指數 48
第五章 結論 57
第一節 結論 57
第二節 後續研究 58
中文文獻 60
英文文獻 61
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