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研究生:蘇以岫
研究生(外文):Yi-HsiuSu
論文名稱:在共同衝擊存在下估計銀行之經營效率:模擬最大概似法在追蹤資料隨機邊界模型的應用
論文名稱(外文):Estimation of Bank Efficiency with Unobserved Common Shocks: An Application of Maximum Simulated Likelihood Estimation for a Panel Stochastic Frontier Model
指導教授:林常青林常青引用關係
指導教授(外文):Chang-Ching Lin
學位類別:碩士
校院名稱:國立成功大學
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:2016
畢業學年度:104
語文別:中文
論文頁數:64
中文關鍵詞:銀行效率共同衝擊超越對數成本函數四成分隨機邊界模型六成分隨機邊界模型
外文關鍵詞:Bank efficiencyunobseved common shocktranslog cost function4 component stochastic frontier model6 component stochastic frontier model
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隨著金融業的自由化,銀行在市場上趨於完全競爭,各銀行開拓新的金融商品,其功能已不是簡單的存款或貸款。面對如此激烈的競爭環境,若能越有效率的將投入轉為產出,使成本降低,則越能提高銀行之競爭力,故銀行經營效率分析成為一項重要的課題。此外,銀行業對於所處的環境變化十分敏感,因此一個整體環境的變化可能就會對銀行業之產出造成全面性的影響,本文稱此種影響為共同衝擊 (unobserved common shock) ,共同衝擊對銀行的影響是不可忽略的,故分析經營效率時應將共同衝擊所帶來的影響考慮進模型中。但文獻上對共同衝擊的分析卻存在兩種解釋:作為非不效率之外在衝擊 (隨機衝擊) 和作為效率衡量 (負面衝擊) 。面對各模型對共同衝擊的不同設定與構想,本文以可同時捕捉長、短期不效率、不確定性和個別效果 (individual effect) 之四成分隨機邊界模型為基礎,加入共同衝擊結構 (common factor structure) 以捕捉共同衝擊帶來的影響,並首創將共同衝擊結構同時分為隨機共同衝擊與負面共同衝擊,分別捕捉全面的外在干擾衝擊和整體環境帶來的負面效果,放入模型中衡量,建構六成分隨機邊界模型。本研究使用六成分隨機邊界模型,以超越對數函數體系,利用美國 320 家銀行 10 年度之樣本分析銀行面對共同衝擊下受到之影響大小。計量上,此分析將使模型解釋力更好,且分離未觀察的效果也能避免誤差項中此效果和解釋變數存在相關性時帶來的誤差。而實證研究結果發現,美國銀行業確實存在著隨機共同衝擊和負向共同衝擊,隨機共同衝擊結果顯示了美國銀行存在之整體外在干擾隨著時間變動逐漸減小;負面衝擊效果則刻畫如 2007 年至 2008 年金融風暴帶來之整體的負面影響,透過負面衝擊大小的衡量,可以得知銀行在此體制環境下,是否有外在的不效率影響銀行業之整體經營效率。
With the financial liberalization and the development of financial innovations, banking has become the perfect highly competitive industry. Banks have developed new financial commodities which incorporate functions that are not limited to simply deposits or loans. Faced with such a highly competitive environment, the more efficient financial industries are, the more profit they will earn. Therefore, bank management efficiency analysis has become more and more important in recent decades. The banking industry is very susceptible to environmental changes which may cause comprehensive influences towards banks' outputs. The effect of this is called the common shocks and should be taken into account while undergoing the analysis of banking efficiency. There are two kinds of analysis performed on the impact of common shocks: the common random shock, and the common negative shock. Regarding the literature of common shocks in different settings and conceptions, common shocks are added into 4 components based on the stochastic frontier model (Colombi, 2010), and then divided it into random common shock and negative common shock, which constructs 6 component stochastic frontier model. 6 component stochastic frontier model and translog cost function are used in research to analyze balanced panel data covering between 2005 and 2014, inclusive of 320 banks in the U.S. The researcher separates unobserved shocks in this thesis to avoid correlation between shocks and explanatory variables, which would make the results biased. results biased. In addition, it has revealed that there are random common shocks and negative common shocks in the banking industry of the United States. It is proved that the researcher's model is better according to empirical results.
摘要 i
英文延伸摘要 ii
誌謝 vi
目錄 vii
表格 viii
圖片 ix
第一章. 緒論 1
1.1. 研究背景與動機 1
1.2. 研究目的和本文架構 4
第二章. 隨機邊界模型回顧 5
2.1. 文獻回顧 5
2.2. 追蹤資料下的模型 9
第三章. 研究方法 13
3.1. 基本的隨機邊界模型 13
3.2. 四成分隨機邊界模型 (4 component stochastic frontier model) 14
3.3. 五成分隨機邊界模型 (5 component stochastic frontier model) 16
3.4. 六成分隨機邊界模型 (6 component stochastic frontier model) 18
3.5. 變異數估計 20
3.6. 效率估計 21
3.7. 成本函數 23
3.8. 實證模型 23
第四章. 模擬 26
4.1. 四成分隨機邊界模型模擬 26
4.2. 五成分隨機邊界模型模擬 30
4.3. 六成分隨機邊界模型模擬 35
第五章. 實證分析 41
5.1. 實證資料 41
5.2. 實證結果 43
第六章. 結論 58
參考文獻 60

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