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    题名: 應用一般化共同邊界麥氏生產力指數探討銀行業生產力變動
    其它题名: A Study of the Generalized Metafrontier Malmquist Productivity Change on Banking
    作者: 黃台心
    贡献者: 國立政治大學金融系
    行政院國家科學委員會
    关键词: 一般化共同邊界麥氏生產力指數;技術追趕;潛在技術變動
    generalized metafrontierMalmquist productivity index;Catch-up in technology;potential technological change
    日期: 2010
    上传时间: 2012-06-25 15:16:58 (UTC+8)
    摘要: 本研究使用產出面距離函數，運用經濟計量方法在變動規模報酬假設下，個別估計西歐諸國銀行業生產邊界以及合併這些國家銀行廠商資料的共同生產邊界；然後利用 Orea (2002) 的方法，延伸傳統麥氏生產力指數至一般化麥氏生產力指數(generalized Malmquist productivity index)，此方法的優點是不需要像資料包絡分析法一般，假設生產技術為固定規模報酬。此外，本研究還採用O’Donnell et al. (2008) 共同邊界的架構，進而推導出一般化共同邊界麥氏生產力指數，並將Rao (2006) 的邊界追趕項，拆解為技術追趕與潛在技術變動，更能清楚劃分追趕效果。接著利用上述個別隨機邊界與共同邊界產出面距離函數的估計結果，進行生產力變動的跨國比較分析，並在估計個別隨機邊界時引入環境變數，探討其對技術無效率的影響。總結來說，本研究旨在運用變動規模報酬下的共同邊界架構，分解一般化共同邊界麥氏生產力指數，它同時包含個別國家隨機邊界和共同邊界的生產力指數，可以一併分析個別國家銀行業生產力指數的變動和相對於共同邊界的效率、技術與規模追趕效果。唯有在共同邊界架構下，才能提供一個全面性跨國間生產力變動分析和比較的共同基準，分析結果才有參考價值。
    This paper extends Orea’s (2002) generalized Malmquist productivity index (GMMPI) under the framework of the variable returns to scale to the generalized metafrontier Malmquist productivity index using the approach developed by Rao (2006) and O’Donnell et al. (2008). In particular, the change in technology gap ratio, which measures how close a group frontier is to the metafrontier, can be further decomposed into the catch-up in technology and the potential technological change. A stochastic output distance frontier and a metafrontier output distance function are then estimated using a panel of commercial banks acrossWest European nations. The former frontier is estimated in the context of the stochastic frontier approach, which allows the inefficiency term to be further associated with a set of environmental variables, while the metafrontier is deterministic in essence and can be estimated using mathematical programming. In summary, this research project aims to fill the gap in the literature on the calculation and comparison of the productivity changes among different groups (countries), based on the common metafronjtier. Only measured against the common metafrontier function can a researcher conduct comparisons of efficiency scores and productivity changes among different groups (countries). The so-derived generalized metafrontier Malmquist productivity index (GMMPI) consists of the conventional Malmquist productivity index for individual groups and their relative productivity changes in measures of efficiency, technology, and scale. These sources of productivity changes shed some light on the performance of each group. Thus, the GMMPI provides a common standard that facilitates a researcher to compare changes in various productivity indices among groups over time.
    關聯: 應用研究
    學術補助
    研究期間:9908~ 10007
    研究經費:795仟元
    数据类型: report
    显示于类别:[金融學系] 國科會研究計畫

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    99-2410-H-004-054.pdf1029KbAdobe PDF2577检视/开启


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