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    題名: 應用共同邊界隨機方向距離函數探討東歐國家銀行業生產效率
    其他題名: A Study of Banking Efficiency of East European Countries under the Framework of the Metafrontier Directional Distance Function
    作者: 黃台心
    貢獻者: 國立政治大學金融系
    行政院國家科學委員會
    關鍵詞: 共同邊界;隨機邊界方向距離函數;技術效率
    日期: 2011
    上傳時間: 2010-09-21 13:19:02 (UTC+8)
    摘要: 過去研究銀行業效率的文獻，絕大多數研究方向距離函數的論文，皆採用DEA 法，除Koutsomanoli-Filippaki et al. (2009) 以外，鮮少有論文利用SFA 法配合「方向距離函數」從事研究。使用SFA 方向距離函數的優點：第一、能夠同時將意欲和非意欲產出 (undesirable output) 納入模型，容許廠商同時增加意欲產出和減少要素投入，這點有別於傳統投入面和產出面距離函數，僅能單方面減少要素投入或增加產出，為較具伸縮性的模型；第二、將非意欲產出納入考慮，較符合許多產業的生產實況；第三、方向距離函數本身對投入與產出具有可加 (additive) 性質，加總個別廠商的績效即能測得群體的實際績效；第四、模型中各變數無需取自然對數，當變數值為負或零時，該筆資料仍可保留。本文主要參考Koutsomanoli-Filippaki et al.（2009）所使用的方法，利用SFA 模型配合方向距離函數，在共同邊界架構之下，衡量並比較14 個中、東歐國家銀行業的效率。由於各國文化背景、資源秉賦與整體經營環境的差異，不同國家銀行廠商採用的生產技術存在差異，應採用Battese et al.（2004）和 O’Donnell et al. (2008) 提出的共同邊界生產函數（meta-frontier production function）進行效率估計。主要分成兩個步驟，第一個步驟針對各國 (群組) 資料分別以SFA 法估計得到每個樣本廠商的效率值；第二個步驟將各國樣本資料合併後，改用數理規劃法進行效率估計。此方法存在一個潛在缺點，即兩個步驟估計的模型大相逕庭，一個是隨機邊界，另一個卻是確定邊界，故有必要修正第二個步驟，改用SFA 法，面臨的主要挑戰在於如何保證讓各國生產邊界不高於共同生產邊界。
    This study plans to employ directional technology distance function (DDF) to examine bank efficiency of fourteen East European countries. Banks from different countries choose to operate under distinct technologies due to their differences in culture, endowments, and environments. A metafrontier directional distance function will be established, which allows for calculating comparable technical efficiencies for banks under different technologies relative to the potential technology available to the industry across nations. The salient feature of the DDF is its ability to include undesirable outputs into the model. In addition, it allows for a bank to simultaneously expand outputs and contract inputs, as well as undesirable outputs. It is important to note that the non-performing loans (NPL) can be regarded as a by-product of various loans granted, which lowers a bank’s profitability and performance. To reduce the occurrence of NPL bank managers have to spend extra costs to confirm whether the potential applicants for loans have good credit before granting loans to them. This may also affect the bank’s performance. This study attempts to develop a new metafrontier DDF in the context of the stochastic frontier approach, which differs from the one proposed by Battese et al. (2004) who suggest the use of a linear and/or a quadratic programming technique. The mathematical programming technique is known as deterministic, which is unable to estimate the standard errors for the parameters of interest. Hence, no statistical inference can be made. As our new metafrontier DDF is stochastic, the standard errors of the parameters are estimable, which permits establishing confidence intervals and hypotheses testing for the parameters. Moreover, the inefficiency term of the metafrontier DDF can be further specified as a function of several environmental variables of the form proposed by Battese and Coelli (1995).
    資料類型: report
    顯示於類別:[金融學系] 國科會研究計畫

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