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題名:金融與生產力之研究
作者:劉景中
作者(外文):Jin-Chun Liu
校院名稱:中國文化大學
系所名稱:經濟學研究所
指導教授:詹維玲
學位類別:博士
出版日期:2002
主題關鍵詞:金融自由化Malmquist生產力變動指數技術效率Tobit長期追縱資料模型外匯暴露研究發展技術移轉動態長期追縱資料模型Financial deregrationMalmquist productivity indextechnical efficiencyTobit panel data modelforeign exposureresearch and developmenttechnology transferdynamic panel data model
原始連結:連回原系統網址new window
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1980年代以後,台灣產業面臨結構變動,製造業成長由盛轉衰,服務業成長強勁。同時,製造業內部結構亦發生劇變。並且,政府逐漸推行各種金融自由化政策,造成金融服務業極大的變動。本博士論文以此為主要的研究背景下建構了三篇不同主題論文;分別為金融自由化後台灣銀行業的生產力及效率、外匯暴露與外匯風險定價之台灣實證研究,以及研究發展、技術移轉與台灣上市電子業生產力。摘要分別如下:
第一篇之論文探討自1987到2000年,台灣實施金融自由化政策,並經歷亞洲金融風暴,銀行業的技術效率及生產力的變動。本文運用資料包絡法(DEA)求得在1987-2000年銀行的技術效率及生產力。以技術效率來看,在1992年開放新銀行後,舊銀行技術效率表現比以前差,且低於新銀行。在1997年亞洲金融風暴後,不論新及舊銀行的技術效率值比以前更低。以生產力來看,在1992開放新銀行以後,銀行平均每年生產力有成長。在1997年亞洲金融風暴以後,銀行平均每年生產力下趺,生產力下趺主要來自新銀行的生產力的下趺。生產力決定因素的估計結果發現,舊銀行的產出愈專業化、放款對資產比率愈小、投資佔資產比率愈高。新銀行的資本佔資產比例愈小、產出愈業化、投資佔資產比例愈大及銀行逾放比率愈低,銀行生產力愈高。1992年開放新銀行設立及銀行業務自由化對舊銀行生產力有顯著正的影響。1997年亞洲金融風暴後,新銀行生產力有顯著降低。以技術效率來看,資本佔資產比率對舊銀行的效率有正的影響,對新銀行有負的影響。資產規模及投資佔資產比率對新舊銀行效率都有正面影響,備抵呆帳放款比率對效率有負面影響。產出多樣性及放款佔資產比率和逾放比率對新銀行效率都有正面及負面影響。1992到1996年,舊銀行技術效率有顯著降低。1997亞洲金融風暴後,新及舊銀行技術效率呈現顯著降低。
第二篇之論文運用上市公司資料討探討自1987年5月到2001年2月間,台灣外匯暴露的現象。針對美元匯率、日圓匯率及實質有效匯率,實證結果發現台灣具有外匯暴露現象;顯著外匯暴露家數達38.3%。短期來說,美元升值(台幣貶值)不利於台灣上市公司股價。考慮長期效果下,受到外匯暴露影響的上市公司家數大幅增加。且台幣貶值則有利於台灣上市公司股價。我們續以橫斷面資料檢定各產業別受美元外匯暴露的影響決定因素。影響美元外匯暴露的重要決定因素為,公司規模愈小、帳面對市場價值比愈低,暴露於外匯風險愈高。電子業暴露於美元外匯風險的程度比其它產業高。影響電子業美元外匯暴露重要的決定因素結果為,公司規模愈小及帳面對市場價值比愈低,公司外匯暴露愈高。美元及日圓匯率變動被定價於股價報酬內,這表示公司可藉由規避外匯風險來提高公司價值。
第三篇論文探討1991年到2000年,在Malmquist生產力變動指數、傳統總要素生產力、勞動生產力及資本生產力衡量下,台灣上市電子資訊業生產力的變動。平均而言,不論何種生產力指標,高低研發電子資訊業生產力成長幅度大約在10.7%-31.09%。另外,高研發電子資訊業生產力在後期(1996-2000年)生產力高於前期(1992-1995年)生產力,並且也高於後期低研發電子資訊業。低研發產業多為通路業及零組件業。高研發產業多為通訊業、系統產品業及光電業。影響電子資訊業生產力之決定因素為,研究發展能力愈好及技術進口比率愈高,則生產力愈高。研發能力愈好,吸收國外技術移轉能力愈大,並且透過技術進口變數影響電子資訊業生產力能力也愈大。
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