:::

詳目顯示

回上一頁
題名:探討資本適足性對銀行成本效率之影響-三階段DEA之應用
作者:曹雅珽
作者(外文):YA TING TSAO
校院名稱:國立嘉義大學
系所名稱:管理研究所
指導教授:李俊彥
學位類別:博士
出版日期:2005
主題關鍵詞:資本適足性三階段資料包絡分析法(DEA)銀行業Capital AdequacyThree-stage Data Envelopment AnalysisBanks
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(1) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:1
  • 共同引用共同引用:0
  • 點閱點閱:45
目前的金融市場環境相當競爭,若在如此激烈的市場競爭環境下來衡量銀行的經營效率時,發現除了銀行本身的投入對其產出有所影響外,外在不確定的因素也會影響到銀行本身的經營效率。而在國內銀行法中將銀行不確定的風險總括為資本適足性,希望藉由銀行風險性資產的減少或增加自有資本的部份來增加其資本適足,以足以面對外在風險的抵抗能力。本文利用Fried et al. (2002)所提出三階段DEA調整風險因素(信用與市場風險)前後探討2004年間台灣地區44家銀行成本效率之差異,並且再分類比較金控銀行與一般銀行之間的差異。
研究結果顯示出,將資本適足性指標納入調整後,金控銀行在技術效率、配置效率與總成本效率方面,從原本與一般銀行差距不明顯的情況下轉為明顯差距,大致顯示出金控銀行在面對資本適足性因素下,其有良好的資本適足性來面對外在的不確定;若與其尚未調整前其成本效率值比較,發現未調整前其成本效率值(0.686)較不準確,則會有高估其成本效率值(調整後其成本效率值為0.458)的情況產生。因此,可以佐證經由三階段DEA所求得之效率評估結果應能更加客觀及準確的衡量各銀行之效率。
The financial market is quite competitive in recent years. This study measures the cost efficiency of Taiwan banks in the intensive and competitive market. By adjusting risk variables (credit and market risk) on input slacks, this study applied the three-stage DEA proposed by Fried et al. (2002) to measure and compare the difference of cost efficiency among 44 Taiwan banks in 2002.
As results, this study shows that after the adjustment of capital adequacy, the financial holding corporations are obviously different from the general banks in technical efficiency, allocative efficiency and cost efficiency. It indicates that the financial holding corporations have a good capital adequacy as facing the uncertain environment. Also, the more accurate efficiency scores (0.458) are obtained after adjusting risk is applied in cost efficiency measurement. Therefore, using the three-stage DEA can objectively and correctly measure bank’s cost efficiency.
參考文獻
1.王本鈞(2004),「考慮風險下的銀行績效評估」,私立東吳大學經濟學系碩士論文。
2.吳姵萱(2002),「台灣銀行業之效率與風險研究」,私立銘傳大學金融研究所碩士論文。
3.李三榮(2003),「Basel II」,台灣金融財務季刊,台灣金融研訓院。
4.李三榮(2003),「新巴塞爾資本協定及其對金融業之影響」,新巴塞爾資本協定及其對金融業之影響研討會。
5.李文福、王媛慧(2003),「作業環境、產品服務與醫院效率及生產力」,產業經濟學術研討會第3輯第2期,頁105-124。
6.李振雄(2004),「台灣商業銀行經營效率分析」,私立逢甲大學經濟系碩士論文。
7.周群新、鄭秀玲(1999),「調整風險後之銀行成本函數分析:以台灣銀行業為實證研究」,中央研究院經濟研究所經濟論文第27卷第2期,頁247-281。new window
8.林炳文(2002),「台灣地區商業銀行合併效率性之分析:資料包絡分析法的應用」,台灣管理學刊第一卷第2期,頁341-356。
9.林璧娟(2001),「銀行資本適足率與經營績效」,私立銘傳大學金融研究所碩士論文。
10.邱永和、黃素珍(2003),「考慮風險下之銀行績效評估-DEA模式之應用」,會計研究月刊216期,頁130-138。
11.孫遜(2004),「資料包絡分析法:理論與應用」,揚智文化事業股份有限公司,台北。
12.高強、黃旭男、Toshiyuki Sueyoshi (2003),「管理績效評估:資料包絡分析法」,華泰文化事業股份有限公司,台北。
13.張君儀(2004),「金控前後台灣銀行業經營效率之研究」,國立雲林科技大學財務金融系碩士論文。
14.張嗣聰(2004),「以DEA法探討我國金控公司行銷面與財務面經營效率」,國立中正大學企業管理研究所碩士論文。
15.陳盈秀(2003),「台灣地區銀行業經營效率─三階段法之應用」,私立淡江大學經濟學系碩士論文。
16.黃台心、陳盈秀(2003),「台灣地區銀行業經營效率-三階段法之應用」,產業經濟學術研討會。
17.楊永列、李俊彥、楊明雪(2004),「調整服務品質變數對DEA成本效率衡量之影響/以2002年上市上櫃銀行資料為例」,私立嶺東科技大學財務金融研究所碩士論文。
18.楊永列、洪萬吉、李俊彥(2003),「台灣地區銀行產業之生產效率評估/調整投入變數與隨機干擾之資料包絡應用」,全國實政經濟學術研討會。
19.賴時通(1998),「銀行成本效率分析─風險調整模式」,國立中正大學財務金融所碩士論文。
20.謝欣君(2003),「成立金融控股公司對成本、效率及市場競爭影響之模擬分析」,私立東吳大學經濟學系碩士論文。
21.財政部金融局,民國90年10月16日,銀行資本適足性管理辦法。
22.Aigner, D. J. and Chu, S. F. (1968), “On estimating the industry production function,” American Economic Review, 58(4), pp. 826-839.
23.Aigner, D. J., Lovell, C. A. K., and Schmidt, P. (1977), “Formulation and ormulation and estimation of stochastic frontier production function model,” Journal of Econometrics, 6(1), pp.21-37.
24.Altunbas, Y., Liu, M. H., Molyneux, P. and Seth, R. (2002), “Efficiency and Risk in Japanese Banking, ” Journal of Banking and Finance 24(10), pp.1605-1628.
25.Aly, H. Y., Grabowski, R., Pasurka, C., and N. Rangan (1990), “Technical, Scale, and Allocative Efficiencies in U.S. Banking: An Empirical Investigation,” The Review of Economics and Statistics, 72(2), pp.211-218.
26.Banker, R. D., Charnes, A. and Cooper, W. W. (1984), “Some Models for Estimating Technical and Scale Inefficiencies in Data Envelopment Analysis”, Management Science, 30, pp.1078-1092.
27.Banker, R. D., Charnes, A. and Cooper, W. W. (1984), “Some models for estimating technical and scale inefficiencies in data envelopment analysis,” Management Science, 30(9), pp.1078-1092.
28.Banker, R.D. and Morey, R. C. (1986a), “The Use of Categorical Variables in Data Envelopment Analysis,” Management Science, 32(12), pp.1613-1627.
29.Banker, R.D., Charners, A., and Morey, R. C (1986b), “Efficiency Analysis for Exogenous Fixed Inputs and Outputs”, Operation Research, 34(4), pp.513-521.
30.Battese, G.. E. and Coelli, T. J. (1995), “A Model for Technical Inefficiency Effects in a Stochastic Frontier Production Function for Panel Data,” Empirical Economics, Vol.20, pp.325-332.
31.Battese, G. E. and Corra, G. S. (1977), “Estimation of A Production Frontier Model: With Application to The Pastoral Zone of Eastern Australia.” Australian Journal of Agricultural Economics, 21, pp.169-79.
32.Berger, A. N., and Humphrey, D.B. (1997), “Efficiency of financial institutions: International survey and directions for future research,” European Journal of Operational Research, 98(2), pp.175-212.
33.Charnes, A., Clark, C. T. and Cooper, W. W. (1985), “Preface to Topics in Data Envelopment Analysis,” Annals of Operations Research, 2(1), pp.59-94.
34.Charnes, A.and Cooper, W. W. (1985), “Preface to Topics and Data Envelopment Analysis”, Annals of Operations Research, 2, pp.59-94
35.Charnes, A., Cooper, W. W. and Rhodes, E. (1978,) “Measuring the Efficiency of Decision Making Unit,” European Journal of Operational Research, 2(6), pp.429-444.
36.Charnes, A., Cooper, W. W. and Rhodes, E. (1981), “Evaluating Program and Managerial Efficiency: An Application of Data Envelopment Analysis to Program Follow Trough,” Management Science, 27(6), pp.668-697.
37.Chen, T. Y. and Yeh, T. L. (2000), “A Measurement of Bank Efficiency, Ownership and Productivity Changes in Taiwan,” The Service Industries Journal, 20(1), pp.95-109.
38.DeYoung, R., Hughes, J. P. and Moon, C. G. (2001), “Efficient risk-taking and regulatory covenant enforcement in a deregulated banking industry,” Journal of Economics and Business, 53(2/3), pp. 255-282.
39.Farrell, M. J. (1957), “The Measurement of Productive Efficiency”, Journal of the Royal Statistical Society, 120, pp.253-281.
40.Førsund, F. R., Lovell, C. A. K. and Schmidt P. (1980), “A Survey of Frontier Production Functions and of Their Relationship to Efficiency Measurement,” Journal of Econometrics, 13(1), pp.5-25.
41.Fried, H. O., Schmidt, S. S. and Yaisawarng, S. (1999), “Incorporating the Operating Environment into a Nonparametric Measure of Technical Efficiency.” Journal of Productivity Analysis, 12, pp.249-267.
42.Fried, H. O., Lovell, C. A. K., Schmidt, S. S. and Yaisawarng, S. (2002), “Accounting for Environmental Effects and Statistical Noise in Data Envelopment Analysis,” Journal of Productivity Analysis, 17(1/2), pp.157-174.
43.Halkos, G. E. and Salamouis, D. S. (2004), “Efficiency Measurement of the Greek Commercial Banks with Use of Financial Ratios: A Data Envelopment Analysis Approach,” Management Accounting Research, 15(2), pp.201-224.
44.Kao,Ching and Lui, S. T. (2004), “Predicting Bank Performance With Financial Forecasts : A Case of Taiwan Commercial Banks,” Journal of Banking and Finance 28(10), pp.2353-2368.
45.Kohers, T., Huang, M. H., and Kohers, N. (2000), “Market Perception of Efficiency in Bank Holding Company Mergers:The Roles of the DEA and SFA Models in Capturing Merger Potential,” Review of Financial Economics, 9(2000), pp.101-120.
46.Meeusen, W. and Broeck, J. V. D. (1977), “Efficiency Estimation from Cobb-Douglas Production Functions with Composed Error,” International Economic Review, 18(2), pp.435-444.
47.Mester, L. J. (1996), “A Study of Bank Efficiency Taking into Account Risk-Preferences,” Journal of Banking and Finance, 20(6), pp.1025-1045.
48.Paradi, J. C. and Schaffnit, C. (2004), “Commercial Branch Performance Evaluation and Results Commercial in A Canadian Bank –A DEA Application,” European Journal of Operational Research, 156(2004), pp.719-753.
49.Richmond, J. (1974), “Estimating the Efficiency of Production,” International Economic Review, 15(2), pp.515-521.
50.Sathye, M. (2001), “X-efficiency in Australian Banking: An Empirical Investigation,” Journal of Banking and Finance 25(2001), pp.613-630.
51.Sherman, H. D. (1985), “Improving the Productivity of Service Business,” Sloan Management Review, 26(3), pp.11-23.
52.Sherman,H. D and Gold, F. (1985), “Bank Branch Operating Efficiency” Journal of Banking and Finance, 9(2) , pp.297-315.
53.Soteriou, A, and Zenios, S. A. (1999), “Using DEA for costing bank products,” European Journal of Operational Research, 114(2), pp.234-248.
54.Stone, B. K. (1974), “Systematic Interest-Rate in a Two-Index Model of Return,” Journal of Financial and Quantitative Analysis, 9(5), pp.709-721.
 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top
:::
無相關著作
 
無相關點閱
 
QR Code
QRCODE