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題名：利润绩效分析的三个议题
作者：陳翔
校院名稱：東吳大學
系所名稱：經濟學系
指導教授：
學位類別：博士
出版日期：2018
主題關鍵詞：银行；数据包络分析；利润业绩；基于定向松弛的距离函数；共同边界；群组绩效；Bank；DEA；profit performance；directional slack-based distance function；metafrontier；group performance
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在資料包絡分析(DEA)框架中，有兩種不同的方法來比較群體績效:metafrontier (Battese et al.， 2004, O 'Donnell et al. 2008)和群體績效測度(Camanho and Dyson, 2006)。元前沿可以通過將DMUs的成就分解為DMUs自身的管理(效率)和元前沿與dmu特定前沿(技術差距)之間的差異來評估DMUs的績效。Camanho和Dyson(2006)引入的組性能度量僅比較組特定領域內的性能，並使DMUs的內部低效與DMU所屬的組(或程式)相區別。
在利潤績效方面，首先引入了具有元前沿的以利潤為導向的生產率指標，開發了一個元利潤生產率指標來比較利潤生產率。進一步將該模型分解為技術效率變化、配置效率變化、技術變化和價格效應等要素，並測量了臺灣和中國大陸銀行的生產率差距和趨同性。此外，我們引入利潤變化模型(Grifelll-Tatje and Lovell, 1999, 2015)，結合群組績效測度(Camanho and Dyson, 2006)，通過分別考慮產量和價格效應，對兩個群組之間的利潤差異進行分解。為了實證研究，本研究使用31家臺灣銀行和50家中國城市銀行在2010-2014年期間對樣本銀行的盈利表現及其組成進行了測量。
基於利潤分解模型，我們發現由於不同的規模，在DMUs之間比較利潤變化及其組成部分是不合理的。因此，我們跟隨Ball等人(2010,2015)將利潤歸一化作為盈利績效指標，然後使用Grifelll-Tatje和Lovell(1999)引入的盈利分解模型（Grifelll-Tatje and Lovell，2015;P256-262)將可比利潤分解為各個組成部分。然而，在分解生產率效應時，我們更注重輸入和輸出的副作用，通過引入基於定向鬆弛的距離函數(Fare和Grosskopf, 2010a, 2010b)。在實證研究中，我們採用所提出的方法，在2010-2014年期間，使用43家中國銀行(包括國有銀行、股份制銀行和城市銀行)對利潤表現及其分解成分進行實證測量和比較。
In the framework of data envelopment analysis (DEA), there are two different approach to compare the group performance: metafrontier (Battese et al., 2004, O’Donnell et al. 2008) and group-performance measure (Camanho and Dyson, 2006). The metafrontier can evaluate the DMUs’ performance by decomposing the DMUs’ attainments into to the DMUs’ own management (efficiency) and the difference between the metafrontier and the DMU-specific frontier (technology gap). The group-performance measure introduce by Camanho and Dyson (2006) compare the performance within groups-specific frontiers only and enable the DMUs’ internal inefficiencies to be distinguished from those associated with the group (or program) to which the DMU belongs.
Regarding to the profit performance, firstly, we introduce the profit-oriented productivity indicator with a metafrontier to develop a meta profit productivity indicator to compare the profit productivity. We further decompose the proposed model into components of technical inefficiency change, allocative inefficiency change, technical change, and price effect, and also measure the productivity gaps and examine the convergences for banks in Taiwan and China. Furthermore, we introduce the profit change model introduce by (Grifell-Tatjé and Lovell, 1999, 2015) with a group-performance measure (Camanho and Dyson, 2006) to develop a decomposition of the profit difference between two groups by considering separately production and price effects. For an empirical illustration, this study uses 31 Taiwanese banks and 50 Chinese city banks over 2010-2014 to measure the profit performance and its components for the sample banks.
Based on the profit decomposition model, we find it is not reasonable to compare the profit change and its components across DMUs due to the different scales. Therefore, we follow the Ball et al. (2010, 2015) to normalize the profit as a profit performance indicator, and then employ the profit decomposition model introduced by Grifell-Tatje and Lovell (1999; 2015, P256-262) to decompose the comparable profit into various components. However, we pay more attentions into both input and output side effects in decomposing productivity effect, by incorporating the directional slack-based distance function (Fare and Grosskopf, 2010a, 2010b). For empirical study, we applies the proposed methodology and uses 43 Chinese banks (including Stated-owned Banks, Stock-jointed Banks, and City Banks) over 2010-2014 to empirically measure and compare the profit performance and its decomposed components.
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