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題名：總體經濟指標與法制面影響銀行業經營績效之研究—DEA模型之應用
作者：馬裕豐 引用關係
作者(外文)：Ma,Yu-Feng
校院名稱：國立臺北大學
系所名稱：企業管理學系
指導教授：古永嘉
學位類別：博士
出版日期：2005
主題關鍵詞：資料包絡分析法（DEA）；效率；商業銀行；環境因素；data envelopment analysis（DEA）；Efficiency；Taiwan；Commercial Bank
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論文題目：總體經濟指標與法制面影響銀行業經營績效之研究 —DEA模型之應用 論文頁數：101所　組　別：　企業管理學系　　（學號：　88779004　）研　究　生：　馬 裕 豐　　　 指導教授：　古 永 嘉　　論文提要內容：本研究以BCC-I、BCC-O、SBM-I及SBM-O模型搭配A、B兩組投入、產出項合計八個模型，運用Fried, Schmidt, Yaisawarng (1999)，Fried, Lovell, Schmidt, Yaisawarng (2002)， Pastor（2002）和Drake, Hall, Simper（2005）等之三階段DEA分析法（three-stage DEA）計算效率值。首先算出第一階段效率值，求得投入過多、產出過少之金額，以Tobit 模型算出投入過多、產出過少之預測值，再以之分別調整原投入項、產出項金額，最後以調整後之投入項、產出項算出第三階段效率值。研究發現及結論如下：一、以Wilcoxon signed-rank檢定第一階段效率值及第三階段效率值是否有差異？檢定結論為該兩階段效率值有顯著差異，顯示總體經濟指標與法制面之變動對效率值有影響。排除總體經濟指標與法制面變動之影響後，所求得之效率值更能顯現「真正」的銀行經營績效（內部之經營管理效率），以之作為評估依據，更具客觀與合理性。調整投入項的模型之實證結論與國內研究杜珮宜（2004）、林建良（2004）、國外研究Drake（2005）等的發現相似，而調整產出項的模型之實證結論，筆者尚未發現類似研究結論。二、將第三階段效率值除以第一階段效率值得到外部因素影響值（EE值）。發現調整投入項的模型之EE值均大於1，顯示投入項受到總體經濟指標與法制面變動之不利影響；而調整產出項的模型之EE值均小於1，顯示產出項受到總體經濟指標與法制面變動之有利影響。就經營管理而言，台灣銀行業管理階層之內部管理能力需再加強，另需時時審視經營環境及法令規定之變動，擬定妥適的經營策略。三、探討法制面變動對銀行效率值之影響（一）以Kruskal-Wallis無母數檢定民國85年至93年不同類型銀行之效率值是否有差異？八個模型均顯示不同類型銀行之效率值有顯著差異，效率值變動幅度最高者為改制成商業銀行之金融機構、其次為新設之民營銀行。（二）以Mann-Whiteny U無母數檢定民國91年至93年金融控股公司下銀行與非金融控公司下銀行之效率值是否有差異？八個模型之檢定結論均顯示金融控股公司下銀行之效率值大於非金融控股公司下銀行。另檢定民國85年至93年金融控股公司下銀行與非金融控股公司下銀行之效率值是否有差異？除A-SBM-O-A與A-SBM-O-B兩個模型之檢定結論不顯著外，其餘六個模型均顯示金融控股公司下銀行之效率值大於非金融控股公司下銀行；檢定結果顯示金融控股公司下銀行之效率值優於非金融控股公司下銀行。（三）以Mann-Whiteny U無母數檢定民國85年至93年公營銀行與民營銀行之效率值是否有差異？八個模型均顯示公營銀行效率值大於民營銀行。（四）以Mann-Whiteny U無母數檢定民國85年至93年公營銀行與民營化銀行之效率值是否有差異？除A-SBM-O-B模型之檢定結論不顯著外，其餘七個模型均顯示公營銀行之效率值大於民營化銀行；另以平均值觀察，公營銀行之效率值大於民營化銀行。
This study applies three-stage data envelopment analysis (DEA) (Fried, Schmidt and Yaisawarng,1999; Fried, Lovell, Schmidt and Yaisawarng, 2002; Pastor, 2002; Drake, Hall and Simper, 2005) combined with eight models to assess the relative efficiencies of commercial banks between 1996 and 2003 in Taiwan. The eight models used in this study were developed using the Banker-Charnes-Rhodes Input-Based Efficiency (BCC-I) model, Banker-Charnes-Rhodes Output-Based Efficiency (BCC-O) model, Slacks-Based Measure Model in Input Orientation (SBM-I) model, Slacks-Based Measure Model in Output Orientation (SBM-O) model and two sets of input and output variables.
During the first stage of this study, a standard DEA approach is applied to identify initial variables for producer performance evaluation. During the second stage, a Tobit model is employed to examine the first stage’s slacks on a set of environment variables. For each initial input and output, these three components: a part attributable to environmental effects, a part attributable to managerial inefficiency, and a part attributable to statistical noise. Input and output variables are adjusted to account for environmental effects and statistical noise. During the third stage, DEA is reapplied to gauge producer performance by employing the adjusted input variables.
The primary findings of this study are as follows.
1. Based on Wilcox on Signed-rank test results, the relative efficiencies of Taiwan’s commercial banks measured by first- and third-stage DEAs are significantly different.
2. According to Pastor (2002), the environment effect (EE) value of adjusted inputs is >1, namely, the first-stage efficiency value is underestimated, suggesting that the input variables are adversely altered by overall economic indications and the legal system. The EE value for adjusted output variables is <1, that is, the first-stage efficiency value is underestimated, suggesting that the output is advantageously altered by overall economic conditions and the legal system.
3. Based on third-stage DEA results, the relative efficiency the Financial Holding Company is superior to the Non-Financial Holding Company, and efficiencies of national banks are better than those private and new banks.
參考文獻
一、中文文獻
　
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