台灣商業銀行成本效率與風險之研究－異質變異隨機邊界分析之應用

The Cost Efficiency and Risk of Commercial Banks in Taiwan-An Application of Heteroskedastic Stochastic Frontier Analysis

戴錦周(Jin-Jou Dai) ； 丁佳瑜(Chia-Yu Ting)

《Asian Journal of Management and Humanity Sciences》 1卷3期 (2006/10) Pp. 404-421

https://doi.org/10.6413/AJMHS.200610.0404

摘要

本文利用1994-2004年間35家本國商業銀行組成的緃橫資料(panel data)，在考慮異質變異性之下，推估隨機成本邊界函數，計算各商業銀行的成本風險和無效率指標，並探討各種經營策略對銀行經營績效與成本風險的影響。實證結果發現對中小企業放款比率、資產規模、自動化程度、催收款比率越高的銀行，其成本無效率越高；營業利益率、存放比率、金融卡發卡張數、自有資金比率越高的銀行，其成本無效率越低。而成本風險方面，財務槓桿程度、催收款比率越高的銀行，其成本風險越高；反之，資本適足率、投資淨額、手續費及佣金收入越高的銀行，其成本風險越低。

關鍵字

隨機性成本邊界函數 ； 成本效率 ； 成本風險 ； 異質變異

並列摘要

A stochastic cost frontier model allowing for heteroskedasticity was applied to a panel data set composed of the observations from thirty-five commercial banks during 1994-2004. The empirical results show that the ratio of small and medium business loans, total assets, number of ATMs, and overdue loan ratio had a negative effect on banks' efficiency. The variables of operating profit margin, loans to deposits ratio, numbers of IC cards and equity ratio had a positive effect on banks’ efficiency. Moreover, those banks with higher degrees of financial leverages and overdue loan ratios would have a higher risk of costs while those banks with higher ratios of capital adequacy, net investments, and fees and commission revenues would have a lower risk of costs.

並列關鍵字

stochastic cost frontier function ； cost efficiency ； cost risk ； heteroskedasticity