外匯業務對本國銀行經營效率之影響

The Influences of Foreign Exchange Business on the Operating Efficiency of Banks in Taiwan

陳隆輝(Long-Hui Chen) ； 陳信宏(Hsin-Hung Chen) ； 陳昱憲(Yu-Hsien Chen)

《Journal of Data Analysis》 8卷5期 (2013/10) Pp. 113-137

https://doi.org/10.6338/JDA.201310_8(5).0007

摘要

有鑑於資本市場的全球化趨勢，銀行的外匯業務對銀行經營效率的影響性越來越高，但過去相關研究均將外匯列為產出變項，且未將外匯衍生性金融商品納入外匯業務探討，較不能充分呈現今日外匯業務多元變化的特性。因此本研究的目的在以2009年到2011年共三個年度為研究期間，採用資料包絡分析法針對32家本國銀行進行實證分析，選取存款、固定資產、用人費用、利息費用、進出口貿易外匯及衍生性金融商品外匯為投入變項，利息收入、手續費收入、其它收益為產出變項，進行銀行間相對效率分析、規模經濟分析與差額變數分析。並進一步探討進出口貿易外匯、衍生性金融商品外匯兩種外匯業務變項的投入對銀行經營效率之影響。最後，加上Malmquist生產力指數模式作跨年度銀行效率分析。本研究結果顯示，整體而言，32家的受評銀行經營無效率之主要原因來自於規模面因素。另外，不管是進出口外匯業務的投入抑或衍生性金融商品外匯業務的投入，皆顯示對經營效率有所助益，且外匯衍生性金融商品對整體效率的影響高於進出口貿易外匯。

關鍵字

資料包絡分析法 ； 經營效率 ； 外匯 ； 技術效率 ； 規模效率

並列摘要

Because the globalization trend in the capital markets, the influences of foreign exchange business on the operating efficiency of banking have increased. However, previous studies related to foreign exchange and banking operating efficiency classified foreign exchange business as output variables. Moreover, previous literatures did not include the foreign exchange derivative when discussed foreign exchange business, and may not fully present today's foreign exchange business. Therefore, the objective of this study was to use the empirical data of 32 banks in Taiwan from 2009 to 2011 to investigate the influences of foreign exchange business on the operating efficiency of banking. The research method applied data envelopment analysis (DEA) and selected deposits, fixed assets, personnel costs, interest costs, the import and export of foreign exchange and derivative financial instruments as input variables, with interest income, fee income and other income for the output variables. This study implemented the analysis of relative efficiencies, economic scales and variable differences. Furthermore, this study examined the impact of the trading foreign exchange and foreign exchange derivatives on the efficiency of banking operations. Finally, this research processed cross-year efficiency analysis of banks using the Malmquist productivity index model. The results showed that the main reason for the inefficiency of the 32 evaluated banks is the scale factor. In addition, the import and export of foreign exchange business and the foreign exchange derivatives were helpful in operating efficiency, and the impact of foreign exchange derivatives is higher than the foreign exchange of import and export trading.

並列關鍵字

Data envelopment analysis ； operational efficiency ； foreign exchange ； technical efficiency ； scale efficiency

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