追蹤資料下貝氏隨機邊界模型之估計-對台灣銀行成本效率分析的應用

A Bayesian Estimation of Panel Stochastic Frontier Models with an Application to the Cost Efficiency Analysis of Taiwan Banks

李睿耆(Ruei-Chi Lee)

指導教授 ： 張勝凱

國立臺灣大學/社會科學院/經濟學研究所/碩士(2018年)

https://doi.org/10.6342/NTU201802246

摘要

本論文旨在四成分隨機邊界模型的架構下，納入決定長短期不效率的因素，並用貝氏的方法進行估計。這個方法除了可以觀察長短期不效率的程度外，還可以進一步解釋變數對不效率的邊際效果。我們對台灣33 家銀行的追蹤資料進行實證，發現外國和本土銀行對長短期不效率有不同的影響。另外，我們也考慮其他納入不效率因素的方法進行比較，結果顯示我們提出的模型較具解釋能力。

關鍵字

長短期不效率 ； 隨機邊界 ； 貝氏 ； 不效率決定因素

並列摘要

In this thesis, we incorporate determinants of inefficiencies into fourrandom-component stochastic frontier model by Bayesian method. It can explain not only the level of inefficiencies but also marginal effects of exogenous variables. To illustrate the working of our model, we provide results from an empirical application using data from 33 Taiwanese banks and find out foreign and domestic banks have different effect to persistent and transient inefficiencies. For comparison, we consider different methods of incorporating determinants of inefficiencies and the result show our model is preferred among them.

並列關鍵字

Persistent and Transient Inefficiencies ； Stochastic Frontier ； Bayesian ； Determinants of Inefficiencies

參考文獻

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