台灣地區本國銀行業長期效率的動態分析

Estimating Long-Run Efficiency Levels of Taiwan's Commercial Banks Using a Dynamic Cost Frontier Model

黃台心(Tai-Hsin Huang) ； 陳盈秀(Ying-Hsiu Chen) ； 陳珮欣(Pei-Shin Chen)

《經濟論文》 35卷1期 (2007/03) Pp. 83-114

https://doi.org/10.29628/AEP.200703.0004

摘要

本文考慮廠商因準固定投入存在，無法立即且完全調整前期無效率之情形，建構一動態隨機成本邊界模型，研究對象為台灣地區之22家本國銀行，採用「一般化動差法」估計樣本銀行的長期效率。實證結果發現，須設定無效率遵循二階自我迥歸隨機過程，方可同時解決變數內生化與模型設定錯誤的問題，且較能描述本國銀行業的動態調整行為。民營銀行前一期的調整速度較公營銀行平均約快了40%，而前二期的調整速度兩者差異不大，顯示可能有訊息落後的情形，使得樣本銀行無法立即且完全修正當期無效率。平均而言，全體樣本銀行具有規模經濟與多元經濟。

關鍵字

動態隨機成本邊界 ； 技術效率 ； 一般化動差法 ； 調整速度

並列摘要

This article estimates a dynamic stochastic cost frontier, in which firm-specific technical inefficiency levels are assumed to follow an autoregressive (AR) process due to the existence of quasi-fixed inputs. The generalized method of moments method has to be applied for obtaining consistent parameter estimates under the framework of dynamic panel data. Evidence is found that an AR (2) specification of technical inefficiency is necessary to whiten the random disturbance of the cost frontier and in turn to solve the problem of endogenous regressors. Private banks adjust their technical inefficiency toward the efficiency frontier faster than public banks. Sample banks exhibit scale and scope economies on the basis of the dynamic cost frontier, while constant returns to scale and lack of product mix economies are derived using the static cost frontier.

並列關鍵字

Dynamic stochastic cost frontier ； Technical efficiency ； Generalized method of moments ； Adjustment speed

參考文獻

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