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系統識別號 U0002-1906200522241100
中文論文名稱 比較歐洲綜合銀行與專業銀行經濟效率與風險態度
英文論文名稱 Analyses of Banks’ Technical Efficiency and Attitude Toward Risk: An International Comparison
校院名稱 淡江大學
系所名稱(中) 經濟學系碩士班
系所名稱(英) Department of Economics
學年度 93
學期 2
出版年 94
研究生中文姓名 謝易儒
研究生英文姓名 Yi-Ju Hsieh
學號 692530313
學位類別 碩士
語文別 中文
口試日期 2005-05-28
論文頁數 45頁
口試委員 指導教授-黃台心
指導教授-李鈞元
委員-傅祖壇
委員-陳忠榮
委員-黃河泉
委員-黃台心
中文關鍵字 綜合銀行  專業銀行  風險態度  技術效率  規模經濟  多元經濟 
英文關鍵字 Universal bank  Specialized bank  Risk attitude  Technological efficiency  Scale economies,  Scope economies 
學科別分類 學科別社會科學經濟學
中文摘要 本研究考慮多重產品產出價格風險,突破現有文獻在探討綜合銀行與專業銀行時,未將產品價格風險考慮之限制。將經營者風險態度與技術效率納入模型中,求得二條價格迴歸方程式與Translog成本函數,採用最大概似法聯立估計1994到2003年歐洲16個國家,合計831家銀行之風險態度與經濟效率。
依據各銀行非利息收入佔總收入比例作為分類準則,區分綜合銀行與專業銀行。實證結果得知,歐洲各國雖處於金融自由環境下,銀行經營者仍傾向風險趨避,而實行綜合銀行制度國家的確較偏好風險;各國綜合銀行較專業銀行偏好風險,且大部分國家綜合銀行技術效率優於傳統專業銀行,呼應近年來各國銀行朝向多元業務發展之時代趨勢。若將所有樣本區分成綜合與專業銀行二類進行比較,可得到綜合銀行較專業銀行偏好風險之結論。採用固定效果模型分析效率,發現未考慮風險模型所估計的效率值會有高估情況。相關性檢定發現銀行業務愈多元化技術效率愈高,經營者愈喜好風險則技術效率愈高。
英文摘要 In this study, we jointly consider the multiple output price risk and, production efficiency to analyze the performance of universal banks and specialized banks. We explicitly model bank managers’ risk attitude based on the safety first rule, under the framework of a two-output translog cost function. The derived three equations are then estimated by maximum likelihood, using a panel data set consisting of 16 European countries over the period 1994-2003. There are 831 banks.
Evidence is found that the bank managers as a whole can be classifical as risk averters, that universal banks are relatively risk-loving in comparison with specialized banks, and that the average technical efficiency of universal banks is higher than that of specialized banks.
論文目次 目 錄
第一章 緒論 01
第一節 研究動機 01
第二節 研究目的 02
第三節 研究範圍 02
第四節 研究內容簡介 02
第五節 研究架構流程圖 03
第二章 文獻回顧 05
第一節 理論文獻 05
I. 風險下的決策模型 05
II. 經濟效率 06
III. 規模經濟與多元經濟 07
第二節 實證文獻 08
第三章 研究方法 11
第一節 價格風險理論模型 11
第二節 經濟效率 14
第三節 規模經濟與多元經濟 16
第四節 實證模型 17
第四章 資料蒐集與整理 19
第一節 資料來源 19
第二節 資料整理及銀行分類 19
第三節 變數定義 19
第四節 樣本與統計量 21
第五章 實證分析 23
第一節 固定效果模型 23
第二節 風險分析 28
第三節 效率分析 31
第四節 規模經濟與多元經濟 35
第五節 綜合銀行與專業銀行之比較 36
第六節 效率相關性分析 37
第六章 結論與建議 39
參考文獻 41

圖 表 目 錄
圖一 研究架構流程圖 04
表一 跨國比較效率相關文獻 10
表二 各變數之樣本統計量 21
表三 各國銀行樣本統計量 22
表四 不符合正規條件樣本數比例 24
表五 考慮與未考慮產品價格風險之translog成本函數估計結果比較 25
表六 各國風險偏好與RRP 29
表七 各國相對技術效率值(扣除各國樣本最小值) 32
表八 各國相技術效率值(扣除全樣本最小值) 33
表九 各國綜合與專業銀行技術效率值(扣除各國最小值) 34
表十 規模經濟值 35
表十一 多元經濟、成本互補性 35
表十二 二類銀行風險態度與RRP平均值之比較 36
表十三 綜合銀行與專業銀行風險平均值無差異之檢定 36
表十四 各國相對效率和Ratio值之相關係數 37
表十五 各國相對效率和風險溢價之相關係數 38
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