教師資料查詢 | 類別: 研究報告 | 教師: 王美惠 WANG MEI-HUI (瀏覽個人網頁)

標題:考慮財務風險下的銀行業經濟效率-門檻迴歸模型之應用
學年92
學期1
出版(發表)日期2004/01/01
作品名稱考慮財務風險下的銀行業經濟效率-門檻迴歸模型之應用
作品名稱(其他語言)A Study of Banking Efficiency Under Financial Risk-An Application of Threshold Regression Model
著者王美惠
單位淡江大學財務金融學系
描述計畫編號NSC93-2416-H032-012;研究期間200408~200507;研究經費478,000
委託單位行政院國家科學委員會
摘要考慮財務風險下的銀行業經濟效率—門檻迴歸模型之應用 本研究之目的,在考量銀行財務風險下分析比較銀行經濟效率,首先利用因素 分析將銀行各種財務風險比率,萃取出足以代表風險特性的因素,代表風險變 數。再利用門檻迴歸模型,估計銀行成本函數,使用的門檻變數,即為前一步 驟利用因素分析法,選出的風險變數,本研究將分析並比較數種不同財務風險 下的銀行效率。如此,可以有系統的探討風險與效率兩者之間的關係。 The purpose of this study is to estimate banking efficiency when controlling for the degree of bank』s financial risk. I first apply the factor analysis technique to various financial ratios commonly defined by banking industry, representing financial risk confronted with banks, in order to extract objectives traits and characteristics from these financial ratios. Next, I employ threshold regression model, developed by Hansen (1996,1999,2000), to estimate the translog cost frontier using the extracted variables of financial ratios as the threshold variables. Finally, the second step is going to be repeated several times using different threshold variable in each time. By doing so, I am able to compare the resulting bank efficiency measure among district threshold variables. Important policy implications may be drawn.
關鍵字財務風險;經濟效率;門檻迴歸模型;financial risk;economic efficiency;threshold regression model
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