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論文中文名稱:Basel III對中國地區銀行經營績效之研究-資料包絡分析法(DEA)及麥氏生產力指數方法之應用 [以論文名稱查詢館藏系統]
論文英文名稱:Evaluating the Performance of China banks -- DEA Model and Malmquist Productivity Index [以論文名稱查詢館藏系統]
院校名稱:臺北科技大學
學院名稱:管理學院
系所名稱:管理學院EMBA大上海班
畢業學年度:105
畢業學期:第二學期
出版年度:106
中文姓名:葉人豪
英文姓名:YEH,JEN HAO
研究生學號:104C26529
學位類別:碩士
語文別:中文
口試日期:2017/06/11
論文頁數:51
指導教授中文名:林鳳儀
口試委員中文名:林鳳儀;陳國樑;盧文民
中文關鍵詞:麥氏生產力指數資料包絡分析BaselⅢ中國地區銀行
英文關鍵詞:Malmquist Productivity IndexData Envelopment AnalysisBaselⅢChina banks
論文中文摘要:近年來,各國相繼採行各項金融改革措施,推動金融自由化與國際化,金融業於是面臨了激烈的競爭與獲利之下降,風險亦隨之增加。各國政府為了監督銀行之風險,於是有若干資本管制之規定,銀行資本適足率以1988年國際清算銀行所提「巴賽爾資本協定」最具代表。本研究探討中國地區銀行在BaselⅢ實施前後,其經營績效是否有顯著的改善。BaselⅢ在2011年開始實施,研究期間以2011年為分界分為兩階段,即BaselⅢ實施前(2008~2011)及BaselⅢ實施後(2012~2015)。
本研究採用資料包絡分析法(DEA)來衡量17家中國地區銀行整體效率表現與個別機構之經營效率與效率變動(Malmquist生產力變動)之情形,透過效率分析,樣本中的銀行在BaselⅢ實施前後之績效表現。研究結果中國地區銀行經營效率與逾期貸款、核心資本、不良貸款率、撥備覆蓋率、淨值報酬率及資產報酬率呈現顯著關係。基本上,這些分析所獲之資訊,大致能對中國地區銀行在未來經營效率提升之策略擬定與政府政策擬定之參考。
論文英文摘要:In recent years, financial innovations were widely adopted by most countries to promote financial liberalization and internationalization. Therefore, banks under a strong competition and a decreasing profit endure more risk than ever. To supervise banking risk, governments have a regulation of banking capital control to minimize capital-adequacy ratio based on “Basle Capital Accord”, which was established by the Bank of International Settlements in 1988. This study aims to explore if operational performance of domestic banks in China is significantly improved after the implementation of BaselⅢ. BaselⅢ has been practiced since 2011. The period of research is divided into 2 phases by 2011: before (2008~2011) and after (2012~2015) implementation of BaselⅢ.
This study has adopted data envelopment analysis (DEA) to measure the operational efficiency and the change of efficiency by Malmquist Productivity Index for seventeen banks both individuals and as a whole. Through efficiency analysis, we tried to explore performance among samples before and after the implementation of BaselⅢ.The results show that the efficiency of bank’s operations in China is significant in overdue loans, core capital, nonperforming loan ratio, provision coverage rate, net return rate and return on assets. Basically, The analysis of the information, generally on China banking vendors in future operating efficiency enhancement of policy formulation and the reference of Government policy formulation.
論文目次:目錄
中文摘要 ........................................................ i
英文摘要 ....................................................... ii
誌 謝 ....................................................... iii
目錄 ........................................................... iv
表目錄 ......................................................... vi
圖目錄 ........................................................ vii
第一章 緒論 ..................................................... 1
第一節 研究動機與背景 ......................................... 1
第二節 研究目的 ................................................. 3
第三節 研究方法 ............................................... 4
第四節 研究流程 ............................................... 5
第五節 章節架構 ................................................. 7
第二章 文獻探討 ................................................. 8
第一節 巴塞爾資本協定之演革 ..................................... 8
第二節 BaselⅢ對於中國影響相關文獻 ............................. 11
第三節 銀行經營績效評估相關文獻 ................................ 14
第三章 研究設計 ................................................... 17
第一節 研究對象、研究期間、資料來源 ............................ 17
第二節 資料包絡分析法原理 ...................................... 19
第三節 資料包絡分析法之基本模式 ................................ 21
第四節 麥氏指數 ................................................ 27
第五節 DMU及投入產出項選擇 ..................................... 28
第六節 選定投入與產出項 ........................................ 29
第四章 實證分析 ................................................... 32
v
第一節投入與產出項間之關係 ..................................... 32
第二節效率分析 ................................................. 32
第三節麥式生產力指數分析 ....................................... 36
第四節影響績效因素分析 ......................................... 40
第五章 結論與建議 ................................................. 44
第一節 研究結論與建議 .......................................... 44
第二節 研究限制及後續研究建議: ................................. 46
參考文獻 .......................................................... 47
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論文全文使用權限:同意授權於2017-08-04起公開