* 本文运用 DEA 方法 在变动规模报酬条件下对 Malmquist 指数进行分解 对比分析了祖国大陆 台湾地区银行业在 2006-2010 年的整体生产力变动 技术变动效 率 纯技术效率和规模变动效率 并进一步分析了所有权 治理结构 资产质量 金融创 新能力对银行经营绩效的影响结果表明 祖国大陆银行业整体表现为生产力进步 而台湾银行业表现为生产力退步 在即期的经营绩效方面 台湾地区银行业表现也次于祖国大 陆 Mann-Whitney 检验结果表明 所有权 治理结构 资产质量 金融创新能力对银行 绩效影响不显著 两岸银行业绩效 Malmquist 指数 F831 A WTO ( Zaim 1995) (Sathye 2003) (ECFA) (Robert 1998) Fotios Pasiouras (2008) 2000-2004 (1999) (Alhadeff 1954) (1999) (2006) 210 1938-1950 (2005) Rangan ( 1990) ( Aly et al. 1990) (Seims 1992) (2006) ; * ( 11JBGP006) ( 2011231042 ) 2012 2012 10
(2009) ( 2000) ( 2003) (2004) (2005) () Malmquist TFP Caves et al. (1982) Malmquist TFP (2006) F 覿 re (1994) (2009) GDP Malmquist Malmquist J n m CPI t=1 2 3 T (2009) x t R n + y t R m + 11 2004-2008 Malmqusit t P t (x t ) = {x t x t y t } (2011) (x t y t ) Shephard (1970) F 覿 re (1988) F 覿 re et al. (1994) (2011) 13 D t (x t y t )=inf{δ(xy/δ) P(x)} δ Farrell P (x) y P (x) 1; y 1; y P (x) 1 (2010) ( ) (2011) D t (x t+1 y t+1 )=inf {δ(x t+1 y t+1 /δ) P t (x t+1 )} D t (x t+1 y t+1 ) t+1 2006-2009 Malmquist t D t+1 (x t y t ) t t+1 F 覿 re et al. (1994) Malmquist TFP MTFP= Dt (x t+1 y t+1 ) D t (x t y t ) Dt+1 (x t+1 y t+1 ) D t+1 (x t y 1 2 (1) t ) MTFP>1 t t+1 ; MTFP<1 t t+1 Malmquist TFP Malmquist TFP 2012 10
J S.t. Σλ j x t jn x t kn n=1 2 N (6) j = 1 TFP F 覿 re et al (1994) Ray & Desli (1997) Σλ j =1 λ j =0 j TFP MTFP=TEC PE SEC (2) (6) Σλ j =1 (2) TEC 1/2 TEC= Dt V(x t+1 y t+1 ) D t+1 V(x t+1 y t+1 ) Dt V(x t y t t ) D (3) C (x t y t ) D t+1 V(x t y t ) D t (x t+1 y t+1 ) (3) maxδ V δy t+1 J km Σλ j y t jm m=1 2...M TEC>1 j + 1 J TEC<1 TFP S.t. Σλ j x t jn x t+1 kn n=1 2...N (7) j = 1 PE= Dt+1 V(x t+1 y t+1 ) Σλ j =1 λ j 0 (4) D t V(x t y t j ) (7) (4) t+1 PE>1 D t+1 (x t y t ) PE<1 () TFP SEC= { D C t+1 (x t+1 y t+1 t+1 )/D V (x t+1 y t+1 ) t+1 D C (x t y t t+1 )/D V (x t y t ) D Ct (x t+1 y t+1 )/D Vt (x t+1 y t+1 ) } D Ct (x t y t )/D Vt (x t y t ) 1 2 (5) (5) SEC=1 SEC<1 t t+1 SEC> 1 t t+1 (3) (5) Ray & Desli (1997) F 覿 re et al. (1994) Malmquist TFP ; J k maxδ J δy t km Σλ j y t jm m=1 2 M ; j = 1 j 2012 10
DEA 2006-2010 Pearson 1 1 1% 1 O 1 O 2 O 3 I 1 I 2 I 3 ; 22 24 Pearson.993 **.981 **.970 **.941 **.938 **.941 **.919 **.861 **.932 **.950 **.926 **.842 **.993 **.981 **.970 **.941 **.938 **.941 **.919 **.861 **.932 **.950 **.926 **.842 ** ** 1% () 22 24 2 J-B I 1 1.98E+11 1.33E+12 7.87E+08 3.08E+11 1.96 5.86 107.94 I 2 2.05E+09 1.47E+10 1.29E+07 3.45E+09 1.95 5.69 102.66 I 3 73898.22 447519.00 480.00 130983.70 1.80 4.64 71.77 O 1 1.22E+11 7.68E+11 1.35E+07 1.78E+11 1.87 5.54 93.48 O 2 6.10E+10 4.55E+11 2.99E+07 1.08E+11 2.08 6.26 128.30 O 3 9.08E+09 5.48E+10 4.42E+07 1.35E+10 1.89 5.42 92.17 O 4 1.12E+09 9.49E+09 1.51E+06 2.08E+09 2.45 8.08 228.07 I 1 2.12E+10 8.50E+10 1.11E+09 1.93E+10 1.10 3.82 27.71 I 2 5.34E+08 2.69E+09 4.51E+07 5.61E+08 2.06 7.73 196.56 I 3 4.04E+03 9.54E+03 5.41E+02 2.65E+03 0.33 1.75 10.00 O 1 1.67E+10 6.01E+10 1.82E+09 1.53E+10 1.09 3.38 24.48 O 2 3.23E+09 2.66E+10 2.01E+07 4.25E+09 2.14 9.64 312.53 O 3 6.52E+08 2.52E+09 6.16E+07 5.85E+08 1.00 3.18 20.34 O 4 1.23E+08 7.29E+08-4.40E+08 1.98E+08 0.64 4.32 17.00 2012 10
2006-2010 (Balanced Panel Data) TFP=TEC PE SEC 3 CPI ( 2006 ) 2 Malmquist TFP DEAP2.1 TFP 2006-2010 2008-2009 2008 () ; 2009-2010 3 2007-2008 TFP TFP 2008 2007 10.6% 2009-2010 TFP TFP 1.008 1.022 2010 2009 0.8% ; 2.2%; 2009 TFP 0.935 2010 6.5% TFP 1 TEC 2006-2007 PE WTO 2008-2009 TFP ; PE TEC 1 3 2006-2010 TFP TEC PE SEC TFP TEC PE SEC SEC 1.022 SEC 1.006 2006-2007 1.101 1.056 1.008 1.035 0.962 0.984 1.019 0.959 2007-2008 1.027 0.931 1.010 1.093 0.894 0.727 1.059 1.162 2008-2009 0.911 0.909 0.998 1.005 0.870 0.888 1.031 0.950 2009-2010 1.003 0.993 1.013 0.997 1.022 0.965 1.027 1.031 1.008 0.970 1.007 1.032 0.935 0.885 1.034 1.022 TFP TEC PE SEC Malmquist ; 2012 10
SEC 4 2006-2009 2009-2010 3 () TEC 4 TFP TFP 7 18 5 4 6 9 TEC 14 3 4 TEC PE 22 3 1 4 2006-2010 TFP TEC PE SEC 1.149 1.117 1.019 1.010 1.037 0.913 1.000 1.136 1.037 0.989 1.035 1.014 0.880 0.887 1.000 0.991 0.924 0.949 0.976 0.997 1.042 1.042 1.000 1.000 0.947 0.818 1.163 0.995 0.956 0.966 0.993 0.996 0.763 0.763 1.000 1.000 1.064 1.022 0.994 1.047 0.945 0.945 1.000 1.000 0.990 0.990 1.000 1.000 1.026 1.026 1.000 1.000 1.129 1.129 1.000 1.000 1.139 1.139 1.000 1.000 1.085 1.056 1.000 1.028 1.017 0.989 1.005 1.023 1.039 0.950 1.000 1.093 0.984 0.883 0.988 1.128 1.050 0.914 1.000 1.149 1.031 0.990 1.000 1.041 1.032 0.964 1.000 1.070 1.008 0.970 1.007 1.032 2012 10
4 2006-2010 () TFP TEC PE SEC 0.943 0.931 1.000 1.013 0.982 0.920 1.000 1.067 1.001 0.997 1.000 1.004 0.971 0.911 0.994 1.072 0.957 0.916 1.040 1.004 0.908 0.921 1.008 0.978 1.028 0.931 1.103 1.000 0.899 0.899 1.000 1.000 0.800 0.800 1.000 1.000 0.934 0.856 1.085 1.005 1.009 0.873 1.078 1.073 0.990 0.861 1.057 1.088 0.955 0.865 1.103 1.000 0.770 0.787 0.986 0.992 0.952 0.907 1.010 1.040 0.926 0.877 1.073 0.985 0.914 0.867 1.000 1.054 0.862 0.864 0.997 1.001 0.895 0.870 0.994 1.035 0.945 0.887 1.050 1.015 0.869 0.864 1.000 1.006 1.014 0.938 1.061 1.019 0.996 0.884 1.096 1.028 0.979 0.841 1.099 1.059 0.935 0.885 1.034 1.022 1 3 1 5 20 1 PE 3 SEC 22 () 1 1 2006-2010 TFP 2009 2010 5 (PE SEC ) 1 3 4 5 2006-2010 7; TFP 2009 2010 ( 1) 6 8 9 10; TFP 1 2 1 1 ; 11 14 21 2012 10
1-2- 3-4- 5-6- 7-8- 9-10- 11-12- 13-14- 15-16- 17-18- 19-20- 21-22- 1-2- 3-4- 5-6- 7-8- 9-10- 11-12- 13-14- 15-16- 17-18- 19-20- 21-22- 23-24- 1 (1) (3) TFP (2) (4) TFP 2012 10
1 4 () ; 3 ; 6 ; 9 3 5 Tobit 2 Mann-Whitney 1. 40% 2 ; 7 5 Mann-Whitney ; SEC 13 24 54.17% 5 3 ; Mann-Whitney ; 2 TEC P 0.9 P 2. 30% 6 7 50% 40% 40% 2012 10
5 TEC PE SEC TFP >40% 0.973 0.999 1.077 1.032 <40% 0.991 1.013 1.023 1.023 Z -0.245-0.774-0.488-0.181 P 0.807 0.439 0.625 0.856 >40% 0.968 1.043 1.000 1.006 <40% 0.894 1.037 1.036 0.944 Z -1.697-0.296-0.945-1.463 P 0.09 0.767 0.345 0.143 6 TEC PE SEC TFP >30% 0.932 1.000 1.096 1.011 <30% 0.993 1.011 1.029 1.027 Z -1.295-0.231-0.891-0.447 P 0.195 0.817 0.373 0.655 >30% 0.849 1.031 1.062 0.921 <30% 0.906 1.038 1.030 0.952 Z -1.254-0.245-0.481-0.719 P 0.21 0.807 0.631 0.472 7 TEC PE SEC TFP 1.004 1.004 1.038 1.039 0.966 1.016 1.034 1.009 Z -1.179-0.343-0.057-0.782 P 0.238 0.732 0.954 0.434 0.902 1.035 1.034 0.950 0.903 1.064 1.010 0.956 Z -0.06-0.809-0.213-0.046 P 0.952 0.419 0.831 0.963 ; TFP Mann-Whitney P PE 3. 4. 9 8 2012 10
8 TEC PE SEC TFP 0.995 1.018 1.099 1.036 0.965 0.990 1.010 1.020 Z -1.098-2.315-1.259-0.741 P 0.272 0.021 0.208 0.459 0.924 1.050 1.037 0.960 0.874 1.028 1.028 0.938 Z -1.547-1.499-0.048-0.066 P 0.122 0.134 0.962 0.947 9 TEC PE SEC TFP 0.991 1.012 1.050 1.031 0.981 1.006 1.025 1.020 Z -0.855-0.835-1.422-0.113 P 0.393 0.404 0.155 0.91 0.937 1.042 1.033 0.950 0.899 0.993 1.029 0.946 Z -0.365-1.666-0.692-0.192 P 0.715 0.096 0.489 0.848 22 24 Malmquist Mann-Whitney P TEC PE SEC TFP ; TFP ; DEA 2006-2010 TFP ( 责任编辑武岩 ) [1]. [J]. 2009 (9) 52-65 [2]. [M]. 2012 [3]. [J]. 2011 (12) 80-87 2012 10
[4]. [J]. () 1999 (2) 283-309 [5]. DEA [J]. 2005 (4) 39-45 [6]. DEA [J]. 2004 (6) 48-58 [7]. DEA [J]. 2005 (4) 21-23 [8]. [J]. () 2006 (3) 127-176 [9]. Luenberger [J]. () 2010 (12) 593-628 [10]. [J]. () 2009 (4) 495-524 [11]. DEA [J]. 2011 (6) 141-145 [12]. [J]. 2006 (9) 30-34 [13]. SBM [J]. 2011 (1) 110-130 [14]. [J]. 2000 (3) 88-96 [15]. [J]. 2010 (11) 42-52 [16]. 14 [J]. () 2005 (1) 27-37 [17]. Malmquist [J]. () 2009 (4) 353-378 [18]. [J]. () 1999 (105) 56-68 [19]. DEA Malmquist [J]. 2009 (4) 93-104 [20]. [J]. () 2006 (6) 251-297 [21]. DEA 1997 2001 [J]. 2003 (3) 11-25 [22] Alhadeff D. Monopoly and Competition in Banking[M]. Berkeley University of California Press 1954 [23] Aly H.Y. R. Grabowski C. Pasurka and N. Rangan. Technical Scale and Allocative Efficiencies in U.S. Banking An Empirical Investigation[J]. The Review of Economics and Statistics 1990 72 (2) 212-218 [24] Caves D. W. L.R.Christensen and W. E. Diewert.Multilateral Comparisons of Output Input and Productivity Using Superlative Index Numbers[J]. The Economic Journal 1982 (92) 73-86 [25] F 覿 re R. Fundamental of Production Theory[M]. Springer-Verlag. Heidelberg 1988 [26] Pasiouras Fotios. Estimating the Technical and Scale Efficiency of Greek Commercial Banks The Impact of Credit Risk. Off-balance Sheet Activities and International Operation[J]. Research in International Business and Finance 2008 22 (3) 301-318 [27] Ray Desli. Productivity Growth Technical Progress and Efficiency Change in Industrialized Countries Comment [J]. The American Econimic Review (AER) 1997 87 (5) 1033-1039 [28] Robert De Young Iftekhar Hasan. The Performance of De Nove Commercial Banks A Profit Efficiency Approach [J]. Journal of Banking and Finance 1998 (22) 565-587 [29] Sathye Milind. Efficiency of Banks in a Developing Economy The Case of India[J]. European Journal of Operational Research 2003 148 (3) 662-671 [30] Shephard R. W. Theory of Cost and Production Function [M]. Princeton Princeton University Press 1970 [31] SiemsSiems T. F. Quantifying Management s Role in Bank Survival [J]. Economic Review Federal Reserve Bank of Dallas 1992 (1) [32] Zaim. The Effect of Financial Liberalization on the Efficiency of Mawkish Commercial Banks [J]. Applied Financial Economics. 1995 (5) 45-51 Abstract In this paper we conducted an analysis on TFP TEC PE and SEC of banks in Taiwan and Mainland between 2006 and 2010 by using DEA method which is based on the changing returns to scale. We found that the malmquist TFP index of mainland banks was increasing while on the contrast the TFP index of Taiwan banks was decreasing. Meanwhile the spot performance of banks in Taiwan was worse than those in the mainland. Furthermore we discussed the effect of ownership governance quality of asset and financial innovation on performance. The Mann-Whitney test supported that the previous factors didn t affect the performance of banks significantly. Keywords Banking Industry Across the Taiwan-Strait; Performance; Malmquist Index 2012 10