论文：异方差随机前沿模型对波动性和经营效率的影响研究.docVIP

论文：异方差随机前沿模型对波动性和经营效率的影响研究 论文：异方差随机前沿模型对波动性和经营效率的影响研究——以两岸银行为例摘?要：本文主要研究资产和收益的波动性对两岸 HYPERLINK /wen/jinrong 银行经营效率的影响。作为风险和经营不确定性的测度，波动性会随个体和时间的变化影响效率的水平和变异程度。当证券资产波动时，风险溢酬随之变化，营业利润的变化进而影响经营计划和经营效率。本文采用Wang’s?(2002)的异方差随机前沿模型进行估计，这个模型的优点在于除了常用的解释变量之外，它还能允许无效率扰动项的均值和方差因资产和收益的波动而变化。我们的实证数据来源于一个提供国际银行业全面资料的数据库Bankscope，主要以台湾和中国大陆的银行为例进行研究。所得结论与预期一致，即ROA的波动性越大，银行效率就会越低并且容易出现较大的变异。另一方面，股票收益率的波动不会影响银行效率，这意味着银行管理人员应该着重于改善和提高银行的经营业绩，而不是关注银行的股价表现。关键词：波动性；效率；成本函数；SFA，ROA中图分类号：G21;?C67Volatility?and?efficiency?in?a?heteroscedastic?stochastic?frontier?model:the?case?of?Taiwan?and?China?banksAbstractWe?explore?the?role?of?asset?and?earning?volatilities?in?determining?the?efficiency?of?international?banks.?As?a?measure?of?risk?and?operating?uncertainty,?volatility?may?influence?both?the?levels?and?variabilities?of?efficiency?across?firms?and?over?time.?As?equity?volatility?varies,?changes?in?risk?premiums?may?follow.?Furthermore,?the?variability?of?operating?profits?may?affect?the?level?of?planning?difficulties?and?hence,?will?affect?the?operating?efficiency.?We?adopt?Wang’s?(2002)?heteroscedastic?stochastic?frontier?model?in?our?estimation.?This?model?is?an?ideal?framework?for?our?study?since?it?allows?us?to?specify?both?the?mean?and?variance?of?the?inefficiency?turbulence?to?condition?on?volatilities?in?addition?to?commonly?used?explanatory?variables.?Our?empirical?data?are?taken?from?Bankscope,?a?comprehensive?data?resource?of?international?banking?institutions.?Banking?data?from?Taiwan?and?China?are?used?in?this?study.?Using?a?time-varying?volatility?of?ROA,?the?results?are?consistent?with?the?prediction?that?a?lower?efficiency?and?higher?variations?in?efficiency?are?likely?to?occur?with?a?higher?volatility?in?ROA.?On?the?other?hand,?the?volatility?of?stock?returns?does?not?have?much?impact?on?the?effi5?commercial?banks?in?105?countries?and?find?that?foreign?ownership?negatively?affects?bank?efficiency.The?existing?literature?has?very?little?empirical?study?