Estimation of Bank''s Long-run Efficiency Using a Dynamic Frontier Approach

• Main Authors: Pei-Shin Chen, 陳珮欣
• Other Authors: Tai-Hsin Huang
• Format: Others
• Language: zh-TW
• Published: 2004
• Online Access: http://ndltd.ncl.edu.tw/handle/10881730347792120317

碩士 === 淡江大學 === 經濟學系應用經濟學碩士班 === 92 === This thesis estimates a dynamic stochastic frontier model in which firm specific technical inefficiency levels are assumed to follow an autoregressive process. The generalized method of moments (GMM) method is applied to estimate a dynamic fixed-effect panel data model. The sample consists of 22 domestic banks, over the period 1981 to 2002. This study addresses the measurement of economic efficiency of the banking industry in Taiwan through a panel data estimation of a dynamic translog cost frontier. When technical inefficiency follows the second order autoregressive process, the problem of endogenous regressors can be solved. Private banks adjust their inefficiency faster than public banks and their performance in terms of average technical efficiency is also superior to public banks.