The Effect of Off-Balance Sheet Activities on Bank’s Efficiency in Taiwan Using Three-Stage Data Envelopment Analysis

• Main Authors: Tsui-Chu Chang, 張翠茱
• Other Authors: 趙莊敏
• Format: Others
• Language: zh-TW
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/c2betp

碩士 === 國立臺北科技大學 === 商業自動化與管理研究所 === 97 === This study evaluates bank efficiencies in Taiwan using the three-stage data envelopment analysis, and accounts for the impact of the OBS activities on bank efficiencies. In the first stage, the slack-based DEA with undesirable outputs is applied to obtain the initial efficiency. In the second stage, the stochastic frontier approach is used and the stage 1 slacks are regressed against a set of environmental variables and statistical noise. In the third stage, the inputs and outputs are adjusted to account for the environmental effects and the statistical noise identified in the second stage, and the stage 1 model is used again to re-evaluate bank efficiencies. The empirical results are as follows. First, the mean efficiency is 0.646 in the first stage. Second, the more branches of the banks, public banks, financial holding companies, listed and OTC banks, and the longer of the banks’ established years have the excess input slacks, excess undesirable slacks, and the shortage of the output slacks. Finally, the mean efficiency is 0.565 in the third stage which is less than the stage 1, and the efficiency of the stage 1 and the stage 3 has significant differences by using the Wilcoxon signed ranks test.