過去文獻大多使用Lerner指數來衡量銀行業之市場競爭度，但在計算過程中有可能出現其值為負之問題。為解決上述問題，本文運用關聯結構函數建立聯立隨機邊界模型，它由銀行成本邊界與兩條產出價格邊界所組成，可以同時衡量放款市場及投資市場之市場競爭度與成本效率。另外，為比較西歐五個國家的銀行市場競爭度與成本效率，本文進一步採用Huang et al. (2014)所提出的新隨機共同邊界模型，此模型除使用共同成本邊界計算技術缺口比率外，還透過產出價格共同邊界衡量潛在Lerner指數，進一步拆解成Lerner指數與MC gap ratio (MCGR)兩部分，可以比較不同國家間的市場競爭程度。 / This paper proposes the copula-based simultaneous stochastic frontier model (CSSFM), composed of a cost frontier and two output price frontiers for the banking sector, in order to measure cost efficiency and market power in the markets of loans and investments. The new Lerner index can be estimated by relying on the simultaneous equations model, consisting of three frontier equations, which avoids obtaining negative measures of the Lerner index. We then apply the new meta-frontier model to simultaneously estimate and compare cost efficiency and market power across five countries over the period 1998-2010. The salient feature of our proposed approach is that it allows for calculating the technology gap ratio on the basis of the cost frontier, as well as evaluating the potential Lerner index from price frontiers, which can be decomposed into the country-specific Lerner index and marginal cost gap ratio.

綜觀國內外探討金融產業經營效率之相關文獻，多數針對銀行、證券、保險中其一產業進行獨立實證研究，較無法將金融控股之綜效表現加以捕捉並體現在估計效率值中，也因此在本文中，將同時涵蓋銀行業務與證券業務，並以納入金控體制與否加以區分為不同子集合進行探討，透過數理方法聯結金控體制下銀行與證券業務部門兩者間因多角化經營所產生之綜效，以修正傳統方法上表現綜效法上之不足，使估計效率值具有更高的參考依據。 此外，研究產業效率所參考之研究方法，在相關文獻中無參數法乃以資料包絡分析法(Data envelopement analysis, DEA)為多數研究者所採用；參數法則以隨機邊界模型(stochastic frontier approach, SFA)為主要研究方法，進一步在不同群組技術效率之比較中，Battese et al. (2004) 與 O’Donnell et al. (2008)提出為多數研究者所接受之共同邊界模型(Metafrontier)，而Huang et al. (2013)所提出之修正模型使共同邊界模型在效率研究上更加完備，本文則希望以此修正模型作為主要研究模型，並同時引用Battese et al. (2004)傳統模型加以比較：(1)考慮綜效前後 (2)傳統模型與修正模型間效率值的差異，期待為後續相關研究者在方法論上提供參考依據。 關鍵字：經營效率、技術效率、共同邊界、計量方法、關聯結構法、金融控股銀行 / This study aims to discuss the evidence suggested that synergy improve the operating performance of Taiwan’s commerical banks and securites firms. Furthermore, efficiency comparisons amongst two basis metafrontier models, Haung et al.(2013) and Battese et al.(2004), and copula-adjusted metafrontier. The empirical results suggest that copula-adjusted metafrontier could significantly improve the efficiency of financial holding companies based on the data of sample period 2001-2012. On the framework of copula-adjusted metafrontier, the evidence also imply that financial holging companysubsidiary technical efficiency is better than non-financial holding company compared to the framework of Haung et al.(2013) and Battese et al.(2004), the conclusion emphasis that synergy is perhaps one crucial key factor influenced the efficiency estimation. Otherwise, this study appears to support the copula-adjusted metafrontier model is also well-adjusted compared to programming techniques because not only it enables the statistical inferences to be drawn, but also provides more efficiency estimations.

金融監理制度影響一國商業銀行經營績效的相關議題，一直受到學者與政府當局的重視，為瞭解亞洲地區銀行業在中央銀行與監理單位不同管理下的利潤效率，找出最適的制度設計，本研究根據Huang、Huang與Liu（2014）提出之隨機共同利潤邊界（stochastic meta-profit frontier），採用兩階段估計法，蒐集中國大陸、香港、印度、日本、韓國、馬來西亞、巴基斯坦、菲律賓、新加坡、斯里蘭卡、泰國以及阿拉伯聯合大公國等十二國商業銀行資料，分成開發中和已開發國家兩個群組，將環境變數納入無效率模型中，進行實證分析，比較不同群組的利潤效率差異，發掘影響效率的主要變數與方向，從而獲得重要政策意涵。 根據實證分析結果，中央銀行介入銀行監理程度越高，商業銀行利潤效率越低；金融監理單位整合程度越高，商業銀行利潤效率越高；中央銀行獨立程度越高，商業銀行利潤效率越低；已開發國家群組的平均技術缺口比率與共同邊界技術效率值皆高於開發中國家群組，符合預期。共同利潤效率最高的是日本，最低的是韓國。平均而言，各國若在共同利潤邊界上從事生產，能提升41.9%至75%的利潤。 / The effects of degrees of financial supervision on performance of commercial banks have long been important issues and drawn much attention to academic researchers and government authorities. This study applies the stochastic meta-profit frontier, recently developed by Huang, Huang, and Liu (2014), to estimate and compare profit efficiencies of commercial banks from 12 Asian countries, i.e., Mainland China, Hong Kong, India, Japan, South Korea, Malaysia, Pakistan, Philippines, Singapore, Sri Lanka, Thailand, and United Arab Emirates. We divide the sample countries into two groups, i.e., developing and developed countries. This enables us to further investigate the effects of different supervisory systems, enforced by central banks (CB) and supervisory authorities, on commercial banks’ profit efficiencies, as well as to make a suggestion about the optimal supervision regimes in the area. Note that a set of supervisory indices are considered as environmental variables that explain profit inefficiency. Using the two-stage estimation procedure, the empirical results are summarized as follows. First, it is found that bank’s profit efficiency decreases with the increase in a CB’s supervision sectors. Second, the unification of supervisory authority has positive effect on bank’s profit efficiency. Third, the more independent is the CB, the less profit efficient the commercial bank is. Fourth, banks in the group of developed countries are found to have higher technology gap ratios and meta-profit efficiencies than those in the group of developing countries, as expected. Fifth and finally, Japan and South Korea has the highest and the lowest level of meta-profit efficiency, respectively. Evidence is found that if an average commercial bank were adopting the best technology, it can earn roughly 41.9% to 75% more profits than otherwise.