波動度對於金融市場影響甚多，同時為金融資產定價的重要參數以及市場穩 定度的衡量指標，尤其在金融危機發生時，波動度指數的驟升反映資產價格震盪。 本篇論文嘗試捕捉S&P500 指數實現波動度與VIX變動率未來之動態，並將VIX、 VIX 選擇權與VVIX 納入預測模型中，探討其資訊內涵。透過研究S&P500 指數 實現波動度，能夠預測S&P500 指數未來之波動度與報酬，除了能夠觀察市場變 動，亦能使未來選擇權定價更為準確；而藉由模型預測VIX，能夠藉由VIX 選 擇權或VIX 期貨，提供避險或投資之依據。文章採用2006 年至2011 年之S&P500 指數、VIX、VIX 選擇權與VVIX 資料。 在 S&P500 指數之實現波動度預測當中，本篇論文的模型改良自先前文獻， 結合實現波動度、隱含波動度與S&P500 指數選擇權之風險中立偏態，所構成之 異質自我回歸模型(HAR-RV-IV-SK model)。論文額外加入VIX 變動率以及VIX指數選擇權之風險中立偏態作為模型因子，預測未來S&P500 指數實現波動度。 研究結果表示，加入VIX 變動率作為S&P500 指數實現波動度預測模型變數後， 可增加S&P500 指數實現波動度預測模型之準確性。 在 VIX 變動率預測模型之中，論文採用動態轉換模型，作為高低波動度之 下，區分預測模型的方法。以VIX 過去的變動率、VIX 選擇權之風險中立動差 以及VIX 之波動度指數(VVIX)作為變數，預測未來VIX 變動率。結果顯示動態 轉換模型能夠提升VIX 預測模型的解釋能力，並且在動態轉換模型下，VVIX 與 VIX 選擇權之風險中立動差，對於VIX 預測具有相當之資訊隱涵於其中。 / This paper tries to capture the future dynamic of S&P 500 index realized volatility and VIX. We add the VIX change rate and the risk neutral skewness of VIX options into the Heterogeneous Autoregressive model of Realized Volatility, Implied Volatility and Skewness (HAR-RV-IV-SK) model to forecast the S&P 500 realized volatility. Also, this paper uses the regime switching model and joins the VIX, risk neutral moments of VIX options and VVIX variables to raise the explanatory ability in the VIX forecasting. The result shows that the VIX change rate has additional information on the S&P 500 realized volatility. By using the regime switching model, the VVIX and the risk neutral moments of VIX options variables have information contents in VIX forecasting. These models can be used for hedging or investment purposes.

我國國立高級中等學校實施校務基金之目的除了提升績效外，尚期以增進各校自籌財源之動力，以減輕政府財政負擔，自2007年起開始實施校務基金後之績效為何?值得進一步探討。 本研究係以資料包絡分析法評估各國立高級中等學校2010年至2012年的經營績效，並運用麥氏指數衡量其跨期效率變動情形，最後以Tobit迴歸分析，探討外在環境變數對校務基金實施績效之影響。實證研究結果如下： 一、總技術效率分析：2010、2011及2012年平均總技術效率值依序為0.712、0.714、0.705，表示各該年度尚有28.8%、28.6%及29.5%的效率改善空間。若將各國立高級中等學校依照類別區分，普通高中平均總技術效率表現最佳，綜合高中的表現比職業學校佳，特教學校最差。 二、純技術效率分析：2010、2011及2012年平均純技術效率值依序為0.768、0.781、0.771，表示各該年度尚有23.2%、21.9%及22.9%的效率改善空間。普通高中平均純效率表現最佳，綜合高中的表現比職業學校佳，特教學校最差。 三、規模效率分析：2010、2011及2012年平均規模效率值依序為0.923、 0.908、0.908，表示各該年度尚有7.7%、9.2%及9.2%的效率改善空間。2010年以職業學校表現最佳，2011年以綜合高中表現最佳，2012年度以普通高中表現最佳。特教學校在三個年度的平均規模效率均為最差。 四、麥氏指數分析：2010至2012年度之總要素生產力變動值均小於1，呈現衰退現象， 2010至2011年度及2011至2012年度二個跨期均呈現衰退。 五、Tobit迴歸分析：除實施校務基金的年限無顯著影響外，學校區位、校舍面積及學校成立年限等三項外在環境對學校的經營績效均具有影響。 / The purpose of national senior high schools in Taiwan implementing National Senior High Schools Operation Fund is not only improving performance, but also enhancing the schools’ self-motivation of the financial resources to reduce the fiscal burden of government. How is the performance of implementing National Senior High Schools Operation Fund since 2007?It is worthy of further study. This study is based on Data Envelopment Analysis to evaluate the operating performance of national senior high schools from 2010 to 2012. In addition, this study uses Malmquist Index to measure the efficiency changes. Finally, Tobit regression analysis is used and tried to find effects of the external environment variables on the implemenetation performance of National Senior High Schools Operation Fund. The findings of this study are as follows: 1.Overall technical efficiency analysis：the average value of the overall technical efficiency is 0.712、0.714、0.705 in sequence of year 2010、2011 and 2012, and it means that the efficiency improvement is 28.8%, 28.6% and 29.5% each year. If we evaluate the performance of national senior high schools by category, the general high schools are the best, the comprehensive high schools are better than vocational high schools, and the special education schools are the worst. 2.Pure technical efficiency analysis.：the average value of the pure technical efficiency is 0.768、0.781、0.771 in sequence of year 2010、2011 and 2012, and it means that the efficiency improvement is 23.2%、21.9% and 22.9% each year. The general senior high schools are the best, the comprehensive senior high schools are better than vocational senior high schools, and the special education schools are the worst. 3.Scale efficiency analysis: the average value of the scale efficiency is 0.923、 0.908、0.908 in sequence of year 2010、2011 and 2012,and it means that the efficiency improvement is 7.7%、9.2% and 9.2% each year. The best performance is the vocational senior high schools in 2010, the comprehensive senior high schools in 2011, and the general senior high schools in 2012, the special education schools are the worst in all three years. 4.Malmquist Index analysis: the value of the total factor productivity change is totally less than 1 from 2010 to 2012, and shows the recession .And the inter-temporal total factor productivity changes show the recession from 2010 to 2011, and 2011 to 2012. 5.Tobit regression analysis: there is no significant impact in the factor of the years of the National Senior High Schools Operation Fund, but the external factors such as the size, the history, and the location of the schools, would affect the performance of national senior high schools.

不景氣的年代，民間企業裁員、減薪或強迫員工休無薪假的事件層出不窮，襯托出公職相對起薪高、福利制度健全，任職免職程序有政府法令保障。在公職逐漸被當前的社會氛圍視為是兼具地位及幸福的工作時，愈來愈多的民眾競相投入公務人員的考試，而競相爭捧鐵飯碗的現象，也成為近期媒體報導的新聞焦點。 惟前述種種的論述都仍停留在主觀的聯想及推論上，國內鮮少針對經濟變數與公務人員考試錄取率間之關係，建立統計實證模型進行客觀量化分析。基於這樣的時空背景及社會氛圍，本研究遂以客觀的高普考錄取率表示公務人員考試競爭程度，觀察經濟環境變數對其造成的影響，是否誠如媒體所言，當景氣愈差時，公職考試就愈熱門的現象。 經過實證模型分析後，發現影響經濟變數對高考錄取率較普考錄取率變動數的影響較為顯著，包括：當期或前期的高考薪資占民間薪資比、當期或前期的失業率、前期臺股指數變動數、當期或前期臺股指數標準離差率以及時間趨勢等解釋變數，並且各自存在不同程度的影響及合理的正負關係。而普考錄取率變動數部分，僅受當期普考薪資占民間薪資比、前期失業率及時間趨勢等變數所影響。 本文最後，提出針對可能影響民眾報考公務人員的重要因素，提出相應政策建議，以期抒緩公職考試過熱的現象並精進政府政策。 / Recession-era, layoffs, pay cuting, and forcing employees to take unpaid leave are more and more in private sector, highlight the work of public sector is high starting salary, benefits sound system, and having protection by law in appointment and dismissal. More people want to participate in civil service examination, then civil service examination craze has become the focus of recent news. Provided the foregoing various opinions are still subjective conjecture, almost no study about relationship between economic variables and the qualification rates of civil service examination in domestic studies. In this context, this study used a senior and junior civil service examination qualification rates to represent the competitive of civil service examination, and to observe the effects of economic variables on the qualification rates of civil service examination, if consistent with the media reports, the worse economy is, the less qualification rates of civil service examination will be. After empirical model analysis, we found that the effects of economic variables on the qualification rates of senior civil service examination are more significant than the changes of the qualification rates of junior civil service examination. Finally, make recommendations to relief civil service examination craze.

在台灣，未來很有可能帶領台灣高科技產業向上突破的新英雄---薄晶電晶體液晶顯示器（TFT-LCD），已逐漸為人所重視，近來，TFT-LCD產業的更是利多頻傳，不但在股票成交量創下新高，股價更是一再突破新高。本文則是希望以資料包絡分析法(DEA)來比較分析台灣各家廠商（友達、華映、奇美電、廣輝、彩晶）的相對經營績效，研究範圍從2001年第四季一直到2004年的第一季，所採用的投入變數即為資產總額、營業成本、營業費用和員工人數，產出變數我們則採用營業收入和營業淨利。 總結來看，廠商在CCR和BCC模式下，雖然在平均排名上，兩個模式並不盡相同，但由時間趨勢來看，五家廠商在趨勢變動上，大致是一樣的；效率值表現較好的時期為2002Q1、和2002Q2和2004Q1，較差的則為2002Q4和2003Q1，推測其原因，一部分當然是和景氣的波動有關，但也和面板的價格波動有一定程度的相關。 藉由Tobit 迴歸分析，意味著廠商可藉由提高每人配備率、總資產週轉率、流動比率、研發費用率及經營年限等變數，可提昇廠商的整體技術效率，提供了一些政策方向供廠商參考。 以Malmquist生產力指數來看，總要素生產力的變動（Tfpch）大部分的因素，是來自於生產技術的變動(Tech）；彩晶在總要素生產力的變動上，平均有16.8%的成長，是第1名，其他的廠商則呈現不大的差別；但若以時間趨勢來看，2001Q4到2002Q1和2003Q1到2003Q2兩各階段都有滿大的成長，但在2002Q2到2002Q3和2002Q3到2002Q4兩個階段卻呈現衰退的表現。 / In Taiwan, TFT-LCD, which is likely to lead high-tech to strive upward in the future, has been receiving more and more attention. Recently, TFT-LCD industry has come into great blossom. Not only does the stock transaction amount achieve a record-breaking peak, but the stock price also makes breakthroughs at all times. This research is to use Data Envelopment Analysis(DEA) to compare and analyze the relative operating efficiency of chief leaders in the high-tech industry, including AUO, CPT, CMO, QDI to HannStar. The research ranges from the 4th quarter in 2001 to the 1st quarter in 2004. The researcher adopts input variables, which include total assets, business costs, business expenses and employees, and output variables, business revenues and business net profits, as well. On the whole, in spite of CCR and BCC model, the average order is different, but approximately similar. The quarters, which perform well, are the 1st quarter in 2002 and the 1st quarter in 2004; the bad quarters are the 4th quarter in 2002 and the 1st quarter in 2003. To speculate reasons, it has to do with the business cycle and panel board price fluctuation. Under the frame, by use of Tobit analysis, factories can strengthen total technology efficiency by raising equipment per employee, total asserts turnover, current ratio, R & D ratio, and the period of operating. It provides these factories a referential direction. In conclusion, according to Malmquist index analysis, the Tfpch is the better part from the tech. HannStar, with 16.8% average growth in Tfpch, is the top one. The other factories are nearly close. In the time period, from the 4th quarter in 2001 to the 1st quarter in 2002, and from the 1st quarter in 2003 to the 2nd quarter in 2003, the other factories has a high growth, but from the 2nd quarter in 2002 to the 3rd quarter in 2002 and from the 3rd quarter in 2002 to the 4th quarter in 2002, there is a decline in growth.

共變數的值會隨著時間而改變時，我們稱之為時間相依之共變數。時間相依之共變數往往具有重複測量的特性，也是長期資料裡最常見到的一種共變數形態；在對時間相依之共變數進行重複測量時，可以考慮每次測量的間隔時間相同或是間隔時間不同兩種情形。在間隔時間相同的情形下，我們可以忽略間隔時間所產生的效應，利用分組的Cox模式或是合併的羅吉斯迴歸模式來分析，而合併的羅吉斯迴歸是一種把資料視為“對象 時間單位”形態的分析方法；此外，分組的Cox模式和合併的羅吉斯迴歸模式也都可以用來預測存活機率。在某些條件滿足下，D’Agostino等六人在1990年已經證明出這兩個模式所得到的結果會很接近。 當間隔時間為不同時，我們可以用計數過程下的Cox模式來分析，在計數過程下的Cox模式中，資料是以“對象 區間”的形態來分析。2001年Bruijne等人則是建議把間隔時間也視為一個時間相依之共變數，並將其以B-spline函數加至模式中分析；在我們論文的實證分析裡也顯示間隔時間在延伸的Cox模式中的確是個很顯著的時間相依之共變數。延伸的Cox模式為間隔時間不同下的時間相依之共變數提供了另一個分析方法。至於在時間相依之共變數的預測方面，我們是以指數趨勢平滑法來預測其未來時間點的數值；利用預測出來的時間相依之共變數值再搭配延伸的Cox模式即可預測未來的存活機率。 / It is so called “time-dependent covariates” that the values of covariates change over time. Time-dependent covariates are measured repeatedly and often appear in the longitudinal data. Time-dependent covariates can be regularly or irregularly measured. In the regular case, we can ignore the TEL(time elapsed since last observation) effect and the grouped Cox model or the pooled logistic regression model is employed to anlalyze. The pooled logistic regression is an analytic method using the“person-period”approach. The grouped Cox model and the pooled logistic regression model also can be used to predict survival probablity. D’Agostino et al. (1990) had proved that pooled logistic regression model is asymptotically equivalent to the grouped Cox model. If time-dependent covariates are observed irregularly, Cox model under counting process may be taken into account. Before making the prediction we must turn the original data into“person-interval”form, and this data form is also suitable for the prediction of grouped Cox model in regular measurements. de Bruijne et al.(2001) first considered TEL as a time-dependent covariate and used B-spline function to model it in their proposed extended Cox model. We also show that TEL is a very significant time-dependent covariate in our paper. The extended Cox model provided an alternative for the irregularly measured time-dependent covariates. On the other hand, we use exponential smoothing with trend to predict the future value of time-dependent covariates. Using the predicted values with the extended Cox model then we can predict survival probablity.

量子擾動及挫折性兩者均可破壞絕對零溫的磁序，為近代凝態物 理關注的有趣現象。在外加橫場下的三角晶格易辛反鐵磁兼具量子臨 界現象(quantum criticality)及幾何挫折性，可謂量子磁性物質之一典 範理論模型。本論文利用平衡態及非平衡態量子蒙地卡羅(quantum Monte Carlo)方法探測三角晶格易辛反鐵磁之量子相變，其界定零溫 時無磁性的順磁態及具 Z6 對稱破缺的有序態(所謂時鐘態)。這裡的 量子蒙地卡羅方法為運用算符的零溫投射(zero-temperature projector) 及隨機序列展開(stochastic series expansion)演算法。在非平衡模擬 中，我們分別沿降溫過程及量子絕熱過程逼近量子相變點，藉此我們 得到動力學指數，及其它相關臨界指數。 / The destruction of magnetic long-range order at absolute zero temperature arising from quantum fluctuations and frustration is an interesting theme in modern condensed-matter physics. The triangular lattice Ising antiferromag- net in a transverse field provides a playground for the study of the combined effects of quantum criticality and geometrical frustration. In this thesis we use quantum Monte Carlo methods both in equilibrium and non-equilibrium setups to study the properties of the quantum critical point in the triangular lattice antiferromagnet, which separates a disordered paramagnetic state and an ordered clock state exhibiting Z6 symmetry breaking; The methods are based on a zero-temperature projector algorithm and the stochastic series ex- pansion algorithm. For the non-equilibrium setups, we obtain the dynamical exponent and other critical exponents at the quantum critical point approached by slowly decreasing temperature and through quantum annealing.

隨著各行各業的飛速發展、科技的不斷進步，一般的公司行號、工廠及現代化的建築對於電力需求大大增加。但是在有限的電力資源下，有時候一到用電高峰時期，很難滿足各行各業的用電需求，因此難免會出現很多地方在用電高峰期跳電的情況。電力公司為了更加有效的分配電力，提出所謂時間電價的概念，和用戶實現簽訂各自的契約容量，將這個契約容量作為每個月分配給各個用戶的最大電量標準。對於用戶來說，若選擇相對較低的契約容量，其所需要負擔的基本電費會較低。然而，當用電量超過契約容量時，用戶可能需要支付非常高額的罰款；若選擇相對較高的契約容量，雖然其支付高額罰款的機率會降低很多，但是所需要負擔的基本電費會增多。因此，對於電力公司和用戶而言，使用時間電價系統，來選擇一個適當的且最佳化的契約容量，已然成為一個非常重要的課題。本文介紹如何用分形布朗運動的模型，來描述用戶用電量趨勢，同時介紹了如何估計分形布朗運動模型中的各個參數。本文也介紹如何建立每月總電費期望值的估計方程式，並利用估計出來的用電量分形布朗運動模型來搜尋最佳化的契約容量。最後，本文以美國密西根州的安娜堡的居民住宅大樓用電量為數據資料作為研究的實例，進一步的提出並論證了選擇最佳化契約容量的方法。 / Over the last few decades, the advances in technology and industry have significantly increased the need of electric power, while the power resource is usually limited. In order to best control the power usage, a so-called Time-of-Use (TOU) pricing system is recently developed so that different rates over different seasons and/or weekly/daily peak periods are charged (this is different from the traditional pricing system with flat rate contracts). An important feature of the TOU system is that the consumers have to pre-select the power contract capacities (i.e. the maximum power demands claimed by consumers over different pricing periods) so that the electricity tariff can be calculated accordingly. This means that risk is transferred from the retailer side to the consumer side -- one has to pay more if a larger contract capacity is selected but can potentially mitigate the penalty charge placed when the maximum demand exceeds the contract level. In this thesis, a general stochastic modeling framework for consumer's power demand based on which the contract capacities of a Time-of-Use pricing system can be best selected so as to minimize the mean electricity price. Due to the observed nature of self-similarity and time dependence, the power demand over a homogeneous peak period is modeled as a constant mean with the noise described by a scaled fractional Brownian motion. However, the underlying optimization problem involves an intricate mathematical formulation, thus requiring techniques such as Monte Carlo simulation and numerical search so as to estimate the solution. Finally, a real data set from Ann Arbor, Michigan along with two pricing systems are used to illustrate our proposed method.

政府入口網站含蓋了眾多提供公共服務的網站，讓民眾或企業進行相關業務的辦理、資訊的查詢以及進行交易等行為。全國或是全球需要使用到政府服務，例如政府採購等之使用者皆是政府入口網站之服務對象。因此政府網站在資料流量含量方面較之於一般商業網站更為可觀，亦包含了電子商務性質。在此狀況下，政府角色亦已逐漸從管制調適為服務。就政府體策略或執行計畫而言，實施知識管理除可使行政單位的工作效率提昇，行政流程時間縮短，更可避免重覆錯誤及誤判訊息之可能。 　　本研究主要以行政院公共工程委員會目前所推行之『政府採購電子化』計畫為研究對象，冀於對未來五年能達到政府採購作業全面電子化提出建議。本研究之目標係分析研擬「政府電子採購入口網站」之關鍵成功因素，從而由「政府採購電子化」計畫現行系統歸納出具綜效之整合型「政府電子採購入口網站」功能架構，其工作內容如下： 　　1. 歸納、分析現行各系統及政府採購法推動之問題。 　　2. 瞭解國內政府入口網站之推動情形，分析企業資訊入口網站解決方案現況。 　　3. 利用分析層級程序法（Analytic Hierarchy Process，簡稱ＡＨＰ）歸納出三分類專家，包括工程會內部專家、公部門專家、產業界及學界專家所認為的「政府電子採購入口網站」之關鍵成功因素，同時也分析資訊職務與非資訊職務專家觀點之相異點。 　　4. 根據歸納出來之關鍵成功因素與內部需求，提出具建設性之「政府電子採購入口網站」功能架構雛形，建議工程會推動「政府採購入口網站」提供之功能依據。 　　本研究AHP法研究結果如下： 　　1. 本研究中之各類專家一般認為內在因素比外在環境因素之權重大。 　　2. 第三層關鍵成功因素包括知識管理機制之健全化、政策及法制配合度、使用者服務機制、資訊系統與營運。整體而言，工程會內部專家與產業界及學界專家兩類專家較重視政策及法制配合度構面因素，而公部門專家比較重視資訊系統與營運構面因素。資訊職務專家較重視政策及法制配合度構面因素，非資訊職務專家比較重視資訊系統與營運構面因素。 　　3. 整體最底層關鍵成功因素排名前七項分別為高階長官的參與和支持並訂定明確的目標、即時配合實際狀況，修正、鬆綁法規、充裕的資源配合、提昇法令約束力之效力、提供快速回應問題之機制、介面具親和力、操作流程循序簡單、提供高度的可靠性與穩定性。 　　本研究最後逐一對專家深入訪談、工程會需求訪談、企業資訊入口網站解決方案及關鍵成功因素AHP之分析等結果提出結論與建議。 / An e-Government Portal should integrates numerous websites that offer public service, and provides individuals or enterprises with a platform for trafficking, searching information, and conducting transactions. Thus, all the users, that need to access government service and government procurement information, are potential customers of the e-Government Portal website. Hence, the e-Government Portal website, with e-Commerce quality, has more enormous data flow and database contents in comparison with simple e-Commerce sites. Last but not least, the role of e-Government Portal website is turned gradually into a service provider from its simple transition role of inspection. 　　From government's strategic aspect, actions regarding knowledge management can not only improve the efficiency and streamline the administrative procedures, but also avoid the crisis of repeating failures and misleadings of messages. 　　The object of this research is the Electronic Procurement Plan, which was established and promoted by the Public Construction Commission (PCC) of The Executive Yuan, R.O.C. The goal of the Electronic Procurement Plan is to accomplish the electronic commerce of the government procurement entirely in five years. This study aims to find out the critical success factors (CSF) for the Government Electronic Procurement Portal Website, and to carry out a functional architecture for the synergic Government Electronic Procurement Portal Website via the following working packages : 　　1. to analyze and formulate the problems of promoting the electronic government procurement system and the government procurement law. 　　2. to discuss the ongoing domestic promotion programs of the e-Government Portal websites and analyze the status quo cases of the Enterprise Information Portal (EIP) solution. 　　3. to analyze and compare the critical success factors of the Government Electronic Procurement Portal Website of various expert viewpoints through Analytic Hierarchy Process (AHP) method. The experts come from the PCC internal public servants, public servants from other government agencies as well as industrialists and scholars. On the other hand, the different viewpoints between the IT background experts and non-IT background experts are also compared. 　　4. to summarize constitutive functional architecture for the Government Electronic Procurement Portal Website according to the resulted CSF and the PCC internal requirements. 　　The results of AHP analysis can be stated as following: 　　1. The internal factors outweigh external factors. 　　2. The third-level of factors of AHP architecture includes the solidity of knowledge management, the compatibility of policies and laws, the user service mechanism and the information systems and operations. Generally, the PCC internal public servants, industrialists and scholars pay more attention to the compatibility of policies and laws than the other public servants that put a lot of emphasis on the information systems and operations. The IT background experts value the compatibility of policies and laws, whereas the non-IT background experts emphasize the information systems and operations. 　　3. The top seven priority factors of the rock-bottom level factors include the involvements and endorsements of the top executives and establish the clear goals, the instantaneous emendation and relaxation of the laws, the compatibility of abundant resource, the effectiveness of promoting the law's constraint force, friendly interface and easily sequential operation flow and high reliability and stability. 　　At last, this research leads to the conclusions and suggestions in regard to in-depth experts interviews，PCC internal requirement investigations, EIP solutions and the AHP CSF analysis.

本論文對於醫療市場的生產績效研究，係由兩篇獨立的學術研究報告所組成，研究重點在於利用非參數資料包絡分析方法 ( nonparametric DEA approach )，估計醫院的生產技術，以衡量醫院的技術效率及不同年度間之生產力變動，進而分析不同醫院間，生產績效差異的主要原因。本論文所採用的研究方法與探討的主題，不同於國內既有的相關文獻。 第一部分：生產不確定性與醫院效率 本部分主要探討在醫院面對不確定性時的效率評估。一般而言，醫院有兩種生產上的不確定性來源：醫師或醫院的診療結果所導致的生產不確定性；及消費者對醫療服務需求的不確定性 (Arrow, 1963)。當醫院面對生產不確定性時，醫院效率將與廠商如何處理不確定性問題有關，亦即，當廠商事前規劃愈縝密，未來可能的產出失靈水準愈低，則其生產效率表現愈佳。本文利用民國 82 及 83 年（準）醫學中心與（準）區域醫院資料，模擬醫院在面對生產不確定性時，各種可能的產出失靈水準，以chance constrained DEA 模式 (Land, Lovell and Thore, 1993) 估算醫院的隨機技術效率，並與傳統、確定性的DEA模式所得到之結果，做一比較。 Chance constrained DEA模式與傳統DEA模式的不同，在於前者估計出的生產前緣，並不總是包絡所有的樣本點，亦即，允許某廠商之產出超越生產前緣或說允許產出失靈可能性之存在，而後者則否。實證結果發現，在chance constrained DEA模式下，私立醫院的技術效率高於公立醫院，且呈現統計顯著性的差異，但兩者間的差異隨著醫院事前準備程度的提高而縮小；而傳統DEA模式也顯示，私立醫院的技術效率確實顯著地高於公立醫院。此外，若產出失靈水準夠低，則chance constrained DEA模式的效率值與傳統DEA模式的效率值，兩者間的分配會呈現統計顯著性差異。 在面對生產不確定性時，欲提升公立醫院的生產效率，應提高廠商事先規劃的程度，才能與私立醫院之生產效率並駕齊驅。一般而言，廠商事先準備的程度高低，與醫院本身的特性有關，因此，欲改善公立醫院緩衝產能的準備程度，以降低產出失靈水準，有必要進行體制層面的改革，亦即，從進行人事變革、財務之授權與彈性化等方向開始做起，如此應可提高公立醫院的生產效率。 第二部分：全民健康保險制度與醫院生產力變動 全民健保實施後，民眾對醫療服務的可近性提高，醫院間的市場結構改變，因此，醫院生產力與效率的提升，成為眾所關切的焦點。為瞭解醫院在全民健保實施後，資源是否有效配置，本部分利用民國 82 至 86 年醫學中心、區域醫院與地區醫院等大小型醫院資料，以範疇DEA模式估計Malmquist生產力變動指標，並將之分解為技術變動、純技術效率變動、及規模效率變動等三項變動來源。 實證結果發現，從82至86年醫院整體平均效率而言，CRS（VRS）生產技術下的平均效率為 66.00%（74.87%），表示不論大小型醫院，平均而言，皆存在技術不效率的情形。再者，在民國84年，亦即全民健保實施的年度，其效率水準明顯較其他年度為低，其餘年度的效率水準都相對較高，此一結果意謂，政策干擾對於醫院效率表現的影響，是短期性的。另外，小型醫院皆較大型醫院不效率，兩者的效率差異呈現統計顯著性；以權屬別而言，不論是大型醫院或小型醫院中的私立醫院，其生產效率均優於公立醫院，且兩者的效率差異呈現統計顯著性。而透過迴歸分析顯示，全民健保實施、權屬別之虛擬變數、佔床率、平均住院日、及以醫院產出衡量的集中度指標等，是影響醫院生產效率的重要因素。 從Malmquist生產力變動（　et al., 1994）來看，平均而言，82-86年間醫院生產力成長率約在 -3.06 % 左右。就生產力變動來源而言，技術成長率（-2.74 %）與整體效率成長率（-0.33 %）均為負，而技術變動則是阻礙生產力成長的主要原因。此外，若以醫院整體效率變動來源來看，平均而言，整體效率退步是由於規模效率變動所致（-0.74%）。 此外，本文著重在　et al.(1994)、Ray and Desli (1997) 及Grifell and Lovell (1998) 三種定義下的Malmquist生產力變動指標之比較。研究結果發現，Grifell and Lovell (1998) 的一般化Malmquist生產力指數，並沒有正確衡量廠商的生產力變動及其變動來源項。而利用Kruskal-Wallis檢定結果發現，三個模式中的生產力變動差異，並不具統計顯著性，而變動來源項（技術變動與規模效率變動）亦顯示相同的結果。 / This dissertation is focused on the efficiency and productivity studies of hospitals in Taiwan. It includes two independent academic papers. The primary intention is to introduce the newly developed ideas in the measurement of efficiency and productivity, rather than to create new ones. The utilization of these ideas has not, however, been discussion in print. And some of the arguments we used and brought together are new regarding to the literature of hospital efficiency and productivity measurement. Utilizing the non-parametric data envelopment analysis (DEA) approaches, efficiency scores and productivity change indexes were estimated. Efforts were made to explain the difference of productivity performance among individual hospitals. Nevertheless, the methods we used and the economic approach behind them distinguish this study from other empirical studies of the medical market. Part I　 Market Uncertainty and Hospital Efficiency This part of the dissertation is focused on the measurement of efficiency of hospitals, incorporating uncertainty. There are stochastic variations in production relationships for hospitals. Generally speaking, the uncertainty of hospitals comes from two major sources: the natural uncertainty of medical cares; and the uncertainty of demands for medical cares (Arrow, 1963). Given the uncertainty in the medical market, the efficiency of hospitals hinges on how decision-makers deal with it. Undoubtedly, an optimal planning of the output buffers improves the efficiency performance. Using the hospital survey data in 1993 and 1994, and employing the chance constrained DEA model (Land, Lovell and Thore, 1993), the stochastic efficiency indexes of public and private medical centers and regional hospitals were estimated. Compared with deterministic frontier enveloping a given set of sample observations all the time, the chance-constrained frontier envelops them most of the time. That is, the chance constrained DEA allows the possibilities of output failure. Imposing different values of output failure probability, the estimation results were compared with the traditional (deterministic) DEA models. The empirical evidences of the chance constrained DEA model showed that, on average, private hospitals performed significantly better than public hospitals. This result matches with the result of the traditional DEA model. With Mann-Whitney U test, we compared the distributions of efficiency indexes under chance constrained DEA and deterministic DEA models. The test results showed that the difference between these two different models is statistically significant given a higher probability of output failure. These results imply that the nature of risk and the manipulation for risk are different for public and private hospitals. We also find that that the efficiency performance of public hospitals could be improved by the increasing of its reserve capacity. Part II　 National Health Insurance and Hospital Productivity Change In this part of the dissertation, we examine the impact of NHI on hospitals, and trace the sources of hospital productivity growth in Taiwan. To pursue our goal, we employ a data consisting of 157 medical centers, regional hospitals and district hospitals over the period 1993 to 1997, and resort to the Malmquist productivity index to measure total factor productivity change. The index could be decomposed into three components: technical change, pure technical efficiency change and scale efficiency change. The estimation technique used in the study is the deterministic non-parametric DEA approach. The results we find are revealing and suggestive to the public and the government in order to promote and assure the efficient delivery of quality health care. The average efficiency scores are 66.00% (74.87%) for CRS (VRS) technology and it means that there are substantial efficiency losses for the sample hospitals during the study period. The efficiency score of the hospitals as a whole in 1995 (the beginning year of NHI) was much lower than the other 4 years' efficiency scores. A censored Tobit regression analysis is used and identifies that NHI policy, ownership, rate of bed occupancy, average length of stay and the output-specific concentration level were all the significant determinants of technical efficiency. Empirical results indicate that most medical care regions became more output-specific concentrated. Total factor productivity on average deteriorated at an annual rate of -3.1%, and it was dominated by substantial technical regresses at an annual rate of -2.74%. The small hospitals were severely affected by NHI. Furthermore, within large and small hospital groups, the difference in technical change was statistically significant, but the differences in TFP and the associated components between ownership were not. Special attention was paid to compare　 et al.(1994), Ray and Desli (1997) and Grifell and Lovell (1998) approaches to decomposing the Malmquist productivity index. Empirical results indicate that the first 2 approaches yield accurate productivity changes, while GL doesn't. However, they produce almost the same magnitude of average TFP. In addition, no significant differences in the measured technical change and efficiency change were found among the three approaches.

本研究有系統地收集了2003年8月12日到2005年9月30日止共495個交易日的台指期貨、選擇權市場裡P/C量、P/C倉、隱含波動率(AIV)、不同天數的歷史波動率等收盤資料，進行這些因素與行情走勢間的關係，以及因素彼此的互動性。結果證實分析台指選擇權指標是需要區分金融重大衝擊前後期間，以及區分漲勢、跌勢、盤整的各期間，各期間的選擇權指標均會有不同意涵。 本論文證實使用結構轉換的Chow-ARMA(2,1)模型可能比較符合模擬指數 實況，且GARCH(1,1) 模型也很適合描述台期指貨波動度預測力。在選擇權指標方面：P/C量與AIV與台指期貨呈現負相關，P/C倉與台指期貨正相關。其中以P/C倉對指數漲跌的影響程度最大、P/C量的影響程度次之、AIV影響程度最小。若把隱含波動率區分成買權與賣權之各個波動率更有效地預測行情走勢，在大跌期間的買賣權隱含波動率更能表現出優越的預測能力，其中前兩期的賣權隱含波動率(PIV)更是效率性指標， 實證結果使用20天的歷史波動率比較能貼近選擇權市場的變化，跟過去教 科書慣用的90天不同。若比較歷史波動率與隱含波動率間的關係，結論是當「大跌期」歷史波動率大於買權隱含波動率(CIV)時，買權是會被低估的，其他的各種假設條件均不成立。理由有二：一是市場效率性決定了是否可使用隱含波動率與歷史波動率之間的高低關係。二是「大跌時期」相對於「大漲時期」的市場資訊被反應的更敏銳，而在「大跌時期」的賣權價格反應比買權價格反應更快速敏銳。 本研究推論的Chow-ARMA(2,1) 台指期貨模型、GARCH(1,1) 波動率模型、P/C量-P/C倉-AIV的多變數模型、FMA20/XIV模型等等在研判指數變化上具有參考價值，進一步均可以做為選擇權操作策略參考依據之一。