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    题名: Joint estimation of technical efficiency and production risk for multi-output banks under a panel data cost frontier model
    作者: Huang, Tai-hsin;Kao, Tong-liang
    贡献者: 淡江大學保險學系
    日期: 2006-08-01
    上传时间: 2009-10-22 15:40:20 (UTC+8)
    出版者: Springer
    摘要: This article generalizes production risk from a single output production function to a multiple output cost frontier, which is able to examine input-oriented technical efficiencies and production risk simultaneously in the context of a panel data. Furthermore, the joint confidence interval estimates for technical efficiencies are constructed by means of multiple comparisons with the best approach. Whether taking production risk into account or not offers quite dissimilar implications in terms of the average technical efficiency measure and the identification of multiple efficient banks achieving the optimal cost frontier. It is suggested that inferences drawn on the basis of the confidence intervals of technical efficiency provide much more fruitful and insightful information than the point estimation alone. Bank specific risk parameters are found to be highly and positively correlated with fixed-effect estimates, implying that the more risk-averse a bank is, the more technically efficient it will be.
    關聯: Journal of Productivity Analysis 26(1), pp.87-102
    DOI: 10.1007/s11123-006-0007-5
    显示于类别:[風險管理與保險學系] 期刊論文

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