資產品質對銀行成本效率的影響

Abstract

本研究主要針對國內商業銀行的成本效率進行分析，研究動機源自於對一篇名為「新巴塞爾協定對銀行經營效率的影響－以三大風險為例」(2006)論文所做的一項結果，該文所估出的銀行效率排名與本文對國內銀行經營績效的認知有重大分歧，本文進而對銀行近年來的經營成本效率進行進一步的分析，以找出造成差異的可能之處。本文認為放款品質的考量與否將對銀行成本效率的測度產生極重大的影響，故本文透過兩種比較分析，一種是沒考慮到銀行放款品質的成本模型，另外一種則是考慮銀行放款品質的成本模型。採用縱斷面資料，期間為2002~2005年的年資料，樣本數總共116個，經過一階段隨機邊界成本模型分析，發現沒考慮銀行放款品質的成本模型所估出的成本效率與「新巴塞爾協定對銀行經營效率的影響－以三大風險為例」(2006)該文所估出的成本效率大致雷同，但與實際觀察到的現象並不一致，然而在納入放款品質的考量之後，所得出的成本效率則與實際現象更為接近。

The main research of the paper is on cost-efficiency of domestic commercial bank. The study motivation stem from a result of the paper “The influence of new Basel protocol to bank’s cost efficiency－taking account into three major risks”. The estimated cost-efficiency rank of bank in the article is much different from the cognition in the business performance of domestic banks with this text. This text carries on further analysis of banks in recent years of cost efficiency in order to find out the difference. According to the research of this text, loan quality will has a great influence on the measurement of cost efficiency of bank. Through comparative analysis, one cost model takes loan quality into account, while the other does not. With one-step stochastic frontier cost model including 116 samples data(2002~2005), the result of cost model taking loan quality into account is more reasonable and is close to true situation.