亞洲金融風暴對東亞九國銀行產業的風險態度與經濟效率影響之研究

Abstract

本研究考慮多重產出價格風險，可以有效的反應現實環境的不確定性，並突破現有文獻未將產出價格風險考慮之限制。同時把經理人的風險態度與技術無效率納入模型中，求得二條價格迴歸方程式與Translog 成本函數，採用最大概似估計法聯立估計1994 到2003年東亞九國銀行產業之風險態度與技術效率。實證結果得知，受創嚴重國家的銀行經營者較偏好風險，而 1997 年和1998 年相對於其他樣本期間，東亞各國經理人對風險的愛好偏高。泰國銀行的相對效率排行第一。此外，各國銀行產業已達最適規模，而台灣和馬來西亞從事多元化經營較具優勢。

In this study, we jointly consider the multiple output price risk and, production efficiency to analyze the performance of Nine East Asia Countries’ banks. We explicitly model bank managers’ risk attitude based on the safety first rule, under the framework of a two-output translog cost function. The derived three equations are then estimated by maximum likelihood, using a panel data set consisting of over the period 1994-2003. Base on the empirical results, bank managers of the seriously affected countries in the sample tend to be risk lovers, while bank managers of the remaining countries are inclined to be less risk-loving. Evidence is found that banks in Thailand exhibit the highest average technical efficiency level, that constant returns to scale prevails in the banking industry, and that banks in Taiwan and Malaysia exhibit product mix economics, implying that banks in both countries may benefit by providing a variety of the financial products.