Joint Study on Commercial Banks` Risk Preferences and Technical Efficiency in Six East Asian Countries

Abstract

本研究在完全競爭假設下，根據「安全第一」法則發展一套理論模型，用來分析多樣化產出之銀行，面對產品價格不確定狀況下的決策行為，特別適合描述銀行面對風險的態度與生產效率。從東亞六國收集266家商業銀行資料進行實證分析，發現三個遭到亞洲金融風暴嚴重襲擊的國家，平均RRP估計值大約為其他國家的一半左右。金融風暴的出現，促使銀行經理人員不願承擔風險；另一方面，銀行技術效率與風險偏好呈現弱負相關性，表示願意承擔較多風險的銀行，其技術效率水準也較高；除香港銀行業已達到最適規模外，其餘五國銀行業仍在遞增規模報酬階段。

We develop a theoretical model that embodies the safety-first rule under the framework of multiple output prices` uncertainty in a competitive market. The model is particularly suitable to characterize a multi-product bank`s attitudes toward risk and to simultaneously investigate its production efficiency. An empirical study on a sample of 266 commercial banks, collected from six East Asian countries, is performed using the econometric model derived from the theory. The average RRP (Rate of Risk Premium) estimate of the three crisis-hit countries is found to be about half of the same estimate of the remaining countries. The aftermath of the financial crisis is to discourage bank managers from taking risk behavior. A weak and negative correlation between efficiency scores and risk preferences is found, implying that a more risk-taking bank tends to be slightly more technically efficient. In addition, banks in Hong Kong operate at the optimal size, while banks in the rest of sample countries exhibit increasing returns to scale.