預期放款損失與台灣銀行業生產力分析

Abstract

本文以資料包絡分析法衡量2004年至2008年台灣商業銀行之效率與生產力。不同於過去文獻之處，主要是盈餘管理會扭曲呆帳提列與其相關風險指標，故本文修正會計上的呆帳提列方式（沈中華，2005），推估符合事前經濟意涵的預期放款損失以衡量放款風險，並將之作為放款過程中的非意欲產出。本文並利用Ray and Desli(1997)架構拆解Malmquist總要素生產力指數，探討銀行績效變動之來源與效率影響因素。此外，亦將該拆解結果與Färe et al.(1994)拆解方式比較，發現在技術變動部分有明顯不同。

This paper uses Data Envelopment Analysis (DEA) to examine the efficiency and productivity change of Taiwan`s banking industry over 2004-2008. We use the ex-ante economic viewpoint (Chung-Hwa Shen, 2005) to derive the expected losses from loans to measure credit risk, with the expected loan losses modeled as an undesirable output in the estimation of efficiency and productivity. We use a VRS frontier benchmark (Ray and Desli, 1997) to decompose the Malmquist productivity index into three components: pure technical efficiency change, scale efficiency change, and technical change. We compare our results with the decomposition of the Malmquist productivity index by Färe et al. (1994) and find that the estimated technical changes between the two approaches are significantly different. We also identify some factors that significantly influence bank efficiency.