3 4 5 6 7 8 9 : < = > ? @ A B C D E F G H I J K ∗ m n o p q r s t u v r w x y z m n { | q r u v r w } ~ ! " :# $ % & ' ( ) * + , - . / JEL0 1 2 3 :G21 ∗ L M N O :P Q ,R S T U V W X Y Z 4 W \ ,T ] ^ 106V _ ` a b c d e f 1g h i j : (02) 3366-1087;k l : (02) 8369-5817; E-mail: chshen01@ntu.edu.twh
: ; ; <
= = > ? @ [ \ ] ^ _ ` { | “reported cost”,} ~ > provision for loan loss, PLL \ , , ¡ ¢ £ ¤ ¡ ¥ ¦ § ¨ © ª « ¬ ® ¯ ° ± , ² ³ ´ µ ¶ · ¸ > ¹ ¯ ° ± , º » ¼ ½ > } ~ ¾ ¸ > > ? ¿ À “reported cost” Á Â Ã = = > ? Ä Å ³ Æ Ç È É reported PLL° ± Ê Ë ,Ì Í Î Ï Ð , Ñ Ò Ó Ô Õ Ö ,> ? ¿ À “economic PLL”,² ¬ × » Ï Ð Ø Ù ¸ > > ? ¿ À “economic cost” Ú Û , reported cost, economic cost Ä , economic cost × »
¹ , ¯ ° ± , Ú º >
à ® , ! reported cost 19,107" # $ , economic cost% & 41,389" # $ ,º economic cost' ( ) * ^ + 5) ¯ , È - + 22 ) ' ,. / ² 0 1 Ó Ô Ã , 2 3 - 4 Ï 0 1 ,5 6 ¨ 7 > 8
1.
; 9 :; < # $ = % & ' ( ,> ? @ A B = C D E ,F G , - . / provision for loan loss, PLL H I J K L , C M N O P # $ Q R S = T U V W X Y Z [ \ = ; < , ] ^ _ ` a b c d e = f g V _ ` a b f g = , F G Hughes and Mester
1993 h I J K L K i % & j k = l [ , m n o p q ] = a b # $ q r s t A = u v ; Mester 1996 w x y s f & c z { L | } ~ k , a b
# $ = % & ' ( ; Berger and DeYoung 1997 W X ^ = % & ' ( , . B = I J K L ) % & ' ( c f & ( = , % & ' ( I J K L c # $ ¡ ¢ £ ¤ ¥ ¦ = § ¨ © ª V _ ` d e f g = ,F G Jordan 1998 « ` % & ' ( c « ¬ ' ( , ® ¯ ° ± b # $ ² ³ ( I J K L = ´ µ , x ¶ c # $ t A = ; Pas-tor 1999 h , - . / · | ¸ ¨ = ~ k , ¹ º » ¼ ½ % & ' ( V ¾ ¿
e = % & ' ( ; < ,À Á  s Ã Ã Ä ^ = Å Æ V Drake and Hall 2001 h ¥ ¦ K L Ç } # $ = È ¤ k , m n É Ê & # $ = ' ( Ë Ì V Rezvanian and Mehdian 2002 ¹ º Í Î Ï = % & ' ( c ¤ A ' ( V
Ð Ð _ ` Ñ Ò f g ; < % & ' ( = Â Ó ^ ,Ô > C Õ Ö × Ø Î i A B = C D E V F G Ù Ñ Ú 1997 É Û Ü c Ý Ü = % & ' ( ;Þ ß à á â ã Í 1999
i ~ k , % & j k c ~ = ; Shen 2005 ` panel threshold = [ ä h Ñ Ò = å # $ æ ç } è # $ c é ê # $ ´ ë ,> ? @ ì í ´ ë # $ î ï ð = # $ ,m n ¹ º % & ' ( V ñ ò s ^ R S ; < Ñ Ò = % & ' ( ,Ô Y Z ó ; < ð ,ô õ × ö ÷ # $ ,] ÷ = ø o ù ú û ] C ü × , s ó ý þ B ÿ á C ö = ,F G 2002 ; < 1999Á 43÷ Ñ Ò # $ = % & ' ( Ø ,£ ÿ % & ' ( ,² Â s 13 , ò ¾ c ² Y Á I K ³ ( ² h À 30%,Z ó # $ Y b ú û / } # $ H ' ( C = # $ ,ø o B = ' ( ÿ ò Ö V Ð Ð B ÿ C ö H C ê = ÿ , ð ö µ ( ú û ¹ º % & ' ( Ø ,] ÷ õ % & = 3 > C ü × V & , ú x h % & total costs ] æ ç } / ,^ _ ` A B interest cost a b _ ` A B non-interest cost,
oper- 1 ! " # $ % &
' ( ) * + , - .
/ ' (
Jordan 1998
Rezvanian and Mehdian 2002 Bertrand and Stiroh 2003
0 1 2 1997
Berger and Humphrey 1991
3 4 5 ' ( Berger and DeYoung 1997 Kwan 2003
ating expense, or overhead cost c d e f g P h i j I k l L M m n o p q I
Y Z , r > s t u v W A B w b _ ` A B x y 1 , L z { | } ~ Z : ; < A B J K = I A B C D > > ? @ E I P F G R H I \ ] A B ,S T < U V i X I [ \ Z ] ^ _ P ` 8 ,u v | W A B } I { Jordan 1998 a Rezvanian and Mehdian 2002 c ~ 1997 ,r I a
c B P E 7 , E , k l V 7 I | a W ¡ ¢ £ v } ¤ j A B o ] B A B I ¥ ¢ ¦ § ,p ¨ I | a W ¡ ¢ £ v } © I ª > | b _ ` A B c d e f g } P ` ^ ,{ k l « u v | b _ ` A B } , ¬ z { _ ` A B , ® ¯ ¦ § ° ± ² v ³ B I , ´ µ Berger and DeYoung 1997 c Kwan 2003 ,¶ T · ] b _ ` A B > ¸ ¹ º » v ¼ ½ a ¾ ¿ À Á  à I A B , U Ä Å b _ ` A B > Æ A A B Ç C D I Ä È P h µ É 8 Ê ,Ë Ì Í = Ï O E v b _ ` A B c _ ` A B , U u v W A B > Ñ Ò Ó Ô I P Õ Õ Ö r , u v W A B I × Ø , Ù Ë Ì Í Æ A d e f g PLL < = F Û Ü I \ ] Ý Þ ,r PLL> W A B I 8 ß Z , U à á 8 â Æ A W A B F Û Ü P ã ä ,i j I × Ø Ë Ì Í PLL c å æ ç R I M O P 8 è r é , å ê 8 ë · g > ì í Ô I ,h PLL> î ? F I ] accruals , î < = { b ± ï I ð ñ ¾ ¿ ,h ë f g I PLL b ± ~ , w l N I P Q I ,{ E < Z ë ,1) * + , - . / 0 1 2007 1 27 ! " # $ % & ' ( ! " # $ % & ' ( h
1 2 3 4 5 6 , PLL 7 8 9 : ; < = > 7 ? @ ; < = , 7 ) * , A B C D E F G H 3 I J . , K L H PLLM N O P ,2r s t < = I M N O P 3 u v , w x y ) * , z { | } ~ H U > V W X < Y Z , [ \ ] @ Z 1 2 { ^ _ ` H PLL3 3a = b ,c d e @ Z 7 f g h i j ? ,I k 7 f l m n o p q 1 2 ,{ 9 @ | PLL,, } A ~ n H ; l m ,7 B q E H , Z H 1 2 { 9 PLL, 7 f { | } ~ o p 1 2 , a = 7 @ B E H 3 . H , V 3 u @ ,) * , B E \ } ~ * X Z , J . X Z H : ,z \ PLL H 1 2 < , ¡ t < = ; u ¢ ,B E H £ ¤ ¥ ¦ § ¨ © y ª « ¬ ® ¯ H ° ± 3 ² ² ³ ,´ µ 1 2 PLL I ¶ · ¸ ¹ º ¹ » F G H ,r s PLL P ¼ M N ,½ ¾ _ ¿ À Á < = Â ,Ã I ^ Ä r s t < = P ¼ M N 3 f ¹ º Å Æ 2586 ,4 ) * ~ µ , ` @ ) 2002 e ¢ t < = ! b @ H 12,259 " # $ G < 40,968" # $ 3 ² ² % ; H W & ' ,( ) * ¶ t + , - 1,000. ,k 7 J / 0 ) * 1 2 ) 3 4 5 ) 2 PLL,I ^ 6 2 t < = 3 W & 7 8 9 f ª o q : k < = > ? @ , A B C ) * D E 1 2 F G H PLL,H . I , V < 1 2 ) J K L 1 60. PLL M N l m ,O P Q R S T 3 ¡ 4 5 ) U V W X Y 7 −300 . ,3 4 5 ) Z & \ ] H 114. ^ _ H 400` . ^ Ä a 9 < b c 2 PLL3 ² ² t ¡ 5 6 , PLLH d D 1 2 ¶ @ e < t < = H P ¼ M N , 7 f PLL Â g { h S E < = i j { k , PLL I { h S E H < = i j l 3 PLL H Â m , n h 7 ) * o p } q q Q R | l H r Á , s ) * o z À ) @ v t u A 1 Â n H Q R 3 v PLLH m ,w n h 7 J / ) * { x y ¬ q q H Q R \ 3 Ã Â z r } PLL * Q R { C H * / ,r s b | Ã } ¶ b H PLL = ~ 0 6 / “reported PLL” 1 2 < 3 D 4 H PLL = ~ 0 6 / “economic PLL” P ^ 5 6 3 2 Mester 1996 Q PLLR S T U V W X Y Z Ñ N \ ] ^ _ ` ,$ a b c d Z V e f ,g R h PLL V V i j k l m n o \ ] ^ _ ` V p q h 3 m è $ % é ê & ' ë \ :ì í î ï 0% ð ñ ò ó ô î ï 10% ð õ ö ì í î ï 20% ð ÷ ø ù ú î ï 50% û ü ý î ï 100% h 4 # 258Z þ ÿ 7 ( ,8 a 9 h : ; < = > Z 4 ? @ V [ $ \ ] ^ 5%_ ` ,{ ! < | c } ~ \ î ^ 8%_ V BISR ë \ ,_ Z 4 > h
² ² u U c I r } ¢ ´ µ 1 2 b / ^ % H , \ < = i j , V p H * g 3 @ 7 ; } ~ ,` Berger and De-Young 1997 z ; } ~ X / L p 3 p ,A / < = 7 E ; }
~ H w 3 H { , ; } ~ g { 7 @ : H G 3 Jordan 1998 / ; } ~ 0 0 f } ~ 6 v Y , h h f > s H i ¡ ? ¢ £ ¤ , ¥ ^ @ K ¦ H ) * § Y E ¨ \ ^ ^ H p © ª ,. 6 , ; } ~ « / L p , { Y } ¬ < = 4 , w a G ¶ 3 ® _ p ^ ¯ ° 3 @ 7 ± ² ´ µ loss loan reserve, LLR 3 ³ ¡ , LLR7 ´ µ H , < = H ¶ µ g { ^
^ 3 ² ² = ~ H q H f - ! P ¥ y 4 “reported cost” · ¸ ¹ º ) * § H < = i j , · ¸ £ ? 2 H { ^ 3 » « ,= ~ ¼ ½ d + ¾ § 3 ¿ + ¾ § = ¿ b H { ^ 3 À Á Â ´ µ 1 2 _ Ã / ¿ + ¾ § \ 0 H Ä Å j ,¿ + ¾ § H Ä Å j Æ ,, A « ¡ { Ç , H + ¾ § J / ° H ¯ È ,´ µ 1 2 O P ,É , V J / ¹ º ¹ » 3 { Ê Ë J Ì F G , Í Î Ï d ,O Ð Ñ < ¤ m 3 J . ,= ~ 1 t d @ u µ ¬ ¶ b ´ µ 1 2 reported PLL M N H Ò , g Ó Ô Õ , V f : ; 2 ,< / 1 2 < 3 D Ö H ´ µ 1 2 economic PLL 3 4 5 6 ,Á z < = 4 H reported PLL } economic PLL × h ,Ø z economic PLLÙ ¸ t < = , g 0 . / “economic cost”, Ú Û Ó Ã Ä H m Ü i ¡ s ¸ Ý l H Þ p 3 ß à H Ò á â ã 4 5 2005 3 ³ , * < 3 x ä H å m 3 æ ` H · ¸ Î « d < 3 x ä å m H P ç ° 3 u U , < = i j H å m ,è ¸ 7 / d é ¸ ) * ³ : H x ä ,A / n F ê < = i j H a ë 3 ² ² = · ¸ ì ? H í X î ï ? :e ¢ í X 7 economic costH ð Ò < = i j ä ñ ;e : í X 7 N ò ó ;e í X 7 U ô õ Í ;e Y í X w 7 õ ö 3
2.
; ÷ øEconomic Cost
ù ú û ü ý þ ÿ 2.1 Economic Cost& ¸ ¨ « ` economic PLL= , x economic costV ô = , , - . / ú û ¢ × Ø O P # $ * = c K L ô V ò ¾ , Y
= ï ð , S } È ¤ , S } ¤ V í S ,ú û ¢ O P ¨ ) ç = J ) ! " ) # ! " $ # $ ¨ % ¾ w ,Z ó ¨ % Ö Ó & º ' V í S ,( } ) " * º ' ,õ # $ ,+ , I J K L · | § ¨ = - . / 0 1 Ó ê = V G n ö , 2 ú x h I J K L ô = , - . / · % ¤ 3 = V ö 4 , - . / 5 I J K L 3 , 2 ú x « ` 6 ð 7 2005 ð = ´ / - . 3 economic PLLV 5ã 4 5 2005 / J K [ \ T ´ Z P & S 4 £ H m ð ; l m expected loss, EL ,X / Expected Loss1 EL1 3 Expected Loss2 EL2 3
² ² » « ,7 EL1B ¶ µ E í X H ß à 3 ç 7 À } ð Q % Ü X H ; } ~ , å m / R S : ; H ± ² ´ µ T ë E £ H ´ µ 1 2 3 ! 9 U V H ; } ~ 7 ´ µ H ,H < = 7 ¶ µ H , W Á J K s ¸ ] @ ; ¥ L H ; } ~ A ? X 0 / New NPL ,u U á , S Y ? :
New NPLt= NPLt− NPLt−1+ Write offt+ Recoveryt+ Sell offt, (1)
u 4 , Write off/ ´ µ Z 8 ; Recovery/ \ ] 3 ^ j ß à ; Sell off/ { | _ ` 8 a , 3 G H b c y 4 > Ç S 23 . U á H D 4 ? :! 9 U P b ,¥ L H ; } ~ Y E d 7 g X s e ,f À t T g X ,h S h i £ ,³ £ , V H j J 7 í X ) * s í X ; k n l ] @ m n Ñ o p { | _ ` 8 a , ,! 9 ~ q b g n £ r s t à , J . à } g H ¥ L ; } ~ ,Á À } E ) * ¥ L ; } ~ H ³ X × h 3 ² ² Í New NPLt≥ 0 @ | j ,w
New NPLt= NPLt− NPLt−1+ Write offt+ Recoveryt, (2)
Í New NPLt< 0,w New NPLt= min New NPL Total Loans t× Total Loant, (3) 5 8 S 9 : î ï A < õ V = ÿ > ? , õ @ > V Z A , l B A C D V ó E A ,8 F c 2 m Q G R S “measurement error”,H A I J K b c a = ÿ ñ õ V ^ L M # N O h
2 u v w x y z ) * { | } ~ / ' ( Cit reported cost + ' ( * NPL nonperforming loan, + PLL ( LLR Write off ¡ ¢ ¡ ¢ Recovery £ ¤ ¥ ¦ § ¨ © ª £ ¤ + ¦ « Sell off ¬ ® ¯ ¢ ° ± ° ¬ ® ¯ ² ³ Total Loan / ´ ¦ µ ¶ · ' ( ¸ § ¹ º C∗
it economic cost ( + + EL1 + EL2 ' ( −
P1 { » ¼ ½ ¾ 4 5 ¿ ± / À ¼ +Á Â Á +Á Ã Ä Á +Á ) Á +Á ¿ Å Á +Á Æ ¦ Ç Á +Á È É Á P2 Ê Ë » ¼ ½ ¾ Ì { ¿ ± /Í Î Ï z P3 { ( » ¼ ½ ¾ economic cost−4 5 ¿ ± −Ì { ¿ ± / Ð ) { Ñ − Ð ) { Ñ Ò Ó Ô Õ Y1 » { Ö » { +× » { Y2 ´ ¦ µ ¶ · Y3 Ø Ù Ú Û ¼ Ø Ù Ú Û ¼ + Ü Ý Þ ß Û ¼ + à á â ã + ä å æ ç Û ¼ + Ü è Û ¼ { | é ê :1 ë æ ì í Þ { | } î É E ,S T ï ð î I ñ ñ ò ó ] É New NPLI 40%,ô õ f g 40%I d e f g ,6 A R S : ; Y £ H ± ² ´ µ T ë ,W EL1= 40% × New NPLt3 ² ² u v ,7 EL2B ´ µ E í X H ß à 3 ç 7 [ \ H ; } ~ , À } j * g 3 j U á / ± ² ´ µ c A ; } ~ (LLRt/NPLt), ¡ X LLRt = LLRt−1 + PLLt, J . @ Á z PLLt A EL1 h ¬ , + , z 6 40%A " # V c h 2007 3 29 " # 14 9 : î C ë \ V " # (
C o H j S / (LLRt−1+ EL1)/NPLt3 ^ Ä A + { ¶ U V H 40% / j H a ë ,: C o H j 9 40%,h S Ù ¬ EL1´ µ { F ,J K L 2 ´ µ 1 2 Ó X Ø L Ù EL2,Ó j ¾ Y ¸ 40%,J .
EL2= (0.4 × NPLt) − (LLRt−1+ EL1t). (4)
! 9 PLLH P ç [ \ ; l m ,W economic PLL= EL1 + EL23 ³ ,Á z reported cost reported PLL,Ø z Ü g : ; \ ! 1 2 H economic PLL Ù ! , . ,+ , " s economic cost, , * ì ? H < = i j ä ñ H U ô X # 3 Ò ? :
economic cost= reported cost − reported PLL + EL1 + EL2. (5)
2.2 $ % & ' ( )
& ; < unbalanced panel data,* + v ' random effect ,7g r } a ! X 1 distribution free analysis, DFA , ¡ á / translog :8
lnCit = ai+MS mamlnYm,it+ N S nbnlnWn,it+ 1 2 M S m N S namnlnYn,itlnYm,it +1 2 M S m N S nbmnlnWn,itlnWm,it+ M S m N S nabmnlnWn,itlnYm,it+ 4 S q=1cqQq+ εit, (6) u 4 Cith S economic cost;Wnh S : ç Ì M ¬ H . \ ,9 w 0 7 N + M ¬ 7 , c 2 - . / 0 h 8 2 3 4 V f 5 ,6 7 8 & b 9 : 5 ? B 9 : 5 9 V ' h 9 : 5 < = > ? @ A V 8 B ,Q C } V # S ^ L S # 9 : ( frontier ,\ D E F 9 : V " # û C } # S ` V " # ,7 _ _ 3 4 G 2 V H I h 9 : 5 û B 9 : 5 J K A L M N ^ d Z I O P Q & S Z 5 û B Z
5 h Z 5 R S T N ^ d Z I O ,V U Z V W O V translogd Z M # Benston et al., 1982;W
T X , 1997; Rezvanian and Mehdian, 2002Y h H B Z 5 Z m M N ^ d Z I O h
9
> ? ] ^ _ õ ` a 9 : î ï V b c ,g d - ,> ? e V # f E ( V f O Q 9 : î ï V b c g h ÿ ` < õ i b c h > ? & _ j k l ,A 8 S 9 : î ï A b c V m n & , _ > ? o N p
. \ (W1)s t N M ¬ . \ (W2)3 N = M ¬ . \ (W3); Ym h S : t ,w 0 7 u v ; M N (Y1)s } ~ (Y2)3 w x y Z H z ¬ (Y3); Qq w h S { à G ,e q / 1,u | / 03 ² ² a = b ,^ } 9 y 3 M N ,) * < = , V ~ £ H ° ,H < b c H , V £ J f e * ,A f e 6 q P \ Q R H ; , 1999 3 J . \ 9 ) * < = f N ò 6 , V £ M N O P H , = ~ Ù ¬ d { à G Ù A 3 ² ² @ Á y d ,+ , ì * i j H µ ,H f à 6 q ,< 3 x ä scale of economies, SE H i ¡ , I 7 O P ç H @ 3 = ~ 7 ` P t , J . , z ] @ t \ economic cost V H Ù t « / < 3 x ä ,y 4 / SE= S3 m=1 ∂ ln C ∂ ln Ym = am+ 3 S n=1amnlnYn+ 3 S n=1abmnlnWn. (7) ² ² â < 3 C ö , d < = / Uñ 3 e @ 7 S 3 m=1(∂ ln AC/∂ ln Ym) < 0, 0 6 / x ä < 3 ,. 6 t H L Ù ,¶ r d < = ? ¬ 3 À F } á (7) t \ t < = H ,w : S 3 m=1(∂ ln C/∂ ln Ym) < 16 ,^ Ä ± x ä < 3 H D Ö 3 e ¢ 7 S 3 m=1(∂ ln AC/∂ ln Ym) = 0, 0 6 / y x ä < 3 ,. 6 t H L Ù g { ¶ ¸ d < = , D S 3 m=1(∂ ln C/∂ ln Ym) = 13 ^ C ,e : 7 S 3 m=1(∂ ln AC/∂ ln Ym) > 0,0 6 / x ä { < 3 ,D S 3 m=1 (∂ ln C/∂ ln Ym) > 1,h S , V £ x ä & / H i ¡ ,) * Y E t 3 ² ² ³ , + 7 < = i j H å m 3 % c P ` r } frontier app-roach , ` Mester 1996 3 Pastor 1999 Ë , ¡ : 4 H parameter
3 ¿ non-parameter £ Ä , c } µ i j 3 4 , c } h r } H 7 ¡ stochastic frontier approach, SFA ,u _ ¢ ç Ì :@ 7 ¡ _ ,n h / h £ X 1 ;¢ 7 i j H í X ,u X 1 ³ h Ç H £ ¤ h £ X 1 half-normal distribution s ¥ X 1 exponential distribution 3 ¦ § X 1 truncated distribution : 3 H â Berger and Hannan
1998 H ¨ ,a ! X 1 DFA ¢ ^ Ä H _ , © { ! \ u X 1
q k ð | Z û | c r & s b c h 8 S Ñ > ? t u v V u w ! ,x e { ! t u = y V u w , _ _ q k b c S z ,{ m | A _ ` a v V $ % ,x _ ` a y V $ % h F } ,] ^ m è ~ ¸ 7 _ ¹ w º ,g m è ~ ¸ V b c í í A ? » , _ | ¼ ½ ½ G 5 ¾ ¿ ,8 F ` a l ì V b c A B í ù ú V h
À H ,_ SFA s C o , W Á Berger and Hannan 1998 H D Ç Â } DFA3 ä ñ á (8)3 á (9):
lnCit = ln (Wit, Yit) + ln ui+ ln vit, (8)
EFF = exp (ln umin− ln ui), (9)
á 4 , lnumin7 m ® _ H 1 \ 4 \ £ ) * 4 ³ H lnui3 Ã Ò ³ ç H C ö w 7 ,! ¡ _ (ln vit) Ã H O v Ä ,¶ 6 k d Å 3 ^ } 6 ? , i j (ln ui) Ã H w ^ : Æ y , ¥ ¶ 6 k { § S x ,\ A @ À } _ z ] ¦ ) * a d ,Ç ? H + 7 i j H í X 3 b Ë ^ 9 } 9 N ó H r } j 3 E ) * Ü g N ó r } j H _ È h S i j ,É 9 03 16 k ,E X Ê P S Ê £ i j 3
3.
; Ë Ì Í Î & ; < _ ` = ô s # $ = Ï Ð Ñ f g ,Ò Ó y í Ñ Ò * + Í Ô f g Õ TEJ ð = Ö × Ø Ñ f g Õ ,+ Ó Ù 29 ÷ # $ , Ú & J } 2002Á õ ö Ñ P 2006Á õ ö Ñ V Ú & J = + Ó O P ´ / Û Ü ,_ Ý ÷ # $ = Ú & J s ô C × V ö & Þ f g Õ Y ß ó k H J = f g > C à . ,á & * â = I J K L ,Ô O Û f g Õ y 2002Á õ á Ñ / Û K L ,ô x ; < J $ ä X ^ J V ö [ \ , Y # $ ÷ k = - ç , ( } U ( ) * $ , 2003 Á 5 b c 7 ê ) % = b 7 # $ ) 2003Á # $ ) i ð b ) 2004Á c # ê ) % = Ñ # $ , x ¶ 2006Á # $ c ð b b å # ê ) % = # $ $ , Y ; < J + ( ) à % = # $ ,ñ ò Í Ô = f g Õ # $ ) b # $ c # $ = µ ö Ï Ð Ë Ì , Ô & ; < > C h i V n È , ! = k p c ," # 2c 3V3 u v ã ä å æ ç y z è é ê ë ì « í î ê í ï ê reported cost ð ñ 7,919 7,857 −4,209 58,079 economic cost ð ñ 15,307 13,118 2,076 91,564 { » ¼ ½ ¾ P1 0.08 0.35 0.01 0.36 Ê Ë » ¼ ½ ¾ P2 ñ 18.4 8.7 7.5 47.6 { ( » ¼ ½ ¾ P3 0.39 0.99 0.01 7.63 » { Y1 ð ñ 352,516 285,667 30,367 1,299,357 Y2 ð ñ 91,513 106,437 548 434,747 Ø Ù Ú Û ¼ Y3 ð ñ 907 1,247 37 8,220 ò : 1.ó ô õ ö ÷ ø ù ú û ü ý þ ÿ / ÿ , , õ 2003! " # ,$ % & ' ( ) 2004! * " # ,+ , - . ,/ 0 1 2 3 4 5 6 2. 7 ø ù ú û õ 8 9 : ; 8 : < = 9 õ > ? ,@ A B C D E F : G H I , , H J K L M N O õ 8 P Q R S T U V 3. J ø ù ú û W X G H 8 9 : ; 8 : õ > ? ,Y ó B C Z I õ [ \
] I þ Huang and Wang 2003 õ ^ _ ` a b H ó c d e D f g h õ N O 8 9
: þ 0.05,8 : þ 7.62
4.
; i j k l4.1 Economic Cost
4 economic PLL , m n \ o Á p = q Ò r = economic costV s (a) reported cost, s (b) reported cost reported PLL, s (e) economic PLL,s (f) * W economic PLL$ = economic costV 3 W ,
% & % PLL,( n reported costY reported PLL ¨ , Ô & s (b)= ,Y õ ö Ñ Ø ù Ö ÿ = Ë Ì V F G 2002Á õ ö Ñ , reported cost} 5,098' ( , PLL P 9,568' ( V Z ú û ( } # $ ^ Y Ý Á = õ Ñ / ¢ . / ) ^ = PLL,x ) V # ! N ,( } PLL 3 º = * + ,ô x · , Á õ ö Ñ = PLL ÿ r , Á õ Ñ = PLL² í , Á õ ö Ñ = PLL,¾ q ^ = PLL, ¢ _ q ^ V Z Ú = £ ÿ c - . ã 1999 + , - . / 0 H ¡ ¢ I 1 2 E ,
4 t ! " u v w x y z { u | } ~ :ð ñ (a) reported cost (b) reported cost − reported PLL (c) EL1 (d) EL2 (e) economic PLL =(c)+(d) (f) economic cost =(b)+(c)+(d) 2002.1 5,098 9,568 645 13,688 14,332 23,989 2002.2 10,290 5,286 713 12,065 12,778 17,995 2002.3 7,087 5,779 1,396 10,753 12,149 17,788 2002.4 10,783 8,621 928 8,594 9,522 18,143 2003.1 4,668 12,850 240 8,864 9,104 21,954 2003.2 5,994 4,710 702 8,175 8,877 13,587 2003.3 8,051 6,033 1,291 7,581 8,871 14,904 2003.4 9,424 7,757 1,276 6,048 7,323 15,080 2004.1 4,496 8,707 234 7,736 7,970 16,677 2004.2 6,348 5,598 715 6,535 7,250 12,847 2004.3 7,988 7,288 849 6,104 6,953 14,241 2004.4 10,346 9,225 840 4,862 5,702 14,927 2005.1 5,070 7,769 808 5,030 5,838 13,607 2005.2 7,572 6,377 856 3,900 4,756 11,133 2005.3 9,624 8,458 1,424 3,070 4,494 10,739 2005.4 15,339 11,136 731 2,641 9,910 15,339 2006.1 6,502 12,146 369 1,492 14,972 6,502 3 º ¡ ¢ l { 4 # · g ò 5 6 7 ] 8 ` ( I ö 8 X P Õ Õ É 9 , B × [ \ I î 7 , « { : + î a < = î c > ? î § î z ' @ P 2006 ë = A ë B @ C D 2 A , < E x E 7 F ï § I î 3 F õ f g 4 ï I PLL G ] È , p H à < U 5 2005 ë I c 2006 ë J y 4 (e) I economic PLL 6 K L P 2005ë ` 8 economic PLL « { 5,838 7 8 9 , h 2005 ë ` ( ÷ R : º 9,910 7 8 9 , 2006 ë ` 8 4 %
M 14,972 7 8 9 P p N i 14,000 7 8 9 I 2 , B × I [ \ ñ O P , ² 2002ë 258 Q ^ ë P ð ¾ Ñ < 8 5%E R = 14,3327 8 9 P
Õ Õ y 5 ÷ > economic PLL # , S T U V î I W X ø I economic cost, Y I Z > c y 4N O P y 57 ,? G î (e)I economic PLL3 F
5 t ! " u v w x y @ [ \ u | } ~ :ð ñ (a) reported cost (b) reported cost − reported PLL (c) EL1 (d) EL2 (e) economic PLL =(c)+(d) (f) economic cost =(b)+(c)+(d) ] ^ 19,107 18,468 1,147 24,751 25,899 41,389 _ ^ 19,068 18,271 1,526 11,393 12,919 27,742 ` ^ 17,837 17,108 1,401 10,137 11,538 24,532 ~ ^ 11,697 11,147 263 2,710 2,973 9,665 a b ^ 5,157 4,911 182 2,326 2,508 5,448 c b ^ 4,658 4,447 201 2,744 2,945 6,314 d e b ^ 2,071 1,980 169 3,554 3,723 5,396 f g 1,418 1,347 265 2,875 3,139 4,321 1 ~ ^ 3,589 3,423 70 8,609 8,679 11,741 ~ Ü ^ 21,668 20,546 2,368 2,074 4,443 20,019 h ^ 6,209 5,875 1,308 4,680 5,987 10,974 i j k ` 12,123 11,590 1,850 1,216 3,066 9,946 1 c l m 9,728 9,245 1,294 2,376 3,670 10,649 ~ ` ^ n 4,276 4,069 494 5,982 6,475 9,639 1 g ^ 13,397 12,852 1,647 23,234 24,881 37,113 o p ^ 2,219 2,092 102 1,069 1,170 2,889 ñ j ^ 6,018 5,857 1,837 2,176 4,013 8,507 q m ^ 5,490 5,078 742 1,883 2,625 6,501 r ` ^ 5,337 5,150 213 1,125 1,338 5,010 s t ^ 5,167 4,989 571 250 821 3,762 u ` ^ 3,345 3,196 340 2,937 3,278 5,907 1 í ^ 13,844 13,425 1,354 357 1,711 11,344 v f ^ 4,264 4,090 539 1,542 2,082 5,326 ï w ^ 4,675 4,191 242 3,756 3,998 7,846 x j ^ 3,790 3,633 329 2,319 2,649 4,557 y ` b ^ 3,136 3,013 766 10,132 10,898 13,184 z { ^ n 4,201 3,807 589 2,914 3,503 6,248 | ^ 4,331 4,136 478 7,351 7,829 11,472 } } 10,534 7,655 60 7,323 7,383 12,375
reported PLL,\ ] Ô ^ _ ` a g d e f g I 2 P ´ µ ,8 î I economic PLL] 12,9197 8 9 ,r reported PLL « { 7977 8 9 P µ É 8 Ê ,à b c
Í B × economic PLLG d I e E ç P S T f á 8 â ~ Ñ Ò (a) reported costc (f)I economic cost,O q F ï economic cost% reported costI
2 P ´ µ ,8 î I reported cost] 19,0687 8 9 ,h economic cost% Í g h i 27,7427 8 9 P
Õ Õ j 1> V G î reported costc economic costI Z k j ,S l > E O ,m l > W A B ,< U 4 | } ~ n o ? G î I 2 P S T ' F ï § I î economic cost ¥ y I p q ,3 Ñ reported cost ¥ y I ^ q % Í r ï P s t
$ ,S T < U f á 8 â ~ V j 1I ö } Z A \ _ P ` 8 _ > economic cost c reported cost t $ E O & Ê & u v , ´ µ 8 î P 8 9 < = I : È > 5 2002 ë 258 w x , H î I d e f g & Ê & n o , u 3 î & Ê & M y i 6 m d e f g ;` ^ _ > economic costc reported costz { O Û ¦ ,´ µ | } ~ ;` \ _ > economic costc reported costI / ¥ ,t $ E O r { ¦ F I u F ,´ µ : î P
Õ Õ j 2÷ > O E § ¨ reported PLLa economic PLLa reported costc economic costI W X ø Ñ Ò ,S l > E O ,m l > PLLw W A B P S T < U 6 econo-mic PLLÑ reported PLL% r ï ,r d e f g > W A B I 8 ß Z ,u 3 econo-mic costà O q % reported costI 2 P p y ] reported PLLI Ô {
½ I © Þ , L á 8 â ~ Æ A reported cost ½ P É 9 , economic cost ª « / ] 13,118 I Ü Û à Ñ reported cost ª « / ] 7,857 Ê 3 F ,y ] re-ported cost< = = i ¬ @ r ¦ 3 Ñ Ò W P W r é ® ,E Ó Ô ~ f g d e f g E ,V u W A B c / 0 1 . = ½ I reported cost{ ì F I M O , Ò F Û ~ Ü P Â U , : p < Ó Ô v ¢ I economic PLL,¯ ° u v i j [ \ 7 < = = i ¬ @ I reported PLL,r 2 X t = Ê I A B C D ½ ,ª > B × N Ò / 0 1 . I 3 & ç P Õ Õ ¢ ± R · ] ,E W A B & % ,¥ y i 4 £ , < C D P h 5 9 6 Ê 6 ,î à { < = ] Í f % 7 8 9 ,r V A B : f % ; < = R ,2 X W A B R : P > p < ù I A B R : , r ú Y C D P È É , economic cost% reported costI ' ,L M " # $ C D 8 J u % ½ P = 8 S T V ? @ á A B C D I ^ c [ \ P
2 reported PLL reported cost economic PLL economic cost
4.2
< _ ` unbalanced panel data, W Hausman test x 2 (30) } 16.381, o p v ! ! , n ' ( ` v ! V ! ` (6) $ i " A B c " # = , = k G 6V Y k = ' \ , ! J $ % % s = , n h , P } H % p = k V / 6 k = k , Y reported cost , = k } , # c = k } , Y economic cost , = k } , # = k ! } , " " # = # Y V n $ ,Y economic cost , c % k ,# o & ' $ % = Y # = ( ) , * Y V
3 % ' Y reported cost = & ( ) V + f A , !
% 6& Translog Function reported cost economic cost reported cost economic cost 600.937** 343.301** 0.093 −0.041 constant (4.327) (5.372) lnP1× ln P2 (1.417) (−0.991) −61.295** −28.017** 0.003 −0.001 lnY1 (−4.909) (−4.654) lnP1× ln P3 (0.173) (−0.028) 9.960** 4.610** −0.028 0.004 lnY2 (3.471) (2.597) lnP2× ln P3 (−0.601) (0.134) 6.285* −0.439 −0.018 −0.148** lnY3 (1.880) (−0.228) lnY1× ln P1 (−0.201) (−2.555) 0.725 2.308** −0.689** −0.009 lnP1 (0.489) (2.473) lnY1× ln P2 (−2.966) (−0.063) 11.649** −2.799 −0.162** 0.041 lnP2 (3.379) (−1.278) lnY1× ln P3 (−2.472) (1.003) 2.141** −0.432 −0.041 0.060** lnP3 (2.034) (−0.655) lnY2× ln P1 (−0.857) (1.967) 2.881** 1.111** 0.112 −0.018 (ln Y1)2 (4.538) (3.307) lnY2× ln P2 (0.924) (−0.239) −0.505** −0.268** 0.113** 0.003 (ln Y2)2 (−3.349) (−2.868) lnY2× ln P3 (3.416) (0.152) −0.194 0.099 0.012 0.011 (ln Y3)2 (−1.454) (1.226) lnY3× ln P1 (0.418) (0.623) −0.012 −0.031** 0.155 0.107* (ln P1)2 (−0.555) (−2.243) lnY3× ln P2 (1.582) (1.725) 0.305 0.291 −0.025 −0.031 (ln P2)2 (0.834) (1.256) lnY3× ln P3 (−0.705) (−1.420) 0.006 0.033** 0.003 −0.001 (ln P3)2 (0.328) (2.873) Q1 (0.173) (−0.028) −0.134 0.055 −0.028 0.004 lnY1× ln Y2 (−0.610) (0.401) Q3 (−0.601) (0.137) −0.366* −0.114 −0.018 −0.148** lnY1× ln Y3 (−1.809) (−0.929) Q4 (−0.201) (−2.555) 0.266** 0.032 lnY2× ln Y3 (2.866) (0.572) % :& ' ( ) t* ; **+ *, - . / 0 5%+ 10%1 2 3 4 5 6 Y 7 " # $ L 8 9 H ? 4 Y economic costl L $ " #
H y z \ ] economic cost ,; 4 C reported costl M L $ " #
8 9 , U Y | " # $ , I X , " # P $ L G H
3 J K L N O reported cost
% 7& P Q R S
reported cost economic cost
T 200,000 0.148 −0.081 200,000–400,000 0.629 −0.222 400,000–600,000 −0.295 0.896 600,000–800,000 1.569 0.625 800,000–1,000,000 0.931 0.212 L U % , L V W W X " # $ L k H r & , ' W $ " # Y Z [ ,( N { ) Y ^ ? @ & L x - Y . / _ . / o F ] ,# 0 ^ ? 1 _ 2 , J 4 ` ^ a ` L J c ,3 0 ( ! 4 c > 5 6 7 L ,\ ^ ? @ { ) Z [ , 10 : v F 1 Q 7 > c x ' ( u w L N p - d , p reported cost 1 economic cost4 : v F ^ 1 e ,f reported cost 60– 80, F d r R N 7 1F , g 7 ' ( 2003 4 ,: v S 1.231 B h 8 w L 60–80, = ,' ( F { | r F J ,t p d i F r : " # j , { | r ^ F $ % 1 F & " # , p economic cost' ( ,: v F V N ) p 7 1,Q v : 1 p economic costF e ,' ( F w L 40–60, e 5 + F L v 1
Q 8 m R , - p reported cost 1 economic cost= , ' ( F g h N 1 o F 5 , p economic cost ( , y F g h V E . y ' ( e F g h Q R ] N , N / 0 D E , ' ( d 1 F g h ,e . F : " g h ! k * ~ 4 k q " k F $ % 1 + g h F ' 8 ' (1.0000)y $ % ' (0.9992) 1 h ' (0.9987), E : h ' (1.0000)y I 3 (0.9893) 1 ' (0.9696); X , 7 P m n L 8 & 9 (0.9826)A W 10 a q T U ' ( r 5 m 6 7 s 4 t & u ' v % w x ,e q 7 4 t & _ y ( t : 7 ' %
T d @ z { h + ' ,/ 0 _ 7 4 t & : ,C D E O 7 y % & | Q 7 y v % & h 7 y % & T
W X } ~ 3 4 ; 3 4 < = ,' F > Z , Y ` a T B J h ` ? Y Q ^ y %
% 8& ) *
reported cost economic cost
~ ~ 0.9959 5 0.9565 22 0.9886 13 0.9562 24 0.9887 12 0.9580 19 { 0.9875 17 0.9606 11 0.9846 25 0.9564 23 0.9879 15 0.9606 12 0.9895 8 0.9696 3 0.9913 6 0.9636 8 7 { 0.9880 14 0.9580 20 { 0.9826 29 0.9570 21 0.9987 3 1.0000 1 0.9831 27 0.9893 2 7 0.9851 24 0.9615 9 { 0.9834 26 0.9360 28 7 0.9992 2 0.9585 18 0.9887 11 0.9600 15 0.9874 18 0.9598 16 0.9827 28 0.9520 27 ! 0.9869 19 0.9674 5 " # 0.9867 20 0.9673 6 $ 0.9908 7 0.9672 7 7 0.9889 9 0.9602 13 % 0.9877 16 0.9685 4 & 0.9865 22 0.9612 10 ' 0.9859 23 0.9589 17 ( 0.9963 4 0.9296 29 ) * 0.9866 21 0.9556 25 + 1.0000 1 0.9523 26 , z 0.9888 10 0.9601 14 (0.9827)C (0.9831), = ? A (0.9296)A & (0.9360) C W (0.9520)H r & ,O ! > 1 L C > 6 L c ? L @ B 6 n L @ B 6 n 2003. > @ c 10.15%, L @ B 6 n Y 5 10% C 7 5 L 1 n 2006. > ( L ROA −0.08%, Y 2005. > D P Q ROA( Z Y Z [ , N V } RTCG K H
I y z M O economic PLL,= ] economic cost L m n & , l ! R 26 , L l ! ," # 6 7 f S H X ? L m n ! T 9 ,I m n [ V V l ! H
[ [ X O \ L p ! ] ^ _ & 9 C , $ % c > 5 , B a T { _ H I \ ] economic cost ,& 9 C L m n u & G , u & R > 2 , X $ % l ! R > 22 H A C & T = . V } RTCG K L , \ ] economic cost , m n d 1 T p 2 H ^ X b ,\ ] economic cost> ,´ L ? @ m n a f / L ' ( ,7 1 ^ ? @ L j g L d \ ´ c f / P L m n a H 4.3 " # $ ) % & Y f ' i ( ) = " , , ! - i ' . h k , * + i ] c i , = -. + 0 O / 0 V ! 1 % . h k } 0.02, i , 0.01,1 ) # } 0.08V Z $ = 2 " ,f ' i ( ) = i ] c i , = . 2 ,+ } Y i ] = " , Y 3 3 j V n , ! 1%= f ' i ( ) i ] , 4 5 + 0 6 _ 7 8 2 A 9 $ V 1% = f ' i ( ) i ] , Y % k * : = " , , 2 " i ] } 0.20, ) # k } 0.04V Y # ! - = " , , 9 % ' 1% f ' i ( ) i ] = # ! - 4 5 V 2 " ,& + + ` reported cost H economic cost,# ! - ; < 8= 3 3 q , ' > , n 6 ` economic cost= # ! - ' , ` reported cost= # ! - ,? $ 7 (
` reported cost= # ! - % s @ C D V i E 8 = + ,] ^ k $ % = #
! - s Y 3 3 > r s ) ,8 s 9 : ; k = $ % # ! - s
- H . 1h V / n K ,Y f ' i ( ) i ] 6 B % = 3 3 ,> C 6
% 9& > ? 1%@ A B C D E F G / H 0 ) *
reported cost economic cost
I 1%J I 1%J ~ ~ 0.9956 5 0.9556 22 0.9883 13 0.9552 23 0.9885 12 0.9570 19 { 0.9873 17 0.9596 12 0.9830 26 0.9510 25 0.9877 14 0.9596 11 0.9893 8 0.9688 3 0.9916 6 0.9618 8 7 { 0.9874 15 0.9578 18 { 0.9823 29 0.9560 21 0.9979 3 1.0000 1 0.9826 28 0.9887 2 7 0.9849 24 0.9601 10 { 0.9833 25 0.9345 28 7 0.9989 2 0.9576 19 0.9885 11 0.9589 15 0.9872 18 0.9588 16 0.9829 27 0.9502 27 ! 0.9867 19 0.9663 5 " # 0.9866 20 0.9660 7 $ 0.9905 7 0.9663 6 7 0.9887 9 0.9591 13 % 0.9874 16 0.9680 4 & 0.9863 22 0.9603 9 ' 0.9857 23 0.9580 17 ( 0.9962 4 0.9281 29 ) * 0.9863 21 0.9547 24 + 1.0000 1 0.9507 26 , z 0.9886 10 0.9590 14
5.
. 1 KL , M m / economic PLL M N B economic costV 2 " , $ % N J O t / 0 = economic PLL< reported PLL@ B Q ^ ,o p $ % = s ,
~ S = q T i } p V economic PLLU ] reported PLL= 2 ,* V N W # economic cost< reported cost @ ,1 economic costX ) Y 2 # < reported cost ] , " reported costK X W Z : < % ) [ V
k " # = \ 6 [ # ! - = 5 W # V M = < " ,_ ` economic cost ,$ % s ] \ C ? = ! - 4 5 c s ,1 ! - s # < % ] $ V F G v RTC ^ = _ 1 _ $ c . 1 $ % # } i ` s , ` $ $ % = ! - s # / 5s # 22s V n $ , / & = , & , S a b = $ % + , - ) = c " , $ % & = a V d e f g h i j 2005 ,k F G l m n o p q r M } 4 s t u ,v W w x y z { | } ~ , 1, 89–105( k 2002 ,k 4 5 F G | 9 n ! = 9 4 * u ,v 4 5 z { } ~ , 1, 341–356( 4 1997 ,k 4 5 j F G j l m Q R n * u ,v & k } ~ , 9, 85–123( f 1999 ,k ¡ W w > ¢ £ ¤ ¥ | ¦ 9 n s t z { T § ¨ © u ,v ª > > l « ~ , 31, 63–80( ¬ ® ¯ ° f 8 1999 ,k ± ² x y p F G j ³ ' 9 n ´ 4 5 F G B l m Q R u , v 6 7 « k ~ , 27, 247–281(
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ESTIMATING COST EFFICIENCY IN TAIWANESE
BANKING ADJUSTING LOAN LOSS PROVISION
Chung-Hua Shen
∗
Department of Finance
National Taiwan University
Ting- Hsuan Chen
Department of Money and Banking
National Chengchi University
Keywords: Bank cost efficiency, Economic provision for loan loss JEL classification: G21
∗ Correspondence: Chung-Hua Shen, Department of Finance, National Taiwan University, Taipei 106,
ABSTRACT
² ² This paper investigates the cost efficiency of Taiwan’s banks by redefining the
“re-ported cost”. We argue that because the re“re-ported PLL is an accrual item, it fluctuates significantly over time, making the cost also fluctuate. Furthermore, the provision is of-ten decided in a discretionary manner, which is affected by the forbearance policy, sudden regulation changes and more. As a result, reported cost is notorious for its discretionary characteristics.
² ² We propose an approach to reduce the fluctuation of reported PLL to the minimum
and at the same time fulfill the economic meaning of PLL. That is, we suggest an “economic PLL” to replace the reported PLL to be included in the cost. We found that economic PLL differs substantially from reported PLL. For example, the cost of Chang-Hwa Bank has risen steadily from 19,107 million New Taiwan dollars to 41,389 million New Taiwan dollars, and cost efficiency has degraded from rank 5th to rank 22th. Results are also consistent with our intuition that the improper estimation of reported cost because of PLL discretion may cause the bias of cost efficiency. Finally, we further specify optimal scale economic as the basis of improving cost efficiency in the future.
