- 期刊
銀行資本品質與經濟效率－運用共同邊界法檢定銀行代理成本假說
CAPITAL QUALITY AND ECONOMIC EFFICIENCY: A META-FRONTIER APPROACH TO TESTING AGENCY COSTS HYPOTHESIS IN BANKING INDUSTRY
摘要
本研究探討銀行資本品質是否引發代理成本問題，收集OECD中16國銀行業2011－2016年資料，依據槓桿比率（股本除以總資產）區分成強資本品質（SCQ）與弱資本品質（WCQ）兩群組；考量環境變數具有內生性問題後，估計兩群組技術、配置與經濟效率，發現配置無效率情況比技術無效率嚴重，樣本銀行若增加固定資產與資金的投入，並減少勞動投入，可節省約四成支出。隨機共同成本邊界模型發現SCQ群組的平均成本技術缺口比率與總成本效率優於WCQ群組，進而採用聯立迴歸模型與一般法化動差進行檢定，結果仍不支持代理成本假說；當效率指標為經濟效率與配置效率時，支持效率－風險假說，效率指標若為技術效率，無法判定是否支持效率風險和特許權價值假說。
並列摘要
The leverage ratio (LR) is defined as the ratio of equity to total assets. We classify the sample banks, compiled from 16 OECD countries between 2011 and 2016, into two groups, i.e., strong-capital quality (SCQ) banks and weak-capital quality (WCQ) banks. We estimate both groups' cost frontiers that take allocative inefficiency (AI) and endogenous environmental variables into account. The AIs of the sample banks are found to be more serious than technical inefficiencies. To improve their AIs, we suggest that they increase the use of both inputs of fixed assets and funds, but decrease the use of labor. This saves about 40% of expenditure for the banks. The SCQ banks outperform the WCQ banks in terms of the cost technology gap ratio (CTGR) and total cost efficiency (TCE) measures. Using a simultaneous regression model and the generalized method of moments to test the hypotheses of agency cost, efficiency-risk, and franchise-value, we reject the first hypothesis, but accept the second hypothesis, under the case of EE and AE. Both agency cost and franchise-value hypotheses failed to be identified in terms of the TE measure.