| Summary: | 碩士 === 國立政治大學 === 金融研究所 === 99 === This study plans to employ directional technology distance function (DDF) to examine bank efficiency of Central-East European countries. Banks from different countries choose to operate under distinct technologies due to their differences in culture, endowments, and environments. A metafrontier directional distance function will be established, which allows for calculating comparable technical efficiencies for banks under different technologies relative to the potential technology available to the industry across nations. The salient feature of the DDF is its ability to include undesirable outputs into the model. In addition, it allows for a bank to simultaneously expand outputs and contract inputs, as well as undesirable outputs.
It is important to note that the non-performing loans (NPL) can be regarded as a by-product of various loans granted, which lowers a bank’s profitability and performance. To reduce the occurrence of NPL bank managers have to spend extra costs to confirm whether the potential applicants for loans have good credit before granting loans to them. This may also affect the bank’s performance.
This study attempts to develop a new metafrontier DDF in the context of the stochastic frontier approach, which differs from the one proposed by Battese et al. (2004) who suggest the use of a linear and/or a quadratic programming technique. The mathematical programming technique is known as deterministic, which is unable to estimate the standard errors for the parameters of interest. Hence, no statistical inference can be made. As our new metafrontier DDF is stochastic, the standard errors of the parameters are estimable, which permits establishing confidence intervals and hypotheses testing for the parameters. Moreover, the inefficiency term of the metafrontier DDF can be further specified as a function of several environmental variables of the form proposed by Battese and Coelli (1995).
|
|---|
