DEA를 이용한 금융기관 효율성 측정과 여신건전성과의 관계 연구

초록

This study investigates the relationship between banks' efficiency and soundness. Here we measure bank efficiency using Data Envelopment Analysis (DEA). Special purpose banks show the highest efficiency with brokerage function model and Lozano and Humphrey (LH) model. With operation function model commercial banks show the highest scores in bank efficiency. After running a regression of bank efficiency scores on bank soundness related variables, we find that BIS capital has a negative relationship whereas non-performing loan ratio and allowance for bad debt ratio have positive relationship for brokerage function model. On the other hand, BIS capital ratio has a positive relationship while non-performing loan ratio and allowance for bad debt ratio have negative relationships for operation function model and LH model. We test bank efficiency for separate bank data. Only with brokerage function model BIS capital ratio has a negative relationship with bank efficiency for commercial banks. In case of special purpose banks, BIS capital ratio has a positive relationship while non-performing loan and allowance for bad debt ratio have negative relationships. Mutual Savings Banks show the same results as those of all inclusive data set. We find that bank soundness affects bank efficiency and it varies among banks. This study sheds lights on the relationship between bank efficiency and bank soundness.

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