( ),, 1) 2) 3) 4) KEYWORD :, Data Envelopement Analysis, 1997 488, 1 5 6 30%(10), 196%, 348% 2 2001, (economies of scale) (economies of scope)
1, Data Envelopment Analysis (production frontier) II, DEA III, IV,, V VI,, DEA
2, 3 4,,
Farrel(1957) (statistical technique) (mathematical programming technique) (stochastic frontier) (deterministic frontier) (+) Berger and Humphrey(1991) (thick frontier model) 5 Data Envelopment Analysis (DEA) (linear programming method)
(deterministic production frontier) DEA, DEA,, ( ), DEA Sherman and Gold (1985), Rangan et al (1988), Vassiloglou and Giokas (1990), Norman and Stocker (1991), Siems (1992), Barr et al (1993), Mlima(1997), Giokas (1991), Drake and Howcroft (1994), Sherman and Ladino (1995), Pastor (1997) DEA Resti(1997)DEA 270 DEA, (asset quality) 1988-92 Resti(1994) -, DEA Piyu(1992)DEA 60 1984-90,
(1991),,,, (1991),,,,, (1993),,, (1993),, (1996),,, 6 (CRS) (VRS) DEA (technical efficiency), (scale efficiency)fare, Grosskopf and Lovell (1994) Farrell(1957) 20 7 Charnes, Cooper and Rhodes(1978) Data Envelopment Analysis, Charnes, Cooper and Rhodes(1978), Banker, Charnes and Cooper(1984) (variable returns to scale)
N (decision making unit: DMU)K M, j x i y i XK*N, YM*N X, YN, Min st θ, λ y θx θ i i λ 0 + Yλ 0 Xλ 0 (8) θ, λn*1 θi θ <=1 1 N θ (optimal scale),, LRAC, Banker, Charnes and Cooper (1984)DEA (scale efficiency) (variable returns to scale: VRS) CRS (convexity constraints), N1 λ (VRS) DEA
0 0 1 0 0 = + λ λ λ θ λ θ λ θ N X x Y y st Min i i, (9) N1N*1 (unit vector) (VRS) DEA (CRS) DEA DEA 1990 (CRS) DEA (CRS) DEA (VRS) DEA < 3> CRS VRS CRS P PPc, VRS PPv PcPv, V C I V VRS, I C,CRS I AP AP SE AP AP TE AP AP TE = = = (10) 01 3
, TE = TE SE (11) I,CRS I, VRS I < 3> DEA (non-increasing returns to scale: NIRS), N1 λ=1 N1 λ<=1, Min st θ, λ y θx θ i i Xλ 0 N1λ 1 λ 0 + Yλ 0 (12) (NIRS) DEA < 3>
(NIRS) (TE) (VRS) (TE), P Q (CRS), (VRS), (NIRS) (VRS) (NIRS) 1999 11 (,,,,,,,,,, ) 6 (,,,,, ) 17 1995 1999 5 1997 5 (,,,, )4 (,,, ) 8
, (production approach) (intermediation approach) (Humphrey, 1985) (value-added function approach) (information theory approach) 10,,,,,, 11 9
, Humphrey(1985),,,,, 1999,,,,,,, 8 8,,,,,,,,,,,, 1995
1995, (minimum efficient scale),,,, (LRAC) <3>
,,,,,,,,,,,, 17
<4> < 4>
< 4> 3 3 (multiple space) 3, X Y1, Y2 12 13
,,,,,,,,,,,,, 14, 1), 2) <11>
,, 14, 4) +, 12) +,, 2) + +, 3) + +
14 12) +,, 11),
DEA 15 1 1 A( A) B( B) M( M) ( ) (,, ) ( A B ), A B M 2 M M ( M-M ),,,,,
P&A < 5> BIS,,, BIS
, 1, 2 P&A(purchase & assumption),,
Data Envelopment Analysis ( ), ( ),,,,,,,,,,, 1999,,,,,,, 8,,,,,
,,,,,,,,,,,,,,,,,,,,,,,,,,, 14,,,,
, BIS,,,, BIS,,,, (1996),,, 111, 55-76,, (1991),,, 52,, 37-88
(1997), :,, 87, (1993), DEA, 63-80 (1997),,, 452, 63-97 (1993),,, 64-82 (1991), DEA :,, 211 (1996),,, 21,, 1-28 (1996),,, 101,,, 89-115 (1993),,,, 15 (2000), : Fourier Flexible,, 481 (1993), -,,, 20-42 (1992),,, 142 Afriat, SN (1972), "Efficiency Estimation of Production Functions", International Economic Review, 13, 568-598 Alhasdeff, David (1954), A Monopoly and Competition in Banking Berkeley, Calif: University of California Press Banker, RD, Charnes, A and Cooper, WW (1984), "Some Models for Estimation Technical and Scale Inefficiencies in Data Envelopment Analysis", Management Science, 30, 1078-1092 Barr, RS, L M Seiford and T F Siemes (1993), An Envelopment-analysis Approach to Measuring the Managerial Efficiency of Banks, Annals of Operations Reseach, 45, 1-19 Bell, Frederick W and Neil B Murphy (1968), Cost in Commercial banking: A Quantitative
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Multi-Product Banking Firm, Journal of Monetary Economics, 13, 393-405 Giokas, D I (1991), Bank Branch Operating Efficiency: A Comparative Application of DEA and the Loglinear Model, Omega, 1, 549-557 Gramley, Lyle E (1962), A Study of Scale Economies in Banking Kansas City: Federal Reserve Bank of Kansas City Greenbaum, Stuart I (1967), A Study of Bank Cost National Banking Review, 4, June, 415-34 Horvitz, Paul M (1963), Economics of Scale in Banking In Private Financial Institutions, edited by Paul M Horvitz, et al, Englewood Cliffs, NJ: Prentice-Hall, 1-54 Humphrey, D B (1985), Costs and Scale Economies in Bank Intermediation, in Richard C Aspinwall and Robert A Eisenbeis, Eds, Handbook of Banking Strategy, New York John Wiley & Sons, 745-782 Hunter, WC, and Timme, S G (1986), Technical Changes, Organizational Form, and the Structure of Bank Production, Journal of Money, Credit and Banking, 18, 152-166 Hunter, WC, and Timme, S G (1995), Core Deposits and Physical Capital: A Reexamination of Bank Scale Economies and Efficiency with Quasi-Fixed Inputs, Journal of Money, Credit and Banking, 27, 165-185 Hunter, WC, Timme, S G, and Won Keun Yang (1990), An Examination of Cost Subadditivity and Multiproduction in Large US Banks, Journal of Money, Credit and Banking, 504-525 Kaparakis, E I, Miller, MM, and Noulas AG (1994), Short-run Cost Inefficiency of Commercial Banks: A Flexible Stochastic Frontier Approach, Journal of Money, Credit and Banking, 26, No4, 875-893 Kolari, J and Zardkoohi, A (1987), Bank Costs, Structure and Performance, Lexington, MA : Lexington Books Longbrake, William A (1974) The Differential Effects of Single-Plant, Multi-Plant, and Multi-Firm Organizational Forms on Cost Efficiency in Commercial Banks, Working Paper No 74-7, Federal Deposit Insurance Corporation Longbrake, William A and John A Haslem (1975) Productive Efficiency in Commercial Banking: The Effects of Size and Legal Form of Organization on the Cost of Producing Demand Deposit Services, Journal of Money, Credit, and Banking, 7, August, 317-30 Mlima, AP (1997), Efficiency of Swedish Banking Industry an Application of Data Envelopment Analysis, Fifth European Workshop on Efficiency and Productivity Analysis, Copenhagen, Oct 9-11
Mullineaux, D J (1975), Economies of Scale in Financial Institutions: A Comment, Journal of Monetary Economics, 1 April, 233-40 Murray, J D and White, R W (1983), Economies of Scale and Economies of Scope in Multiproduct Financial Institutions: A Study of British Columbia Credit Unions, Journal of Finance, 38, 887-902 Norman, M and Barry Stocker (1991), Data Envelopment Analysis, The Assessment of Performance Pastor, J T and J M Pastor (1997), A Comparison of DEA Cost-Efficiency Measures, Fifth European Workshop on Efficiency and Productivity Analysis, Copenhagen, Oct 9-11 Powers, Hohn W (1969), Branch versus Unit Banking: Bank output and Cost Economies, Southern Economic Journal, 36, October, 153-64 Rangan, N R, Grabowski, H Y Aly and C Pasurka (1988), The Technical Efficiency of US Banks, Economics Letters, 28, 169-175 Resti, Andrea (1997), Evaluating the Cost-Efficiency of the Italian Banking System: What Can Be Learned from the Joint Application of Parametric and Non-parametric Techniques, Journal-of-Banking-and-Finance, 21(2), February, 221-50 Resti, Andrea (1994), Il dibattito su efficienza della banche e economie di scala: Il contributo della Data Envelopment Analysis ed un'applicazione a dati italiana(bank Efficiency and Returns to Scale: A Data Envelopment Analysis of Italian Banks), Politica Economica; 10(2), August 269-311 Schweiger, Irving, and Hohn S McGee (1961), Chicago Banking, Journal of Business, 34, July, 203-366 Schweitzer, Stuart A (1972), Economies of Scale and Holding Company Affiliation in Banking, Southern Economic Journal, 39, October, 258-66 Shaffer, Sherrill (1988), A Revenue-Restricted Cost Study of 100 Large Banks, Working Paper, FRB of New York Sherman, H D and F Gold (1995), Bank Branch Operating Efficiency: Evaluation with Data Envelopment Analysis, Journal of Banking and Finance, 9, 297-315 Sherman, H D and G Ladino (1995), Managing Bank Productivity using Data Envelopment Analysis(DEA), Interfaces, 25, 60-73 Siems Thomas F (1992), Quantifying Management Role in Bank Survival, Federal Reserve Bank of Dallas Economic Review, January
Tone K (1999), On the Returns to Scale under Weight Restrictions in Data Envelopment Analysis, Research Report Series I-99-0003, National Graduate Institute for Policy Studies Vassiloglou, M and D Giokas (1990), A Study of Relative of Bank branches: An Appliation of Data Envelopment Analysis, Journal of Operational Research Society, 41, 7 Yue, Piyu (1992), Data Envelopment Analysis and Commercial Bank Performance: A Primer with Applications to Missouri Banks, Federal Reserve Bank of St Louis Revie, 74(1), Jan-Feb, 31-45