우리나라 은행산업의 효율성 결정요인과 금융정책

This paper investigates efficiency, productivity, determinants of efficiency for Korean banking industry in the recent period (2002-2009) using DEA, DEA-Window, Malmquist productivity index, SFA, Tobit analysis to static and dynamic analysis. By the DEA-Window analysis, I can get the values of mean, standard division, column range and total range from the window analysis result. According to the value of mean, we can understand the long-term effectiveness in productivity. The variance of efficiency reflects the fluctuation of efficiency values for each alternative. Column range can be used to compare the fluctuations of efficiencies among the alternatives. In order to understand the stability of an alternative over different periods, we can use the total range to evaluate it. The total range is the difference between the maximum and minimum efficiency values of alternatives in all windows. Also, Two primary issues of Malmquist indices are addressed in our computation of Malmquist indices of productivity growth over the sample period. The first is the measurement of productivity change over the period. The second is to decompose changes in productivity into what are generally referred to as a ‘catching-up’ effect and a ‘frontier shift’ effect. In turn, the ‘catching-up’ effect is further decomposed to identify the main source of improvement, through either enhancements in technical efficiency or increases in scale efficiency. Also, the another purpose of this paper is to estimate productivity change of Korean banks. Depending on parametric (stochastic frontier approach) and non-parametric approaches (Malmquist productivity index), I estimate product efficiency by using SFA translog model and productivity change by using Malmquist Index. This paper also employs Tobit model to show the effect of the explanatory variables on the bank efficiency such as bank characteristics and macroeconomic factors.