리스크를 고려한 국내 은행산업의 비용 효율성 분석

Recent research suggests that there is no clear-cut relationship between bank consolidation and cost efficiency especially when we consider risk and asset quality of banks. The present paper studies whether on- going bank consolidation and conglomeration since 1997 Asian crisis have led to the improved cost efficiency of Korean banks. Using micro financial data of 19 Korean banks during 1999~2009, we estimate bank cost functions to obtain measures of scale and scope economies. Unlike existing studies on the efficiency of Korean banks, we include risk factors of individual banks such as equity capital, non-performing loan ratio, and liquidity ratio in the cost function in order to take into account heterogeneous risk preference and output quality of respective banks. Based on the estimated translog cost function, and following the literature, we proceed to investigate four alternative measures of scale and scope economies-the ray scale economy, the expansion path scale economy, the scope economy, and the expansion path subadditivity. The ray scale economy measures the relative cost increase caused by an increase in outputs where the levels of all outputs are increased proportionately. The expansion path scale economy measures the cost advantage of a larger bank compared to a smaller bank estimated from the elasticity of costs with respect to output changes from output vector of the smaller bank to output vector of the larger bank. The scope economy measures the cost advantage of a bank that produces all outputs compared to banks that specialize in each of outputs. Finally, the expansion path subadditivity measures the cost advantage of a large bank that produces all outputs compared to the case where those outputs are produced by a smaller bank and a hypothetical complementary bank. We apply these scale and scope measures to different bank groups in Korea and examine hypothetical expansion paths within and across bank groups. Our main findings can be summarized as follows:Frist, in the translog bank cost functions estimated, risk factor variables are statistically significant, and the risk augmented cost functions are superior in terms of goodness of fit. This finding indicates that risk factors exert important impacts on the cost efficiency of Korean banks, and hence, a failure to account for these risk factors may lead to false conclusions on the scale and scope economies of Korean banks. Second, when risk factors are not considered, Korean banks tend to exhibit economies of scale. However, for banks in general, and nationwide banks in particular, these scale economies become weaker or even disappear when we explicitly consider risk and asset quality. This finding suggests that the optimal bank size that maximizes cost efficiency could be overstated in Korean banking industry if risk and output quality are not taken into account. Third, for scope economies as well, compared to the case where risks are not considered, the economies of scope effects tend to be weaker when the risk augmented cost function is used. This result implies that Korean banks, especially nationwide banks, have failed to achieve scope efficiency despite recent efforts to diversify profit structure toward non- traditional businesses. Our empirical findings suggest a set of important policy implications. First, risk management capacity must be strengthened at individual bank level. In addition to monitoring and controlling of risks, banks need to reflect them in their asset allocation and business strategies. Second, to better cope with changing risks due to conglomeration, it is also critical to strengthen internal control and risk management capacities at the level of financial conglomerates. Bank holding companies should build their own capacity to monitor and control risks at the group level taking account of potential risk contagions and propagation among bank and other subsidiaries. Third, financial supervisory system must be upgraded toward a more risk-based and consolidated supervision. Supervisory infrastructure and human capital must be expanded further to activate consolidated supervision. Finally, it is also crucial to encourage market discipline by improving information transparency of financial conglomerates and by mitigating moral hazard incentives of large banks and depositors based on the ‘too- big-to-fail’ doctrine.