1、 外文翻译 原文 Non-performing loans probability In the commercial banking system Material Source: Empirical Economics， Physical Verlag, April 05, 2002 Author: Bernardo Maggi， Marco Guida This article deals with the problem of loans that do not perform (NPL from now on).Though such a problem is dated back
2、in the literature on banking systems, little space has been given to it for the difficulty both to obtain the necessary data and to embed it appropriately in the methodology till now developed on the bank efficiency. As for the former, acknowledged data bases reveal the absence of information on the
3、 most important variable for this study, i.e. the bad loans. As for the latter, the question is how to account for the bad loans in a specific function to obtain reasonable results from the efficiency point of view. The puzzle is that, as argued in Berger and De Young (1997), there exists simultanei
4、ty between NPL and inefficiency but the link represented by bad loans is to be excluded from the explicative variables of the function used to avoid diminishing the inefficiency measured in the regression residuals, in the case of bad loans not due to internal factors. In this respect, the attempts
5、to address the problem, such as that of Hughes and Mester (1993), though pioneering, fail in that NPL are included as a whole in cost function without distinguishing between bad loans due to bad management and those due to external factors which, not depending on the bank, should not be counted in t
6、he inefficiency. As a consequence, only the former effect should be included in the cost function specification. From their side, Berger and De Young (1997) focused on this problem but without modeling the NPL in the cost function, rather they use the cost function only to compute the inefficiency a
7、nd then leaving to a causality analysis the job of explaining their relationship. However, the conclusions from this method, though correct, are not exhaustive in that: firs state only gross statistical association and secondly are general i.e. are not referable to a specific bank. Only Pastor (1999
8、, 2002) and Pastor and Serrano (2005) face frontally the problem and distinguish between NPL deriving from internal and external causes, calculating efficiency accordingly. However, Pastor (1999, 2002) uses a non-parametric approach with the caveats implied for the deterministic techniques that do n
9、ot allow inference on the functions for the bank management. He uses a DEA analysis at several stages to evaluate the composition of problem loans in conjunction with the two mentioned causes pictured by apposite variables. Pastor and Serrano (2005) for first used a parametric approach. They skip th
10、e problem of simultaneity recurring to ad hoc instrumental variables to represent the internal and external causes of NPL and then inefficiency. As a consequence, the evaluation of the cost of the non-performing loans, as well as the structure of the cost function, is strongly affected by the discre
11、tion both in the choice of such instruments and in the use of their possible combinations. Then, the two authors do not enter in the cost structure questions and jump straightly to the use of the cost and profit function as a frontier for the measurement of the efficiency. Other recent researches st
12、arted studying this problem but with particular reference to both developing countries and emergent economies (Hauner and Peiris(2005); Matthewes et al. (2007), for the implications due to the insolvency of the banking sector on the economic growth and the performance of the banks, respec tively. Su
13、ch studies consist either in netting the loans of the non performing part or in considering NPL as an exogenous variable useful to pick downward shifts in the profits. We go more into depth and propose a theoretical and empirical analysis to place the problem of then on-performing loans in the cost
14、efficiency framework. .We develop an analysis based on the probability on NPL to occur, governed by some parameters representing the structural and local factors (both exogenous) that concern our problem while the internal factors depend on the aim of the bank of capturing loans. In such a way our m
15、ethodology is easily interpretable and more quickly applicable given that the effects of the exogenous factors are represented by the just mentioned parameters. Our intention is to gauge how much of the efforts in managing and monitoring loans succeed in preserving the bank from the non-performing l
16、oans. In order to answer this question, we formalize a general methodology, independently of the contextual economic situation of the country and capable to capture the linkage between NPL and cost structure of the commercial banking system. We refer to the widest European bank and, specifically, to
17、 the Italian case where problem loans did matter. We take into consideration the marginal effect of the non-performing loans on the operating costs by using and estimating a transformation function that connects loans with NPL. By exploiting this indirect relationship we also show a possible way out
18、 of the dilemma of the simultaneous estimation between the cost function and NPL which, though logic in principle, would alter the analysis with an overestimated efficiency for the additional variable (NPL) in the cost function (Berger and De Young (1997). We represent the link between loans and non
19、-performing loans by stressing the role of the geographical position of the bank. Such a choice is also motivated by the importance that the economic specificities, associated to the geographical localization of the loans, experimented especially by the US, played in the banking sector recent intern
20、ational financial crises of 2007 and 2008. In doing so, we evaluate and use the density function of a loan to become none performing and another measure of probability that connects loans with the more general concept of uncertain loans. We then study where, on average, a bank is positioned with res
21、pect to the maximum sustainable level of NPL thus evaluating the propensity of the bank to protect itself from the credit risk. Finally, we conclude by proposing an index that summarizes the issues stemming from the question we moved from of efficiency and effectiveness, related, respectively, to th
22、e management of the loans and to the capacity to prevent non-performing loans, according to the mentioned probability. Alternative ways to measure the effect of NPL may be found in the efficiency literature of the undesired outputs. In such a context, the problem becomes to find the correspondent NP
23、L shadow price following Pittman (1983) and Fare et al. (1993). The two authors propose a deterministic approach solving a maximization problem for, respectively, a profit and a revenue function defined in terms of the distance function. In the first case, shadow prices derive from apposite constrai
24、nts representing the regulation, and in the second case shadow prices derive directly from the maximization problem exploiting Shephards dual lemma and assuming that, for marketable outputs, market and shadow prices are the same. Our choice fell on the indirect cost function approach for preference
25、of the parametric approach as argued above and for the additional information from the NPL probability. This article is organized as follows. In the second section, we present the basic theoretical relationships to which we refer for the estimation. In the third section, we reason on the variables t
26、o include in the cost function in connection with the scope of our analysis and describe our data set. In the fourth section, we present the econometric analysis of such a function according to the literature of the flexible functional forms. In the fifth section, where the focus is centered on the
27、problem of the NPL, we estimate their trade-off with loans and evaluate the attitude to the credit risk of the bank. The sixth section reports the final calculation of the effect of NPL on the marginal cost and some other efficiency and effectiveness indicators. The seventh section concludes. Conclu
28、sions and further remarks In this study, we move from the consideration of the lack, in the literature of efficiency in the banking sector, of an accurate dealing with the NPL. We formalize a model for the placement of the NPL in the cost function thus trying to fill somehow the hiatus in this respe
29、ct and giving further potential to the tools so far available. We answer the question of how much of the efforts in terms of costs for managing and monitoring loans succeed in preserving the bank from the non-performing loans i.e. we measure the change in the cost function due to new incoming L and
30、select, proportionally, the expenses associated with the generated NPL. Our framework is based on the consideration that NPL is not directly an item of the cost function but can be viewed as a transformation of the loans that stands for the banks trade-off between these two. From this representation
31、 we derive the density function of a loan to become non-performing which gives the possibility to study how, on average, the bank is positioned with respect to the maximum sustainable level of NPL and to evaluate the propensity of the bank to protect him from the credit risk. This is done by assigni
32、ng a particular role to the geographical aspects that are found to be relevant both in the transformation and cost function estimation. This allows for the possibility to make considerations on the efficiency and effectiveness of the costs management referred to both loans and non-performing loans a
33、nd, consequently, to control costs with reference to there gions considered. We find that traditional output-elasticity indicators do not fit properly with the problem of NPL and propose more representative measures. We ind that the effect of a change in the probability of an uncertain loan to becom
34、e non performing is extremely costly for the banking system thus further encouraging the research in this field with an analysis that, from the one hand, disentangles the specific categories of loans and their degree of risk and, from the other hand, could test the effectiveness of such credit polic
35、ies. 译文 商业银行系统的不良贷款率模型 资料来源 ： 物理实证 经济学 ， 2002.4.5 作者： Bernardo Maggi， Marco Guida 本文就不良贷款的问题进行 了 论述。 尽管此问题为银行体制中的历史问题，但从现有银行发展的有效性程度看，获取必要数据以及将其适当地用于方法论中仍很困难，所以对不良贷款的研究还是不够多。 至于获取必要数据，已有数据库显示和 此研究相关的重要可变信息缺乏，如呆账的信息匮乏。 至于后者，问题在于如何用一个特定函数解释坏账，并从有效性角度得出一个合理的结果。 伯格 及 德阳 指出，疑问在于不良贷款和低效同时存在，但能阐释这两者关系的坏账却从
36、变量函数 中排除在不因内部因素影响下的不良贷款的情况下来避免回归残差减少测量的低效率 。 从这个角度讲，尽管先驱 哈格 及 麦斯特 （ 1933）尝试解决这个问题，但他们却因为没有将包括在价值函数中的不良贷款中疏于管理产生的坏账以及那些不依赖银行的外界因素产生的无效性不应算在内区分开来而失败了。因而，只有因疏于管理而产生的坏账才应归入价值函数。虽然 伯格 及 德阳 关注这一问题，但他们没有将不良贷款（ NPL）列入价值函数中，却使用了价值函数计算低效，然后用因果分析法来解释他们的关系。即使这个方法没错，但用此方法得出的结论不全面，首先他们的 陈述只是总的数据关联，其次这些数据很笼统不足以供一个
37、银行进行参考。 而 帕斯特 和 瑟兰诺 正视这个问题，并将内外因从不良贷款中区分开 来 分别来计算有效性。 然而 帕斯特(1999,2002)用非参数法及附加说明暗指确定性经营技巧 ，这不能推断出银行经营功能。 他在一些 阶段用数据交换协议分析法，结合刚才提到的用一定参数形容的两点来 评估问题贷款的组成。 帕斯特 和 瑟 兰 诺 第一次使用参数法。他们忽视了临时仪器变量能同时代表引起不良贷款的内外因问题，其次忽略了无效性问题。因而，仪器的选择以及其可能组合的使用将极大影响不良贷款成本以及价值 函数结构的评估。另外，这两位作者未就成本结构问题进行分析而直接使用价格及利润函数作为有效性的测量方法。
38、现在也有其他研究项目开始研究这一问题，但大都关于发展中国家以及一些新兴经济体 (哈诺 、 派瑞斯 (2005)；马特 (2007)等人 )， 因经济增长却 无力偿还 银行贷款 。我们将从理论与实际角度进一步分析不良贷款在成本效率结构中的问题。我们以不良贷款发生几率为基础进行分析，由一些与我们问 题相关的、能代表结构和地方因素（都为外因）的参数为指导，而内部因素依赖于银行贷款的目的。这样，通过对我们刚才提及参数代表的外因产生的影响进行分析，我们的方法更易解释，更合理。我们旨在测量在管理和追踪贷款上的成果多大程度防止银行不良贷款的产生。为解决此问题，我们拟定了一个基本方法，即一国经济形势的独立性以
39、及不良贷款及成本结构在商业银行中的联系。我们主要就欧洲银行进行分析，并特别就存在贷款问题较严重的意大利进行分析。通过使用以及评估与不良贷款有关的变换函数，我们就不良贷款在生产成本中的边界效应进行分析。通过对这 种间接关系的探究，我们找到了一种可能带领我们走出这种两难处境的方法。这种两难处境为同评估成本函数和不良贷款，这在逻辑上是合理的，但过度评估成本函数中的额外变量的有效性，将改变分析结果。贷款与不良贷款的联系我们用银行地理位置代表。做出这样的选择，是受经济特征与地理位置对 2007 至 2008国际金融危机中银行业的重要性驱使，美国就是个例子。我们评估成为不良贷款的密度函数，并使用其他可能测
40、量法将贷款与不确定贷款中更一般概念联系起来。其次，我们研究银行对不良贷款最高忍受度的定位来测量银行采取行动保护其免遭信用危机的趋 势。 最后，根据提及的概率，我们总结出一个指数，并从相关的有效性转到贷款的管理以及防止不良贷款的能。测量不良贷款影响的可选择性方法可在非预期结果中的效能文献中找到。 在这种情势下，这个问题变成了照着 帕特慢 (1983)和 菲特尔 (1993)找出相应不良贷款的类似价格。 这两位作者，提出了一个确定性的解决方案，就是测出利润和收益函数。在第一种情况下，就是用影子价格来进行适当的调节，并在第二个案例中通过利用 史帕特 的双重引理和假设来使影子价格最大化 ，而市场和影子
41、价格又是相同的问题，因此，这个对于产出适销对路同样适用。我们 对这种参数化法的偏爱，是基于不良贷款的比率以及间接成本函数法。 本文结构如下 ： 第二部分，主要陈述与我们评估有关的理论。第三部分，将论述包含在价格函数中的变量，这些都与我们的分析有关，其次将描述我们的数据设置。第四部分，我们根据文学上灵活函数形式，通过经计量学分析法来展示这个函数。 第五部分，重点分析不良贷款的问题，并分析其对贷款的影响，其次分析对银行信用危险的态度。第六部分，得出不良贷款对边际成本的影响以及其他有效和有力指示。第七部分为总结部分。 在这项研究中，我们提出了从缺乏对银行部门效率的理论性研究到得 出一个不良贷款的准确处理方法。我们正式确定了不良贷款的成本函数模型从而填补了这方面的空缺，使之成为到目前为止有价值的使用工具。我们回答了如何增强贷款管理和监督方面的问题 。我们的框架则是基于不良贷款不是最为功能项目的直接成本，而是作为代表银行贷款的转化效果来权衡这两方面的。这就意味着我们推导出了一种贷款成为不良贷款的可能性，根据研究，一般银行都是倾向于将不良贷款维持在一个比较稳定的水平，来保护遭受信贷风险。这个关于贷款和不良贷款的效率跟成本管理的有效性的考虑是具有可能性的。我们发现，传统的产出弹性指标并不符合 妥善处理不良贷款的问题， 对此，我们提出了更具有代表性的措施。
