臺灣農會信用部的經營效率與風險價格之分──考慮非意欲產出之DEA 模型比較

Technical Efficiency and Price of Credit Risk of Taiwan’s Farmers’ Credit Unions: The Comparison of DEA models with Undesirable Outputs

本文主要目的有二：首先，在考慮非意欲產出（undesirable outputs）下，比較假設廠商縮減因子皆相同以及允許有不同縮減因子時，兩種不同弱可拋設定之生產邊界差異；其中，同時也比較傳統方向距離函數（directional distancefunction，以下簡稱DDF）與Russell 方向距離函數（Russell directional distancefunction，以下簡稱RDDF）的不同效率計算方法之差異。其次，衡量農會信用部生產過程衍生的信用風險之影子價格（shadow price，以下簡稱SP），以了解降低信用風險之機會成本。實證結果為：（1）不論DDF 或RDDF，在不同弱可拋設定邊界下所得的結果，其差異都非常地小，因此對效率衡量結果的影響並不明顯；（2）DDF 與RDDF 的結果，不論在何種邊界設定下，所得的無效率值皆有顯著的差異，表示忽略非零差額之射線式衡量模式會造成無效率值的嚴重低估；（3）根據RDDF 的結果，農會信用部約有59% 的改善空間，無效率的來源為非意欲產出，表示農會信用部改善非意欲產出的效率，比改善意欲產出來得重要；（4）非意欲產出的信用風險價格，大致呈現隨時間而逐漸增加的趨勢，說明在2005 年前降低信用風險的機會成本較低，爾後在農業金融法的規範下，確實能讓農會信用部的信用風險之機會成本變高，亦使得非意欲產出得逐年降低，顯示金融法制規範的健全有利於信用部風險的控管。

The purpose of this study is to employ the technology frontiers with twodifferent weak disposability specifications, to evaluate the operatingperformance and the opportunity cost of credit risk of the farmers’ creditunions (FCUs) in Taiwan over the period of 2001-2009 by using the DEAapproach considering undesirable outputs.The evaluation includes twofold. Firstly, the weakly disposabletechnologies modeled with uniform and non-uniform abatement factors areboth adopted to calculate the technical efficiency scores and the shadowprices of the bads of FCUs by both of the radial directional distance function(DDF) and non-radial Russell directional distance function (RDDF). Theobtained results are compared to show whether the different specifications ofthe technology have significant impacts on the results. Secondly, statistictests are adopted to examine the impacts of the implementation of the“Agricultural Finance Law”.The empirical results indicated: (1) The results of the comparisons of theShephard and Kuosmanen technology frontiers indicate that they are veryapproximate for our data set, and thus the adoption of these two different technologies do not make significant difference on our results. (2) For thecomparisons of the results of DDF and RDDF, it shows they are significantdifferent from each other which implies the ignorance of the non-zero slackswould severely underestimate the evaluated inefficiency scores. (3)According to the results of RDDF, the average inefficiency value is about0.59 and inefficiency is mainly from the poor performance of the reduction ofbad outputs. Therefore, it suggests that it is more important for FCUs todecrease their production of bad loans to improve their performances. (4)For the opportunity cost of credit risk, it is found that it turns out to beincreasing with the time. In addition, the cost is significantly larger for theperiod after the implementation of the “Agricultural Finance Law” and showsthat the regulation implemented by the “Agricultural Finance Law do havepositive effects on the control of the credit risk of FCUs.