商业银行系统的不良贷款率模型【外文翻译】资料.doc

商业银行系统的不良贷款率模型【外文翻译】 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 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 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 simultaneity 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 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 the 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 and 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 stat