Bank Efficiency, Risk‐Based Capital, and Real Estate Exposure: The Credit Crunch Revisited
使用非参数线性规划方法，识别银行效率低下导致的房地产贷款损失，发现风险资本标准平均造成总资产2.7%的损失，但可通过改善管理和规模效率弥补。
The turbulent real estate market during the early 1990s coincided with the implementation of risk‐based capital standards for commercial banks. In this study we use non‐parametric linear programming techniques to identify the lost real estate lending due to bank inefficiency. Inefficiency may arise from one of three sources: risk‐based capital standards which constrain bank real estate lending, inefficiency stemming from managerial oversight of real estate lending, and scale inefficiency which arises from banks not operating at constant returns to scale. The results indicate that the lost real estate lending associated with risk‐based capital standards averaged 2.7% of total bank assets. However, banks could compensate by exercising better managerial oversight of real estate lending and by operating at constant returns to scale.