银行综合绩效的度量及影响因素研究

发布时间：2018-03-02 20:02

本文选题：商业银行经营绩效　切入点：因子分析法　出处：《南京财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：商业银行是资金融通的重要中介，在社会资源配置的过程中起了至关重要的作用。我国商业银行的绩效问题，已经成为了我国金融业的关键问题。自2003年以来，我国的国有商业银行逐个推行了股份制改革，国有银行的公司治理与经营目标与之前大不相同，注重绩效的提高。2012年6月8日，中国人民银行出台了利率浮动的政策，说明了我国也拉开了利率市场化的序幕，利率市场化必将使商业银行之间的竞争进一步加剧。所以如何度量商业银行的综合绩效，商业银行的经营绩效的影响因素有哪些，商业银行的经营绩效是否可以提高以及如何提高，这些问题不仅是学术界，更是商业银行经营者非常关心的问题。本文主体部分首先对商业银行经营绩效的含义进行了界定，对商业银行绩效评价方法分为单因素指标法和综合指标法。其中重点分析了因子分析法的原理以及做法。对商业银行经营绩效的影响因素分为宏观因素、行业因素和微观因素等三类。其次，本文采用了14家上市银行的2005-2011年的数据，选取了权益净利率、资产净利率、每股收益、资产负债率、总资产周转率、净资产增长率、总资产增长率和资本充足率等八个因素进行因子分析，计算出商业银行的综合得分，并且将2011年的综合得分与托宾q值进行比较，检验因子得分对银行综合绩效的替代性。接着，以因子分析法所度量的14家上市商业银行的综合得分为因变量，在自变量的选取上，，考虑国内外关于上市商业银行经营绩效的影响因素的总结和影响因素的理论分析，同时考虑数据的可获得性，选取了6个影响因素进行建模分析，其中，宏观经济层面选取国内生产总值的对数（LGDP），行业层面选取了市场集中度指标（CR4），微观层面选取了资产占比（ZCB）、不良贷款率（BLDK）、贷存比（DCB）、和中间业务收入占比（CXB）。在建模时，由于本文采用的样本是2005-2011年的14家上市商业银行的7个指标，符合样本数据宽而短，所以，采用面板数据模型进行实证分析。研究表明资产占比未能通过显著性检验，于是将这个变量剔除后再次进行面板数据模型进行分析，结果显示其他四个解释变量能通过显著性检验，并且整体拟合度也较好。最后在实证结论的基础上，对于提高商业银行经营绩效五条政策建议。
[Abstract]:Commercial bank is an important intermediary of financing, which plays an important role in the process of social resource allocation. The performance of commercial banks in China has become a key issue in our financial industry since 2003. The state-owned commercial banks of our country have carried out the reform of the joint-stock system one by one. The corporate governance and management objectives of the state-owned banks are very different from those before, and they pay more attention to the improvement of performance. In June 8th 2012, the people's Bank of China issued the policy of floating interest rates. It shows that our country has also opened the prelude of interest rate marketization, the interest rate marketization will certainly make the competition between commercial banks intensify further. So how to measure the comprehensive performance of commercial banks, what are the influencing factors of commercial banks' operating performance, Whether and how to improve the business performance of commercial banks is not only an academic issue, but also a matter of great concern to commercial bank operators. The main part of this paper first defines the meaning of commercial bank performance. The performance evaluation methods of commercial banks are divided into single factor index method and comprehensive index method, in which the principle and practice of factor analysis are emphatically analyzed, and the influencing factors of commercial bank performance are divided into macro factors. Industry factors and micro factors and other three types. Secondly, this paper adopts the data of 14 listed banks from 2005 to 2011, and selects net interest rate of equity, net interest rate of assets, income per share, asset-liability ratio, total asset turnover ratio, net asset growth rate. By factor analysis of eight factors, such as total asset growth rate and capital adequacy ratio, the comprehensive score of commercial banks is calculated, and the comprehensive score of 2011 is compared with Tobin Q value. Then, taking the comprehensive scores of 14 listed commercial banks as dependent variables, the independent variables are selected. Considering the summarization and theoretical analysis of the influencing factors of listed commercial banks' operating performance at home and abroad, and considering the availability of data, six influencing factors are selected for modeling and analysis. At the macroeconomic level, the logarithm of gross domestic product (GDP) is chosen, the market concentration index (CR4) is selected at the industry level, the asset ratio is selected at the micro level, the non-performing loan ratio (BLDK), the loan-to-deposit ratio (DCB), and the ratio of intermediate business income to income are selected. Because the sample in this paper is 7 indexes of 14 listed commercial banks from 2005 to 2011, which accord with the wide and short sample data, the panel data model is used to carry out empirical analysis. The research shows that the proportion of assets can not pass the significance test. The results show that the other four explanatory variables can pass the significance test and the overall fitting is good. Finally, on the basis of empirical conclusions, five policy recommendations are proposed to improve the performance of commercial banks.
【学位授予单位】：南京财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.33

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