我国商业银行效率与风险的关系研究

发布时间：2019-04-02 17:12

【摘要】：随着经济增长进入“新常态”、利率市场化改革加快推进、互联网金融挑战,我国银行业所处环境之复杂前所未有。在宏观经济增长放缓的大背景下,商业银行面临着盈利增速下降以及资产质量波动等问题的挑战,同时金融的改革与转型也给商业银行带来了很多机遇,面对新一轮的挑战和机遇,如何有效提高效率、控制风险成为商业银行管理的重要问题。本文围绕商业银行效率与风险进行了深入研究。首先,从静态和动态两个角度测算了我国商业银行的技术效率和全要素生产效率变动。其次,运用因子分析法对商业银行的风险进行了测算。再次,运用DEA方法和Tobit模型对商业银行效率与风险之间的关系进行研究。研究发现我国商业银行的技术效率和纯技术效率呈现先下降后上升的趋势,国有商业银行的技术效率的下降慢于股份制商业银行和城市商业银行,并且三类商业银行技术效率值的区别越来越小；商业银行的风险呈现先下降后上升的趋势；考虑风险之后的商业银行的技术效率、纯技术效率与全要素生产效率的值比没有考虑风险因素的效率值要大；对于全样本而言,商业银行的综合风险、非利息收入占比、净利差与银行效率呈现正相关关系,且影响是显著的,商业银行的资产规模对银行效率的影响是不显著的；对不同类型的商业银行而言,综合风险、非利息收入占比、净利差和资产规模对不同类型的商业银行效率的影响是不同的；对于全样本而言,信用风险因子、流动性风险因子与商业银行效率呈现正相关关系,资本风险、经营性风险因子与商业银行效率呈现负相关关系,但是影响不显著。最后,在实证结论的基础上,对提高银行效率和加强风险管理提出了对策。
[Abstract]:With the economic growth entering the "new normal", the reform of interest rate marketization speeds up, Internet finance challenges, and the environment of our banking industry is more complicated than ever before. Against the background of slowing macro-economic growth, commercial banks face the challenges of declining profit growth and fluctuating asset quality. At the same time, the reform and transformation of finance have also brought many opportunities for commercial banks. Facing a new round of challenges and opportunities, how to effectively improve efficiency and control risks has become an important issue in the management of commercial banks. This paper focuses on the efficiency and risk of commercial banks. Firstly, the technical efficiency and total factor production efficiency of commercial banks in China are measured from static and dynamic angles. Secondly, the factor analysis method is used to calculate the risk of commercial banks. Thirdly, the relationship between efficiency and risk of commercial banks is studied by using DEA method and Tobit model. It is found that the technical efficiency and pure technical efficiency of commercial banks in China are decreasing first and then rising. The decline of technical efficiency of state-owned commercial banks is slower than that of joint-stock commercial banks and urban commercial banks. And the difference of the technical efficiency of the three kinds of commercial banks is getting smaller and smaller; The risk of commercial bank shows the trend of decreasing first and then rising, considering the technical efficiency of commercial bank after risk, the value of pure technical efficiency and total factor production efficiency is bigger than that of non-risk factor. For the whole sample, the overall risk of commercial banks, the proportion of non-interest income, the net interest margin has a positive correlation with the bank efficiency, and the impact is significant, the size of assets of commercial banks has no significant impact on the efficiency of banks; For different types of commercial banks, the combined risk, the proportion of non-interest income, the net interest margin and the size of assets have different effects on the efficiency of different types of commercial banks. For the whole sample, there is a positive correlation between credit risk factor, liquidity risk factor and commercial bank efficiency, while there is a negative correlation between capital risk and operational risk factor with commercial bank efficiency, but there is no significant influence on credit risk factor, liquidity risk factor and commercial bank efficiency. Finally, on the basis of empirical conclusions, this paper puts forward some countermeasures to improve the efficiency of banks and strengthen risk management.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2016
【分类号】：F832.33

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