基于超效率DEA模型的我国商业银行经营效率实证研究

发布时间：2018-03-09 15:02

本文选题：商业银行　切入点：经营效率　出处：《山东财经大学》2012年硕士论文　论文类型：学位论文

【摘要】：近年来，对商业银行效率的研究成为国际金融界和各监管当局研究的重点，银行业的经营效率是银行竞争力的综合表现，是经济发展内在质量的体现。银行经营效率的高低直接影响整个金融体系的资源配置能力，对稳定经济运行有着重要作用，提高经营效率是银行防范风险和可持续发展的关键，是金融市场稳定发展的保证。自2000来，我国商业银行既经历着自身体制的改革又经历着外在经营环境的改变，虽然效率水平有了一定的提高，但是同国外一流银行相比仍存在较大差距，基于要在金融一体化不断加快的国际金融市场上搏得一席之地的现实需要，对我国商业银行经营效率进行测度分析探索有效的改进措施具有十分重要的意义。在上述背景下，本文回顾梳理了国内外大量相关研究文献，对现有的研究成果进行了归纳总结，并对银行经营效率理论进行了阐述，在解释银行效率的涵义给出效率分类的同时阐述了商业银行经营效率分析的理论基础，并从宏观、中观和微观三个方面分析影响商业银行经营效率的具体因素，，之后详细介绍了本文采用的实证模型，并进行了实证分析。为了能反映我国商业银行经营的整体状况，文章选取了我国12家总资产额、存贷款额之和占我国商业银行总和的80%左右，管理能力和管理水平也能较好地代表我国银行业的总体水平的较有影响力的国有控股和非国有控股商业银行为研究样本，在传统DEA模型的基础上引入超效率DEA模型和Malmquist指数模型，并引入对比实证，首先从商业银行经营的最终目标-盈利性的角度重新界定银行投入和产出变量后进行效率测评分析，然后引入风险投入指标（贷款损失准备金）进行对比分析，一方面克服了传统的DEA模型无法解决同为DEA有效的决策单元之间的评价，另一方面将动态效率与静态效率结合横向和纵向地来分析我国商业银行在整个样本期间的效率变化状况，且将难以量化的风险因素也纳入了指标体系。通过研究，发现我国商业银行效率在2000-2010年整体趋势向上，国有控股商业银行与非国有控股商业银行还存在一定的差距，但这种差距在不断缩小。我国商业银行效率在2006年以前大幅提升，主要缘于股份制改革和外资银行的进入加剧了金融市场竞争，在2007年金融危机之际，效率水平明显波动向下，但是之后迅速回升，这充分说明了我国商业银行具有一定的稳定性能够有效抵御外界的冲击。另外研究结果还显示，我国国有控股商业银行2002年以前技术效率无效主要缘于规模效率无效，2002年之后纯技术效率无效成为制约主因，而非国有控股商业银行则主要经历了规模收益递增、不变到递减的状态，但是其纯技术效率值较高，在进行改革的过程中必须分而治之。同时对比实证还表明风险对商业银行经营效率的测评具有显著影响，必须充分考虑风险因素以便准确评价银行效率。针对实证结果，文章给出了相应的提高我国商业银行经营效率的对策建议，包括深化改革、建立高效的监管机制、优化规模、提高资本充足率、技术创新以及加强风险管理等。在文章最后，对全文进行了总结，并对不足之处进行了未来展望。
[Abstract]:In recent years, the research on the efficiency of commercial banks has become the focus of international finance and the regulatory authorities of the banks' efficiency is the comprehensive performance of banking competitiveness, is also the intrinsic quality of economic development. The bank operating efficiency directly affects the allocation of resources of the whole financial system, has an important effect on the stability of economic operation that is the key to improve the operating efficiency of bank risk prevention and sustainable development, to ensure the stable development of the financial market. Since 2000, China's commercial banks are experiencing self system reform and experiencing the external business environment changes, although the efficiency level has been improved, but compared with the foreign banks still have a large class the gap between reality, need to constantly accelerate the financial integration of the international financial market make a space for one person based on the operating efficiency of China's commercial banks were measured It is of great significance to explore the effective improvement measures by the degree analysis.
Under the above background, this paper reviews the relevant research literature at home and abroad, the existing research results are summarized, and the bank efficiency theory was expounded, the meaning of the bank efficiency classification efficiency are given and explained the basic theory of commercial bank business efficiency analysis, and from the macro, specific meso and micro factors analysis of three aspects affect the operational efficiency of commercial banks, then introduces the empirical model used in this paper, and the empirical analysis.
In order to reflect the overall situation of China's commercial banks, the paper selected China's 12 total assets, loan amount and the sum of China's commercial banks accounted for about 80%, the overall level of management ability and management level can also be a good representative of China's banking industry are more influential in the state-controlled and non state holding commercial banks as the research sample, the introduction of super efficiency DEA model and Malmquist index model based on the traditional DEA model, and introduced a comparative empirical analysis of efficiency evaluation, the ultimate goal - the first from the commercial bank profitability point of bank re define the input and output variables, then introduce the risk index of the investment (loan loss reserves) a comparative analysis, overcome the traditional DEA model can not solve the same between the DEA effective decision unit evaluation, on the other hand, the dynamic efficiency and static efficiency. The efficiency changes of China's commercial banks during the whole sample period are analyzed both horizontally and vertically, and the risk factors which are difficult to quantify are also included in the index system.
Through the study, found that the efficiency of China's commercial banks in 2000-2010 years the overall upward trend, there is still a gap between state-owned commercial banks and state-owned commercial banks, but the gap is shrinking. The efficiency of China's commercial banks increase significantly in 2006, mainly due to the stocksystem reform and the entry of foreign banks has exacerbated the financial the market competition in the 2007 financial crisis, the efficiency level fluctuated significantly down, but then quickly rebounded, this fully shows that China's commercial banks have a certain stability, can effectively resist the external impact. The results also showed that the state-owned commercial banks before 2002 invalid due toTechnical efficiency invalid scale efficiency in 2002 after the pure technical efficiency isbecome restrict factor, and non-state-owned commercial banks have experienced increasing returns to scale, the same to the The state of decline, but the pure technical efficiency is high, in the reform process must divide and rule. At the same time the empirical comparison also shows that risk has a significant impact on the evaluation of the efficiency of commercial banks, must fully consider the risk factors for the accurate evaluation of bank efficiency. According to the empirical results, this paper gives the corresponding countermeasures and suggestions to improve the management efficiency the Commercial Bank of our country, including deepening reform, establish efficient supervision mechanism, optimize the scale, improve the capital adequacy ratio, technological innovation and strengthen risk management. In the end, a summary of the text, and the deficiency of the future.

【学位授予单位】：山东财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.33;F224

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