基于DEA方法的我国商业银行效率的比较研究

发布时间：2018-06-07 15:39

本文选题：效率 + 数据包络分析法(DEA)　；参考：《西南财经大学》2012年硕士论文

【摘要】：作为我国金融领域名副其实的主力军,商业银行的发展很大程度影响着我国经济的发展。商业银行的经营管理过程中,银行的效率问题显得十分关键。在目前的市场经济条件下,对于银行而言,经营绩效的提高是增强其竞争力的基础,从本质上来说,最为有效和正确的经营策略是能提高商业银行的相对效率。商业银行效率不仅表现了自身的营运业绩,也决定了其竞争力,而且对一国的整体经济运行有着不容忽视的影响。随着我国经济的不断发展,在更为激烈的竞争环境中,银行业想要保持不断增长,那么就需要不断地提高银行的竞争力,从本质上来说,即是要不断提高银行效率。研究银行的效率问题,首先要通过一定的方法进行比较研究,然后找出影响效率的原因,进而提出解决的办法和改进的措施。所以可以通过对商业银行经营管理战略的改善使商业银行效率得到提高,有针对性和有效地提高其竞争力,让商业银行在现今的金融环境中更加的商业化和国际化,最终使我国经济的可持续发展得以实现。这也正是研究商业银行效率的目的,同时也体现出通过研究得出相应的政策建议具有一定的理论依据和现实意义。同时这也正是本文选题的意义所在。本文在对国内外现有文献及研究成果进行收集、学习和总结之后,选定了非参数法中的数据包络分析法作为研究的基本方法(具体是采用的投入导向模型)。同时,为了满足DEA方法的运用法则要求,得出更为准确合理的数据和结论,本文引入了典型相关分析方法得出综合变量,在保留初定投入产出变量指标所含信息的同时,达到降维的目的。我国商业银行,特别是国有控股商业银行在股份制改革上市后,近年来在经营的各个方面都有了很大的提高,不仅在综合效率还是规模效率上都有了长足的进步。本文在对我国十五家上市商业银行,同时国有控股商业银行和股份制商业银行在绩效和运营效率方面仍有区别。2008年至2010年的原始数据进行综合变量的变换后,进行相对效率的测量,实证结果显示,我国国有控股商业银行在进行了股份制改革上市以后,综合效率、纯技术效率以、规模效率值都有所提高,并且在所研究的三年里有了不俗的表现,说明了近几年,我国国有控股商业银行在经营策略和管理模式上都有了较大的改善,整体绩效也有了较大的突破。由此可见,现代商业银行想要继续持续发展,应该实现股份制改革的同时进行市场化的经营。当然,国有控股商业银行绩效的突飞猛进,不仅仅归功于其内部优化,更大的原因在于政策支持,包括宏观调控、政策措施实施的实行使银行贷存款利息收支比、存贷比等指标变动,因此,保持宏观经济环境的稳定也十分重要。实证的比较分析中,我们可以发现,近几年,特别是股份制改革后,我国国有控股商业银行的综合效率无效,越来越大程度来自于规模无效,说明股改促使了纯技术效率的提高,另一方面说明了我国国有控股商业银行的一大问题是机构和员工的冗余现象,需优化人员配置以提高规模效率。另外股份制商业银行因为综合效率相对国有控股商业银行来说相对较高,其中规模效率亦具有较大优势。同时,我国股份制商业银行基本都处于规模报酬不变或者递增的状态,所以可以通过提高要素的投入特别是加大资金投入,得到更高的产出,从而实现规模经济,提高综合经营效率。本文在对商业银行效率进行相对比较研究之后,对其影响因素也进行了分析。研究发现,产权结构的划分、经营管理模式、不良资产比重、资本充足率及自身的金融创新能力对我国商业银行的经营效率有着重大影响。并针对这些问题提出了政策性建议：明细产权结构,创新经营管理模式,提高资本充足率,提高资产配置效率,加大金融创新,精简机构及加大股份制商业银行资金投入等。本文的研究思路遵循从理论到模型再到实证,从商业银行效率的基础理论出发,首先对DEA方法的理论基础、CCR和BCC模型的推导及应用方法进行了深入探讨,由此表明DEA方法在研究商业银行效率时,有着其他方法不能相比的优点。模型中的权数的产生过程没有人为的主观成分,而是由数学规划而得,结果更加客观。另外,DEA模型不会因为输入和输出的单位不同而使测度结果收到影响。同时对典型相关分析的相关理论,包括其数学描述、解答算法典型相关分析的假设检验都进行了详细描述。本文在研究方法的最大创新即是将综合变量与DEA方法结合在一起,然后将前述研究方法运用于实证中。具体而言,在本文研究所选定的十五家上市商业银行的效率问题中,DEA方法在结合典型相关分析方法时,应用步骤如下：首先,为了对我国商业银行效率进行更为准确合理地研究,在选取投入和产出变量指标时,综合全国商业银行经营现状、相对重要性,同时考虑到所选指标对商业银行投入产出真实情况的解释度和数据的可得性,选取能充分反映我国商业银行运营绩效并较容易获得数据的投入和产出指标,争取能最大地体现出其科学性和效率评价的全面性；然后,运用典型相关分析方法,从原始的投入和产出指标变量中选取出综合变量,其特征是具有高度的相关性,从而减少模型中投入和产出指标变量,不仅能保留原始指标对商业银行效率的解释能力,而且达到了降维的目的,同时满足了DMU与变量数目的要求——DMU个数应该大于投入和产出变量数目之和的两倍。其中在确定最终综合变量时,考虑到由典型相关分析方法通过原始投入产出变量算得的综合变量指标数值有的为负数,但是因为DEA模型的输入和输出变量都严格要求是正数,同时原始输入输出指标变量的单位不统一,所以应该对所得出的综合变量进行一定的修正,即将X和Y分别进行正态离差标准化,记作X*、y*；最后,将上一步所求得的综合变量运用在DEA方法模型中,来测度和判断出每一个决策单元(DMU)是不是为DEA有效。主要是运用投入引导型CCR和BCC模型,通过SPSS统计分析软件,测度和评价每个DMU在一定的产出条件下,投入最小化的能力,还有决策单元是不是在最适规模下进行运营。本文的具体研究思路体现在论文框架上为：第一部分,导论。这一部分主要包括研究背景与选题意义、国外和国内有关商业银行效率的文献综述以及研究思路和研究内容。国内外学者对商业银行经营效率的研究取得较为显著的成果,通过对其整理和总结,梳理出比较有代表性的方法和结论,为后文的研究作铺垫。第二部分,商业银行效率理论及DEA模型的理论介绍。对商业银行效率的含义、类型以及现状都进行了详细介绍。同时对DEA方法中主要的两个模型——CCR和BCC模型相关理论包括其特点和使用情况进行介绍。第三部分,对选定的我国共15家上市的商业银行之效率进行实证比较研究。此部分与第四部分是本论文的核心内容。首先通过研究国内外文献,根据投入和产出的相关界定,为了更好反映商业银行的产出和投入的情况,并考虑到数据的易得性,先选取九个投入和产出变量指标,然后简述典型相关分析方法的理论细想过程,并通过运用典型相关分析分别根据原始数据算出投入和产出的综合变量,然后将所得的综合变量结合DEA方法对其分别进行CCR和BCC模型的分析,并得出相关结论,对所研究的十五家上市商业银行分别进行分析,然后主要对国有控股商业银行和股份制商业银行的效率进行比较分析。第四部分,分析影响我国国有控股商业银行和股份制商业银行运营效率的原因并提出针对性的提高效率的建议：明晰产权结构,创新经营管理模式；处理好呆、坏账,降低不良资产比例；精简机构；提高资产配置率；促进金融创新；加大资金的注入等方面。第五部分,结论部分。就之前的研究思路、方法及研究结果进行了相应的总结。总之,在通过对国内外相关文献进行整理、学习和研究,发现国内外学者对商业银行效率问题已经有广泛且相对成熟的研究,研究内容也涉及成本、Malmquist指数、技术效率等多方面。本文在对国内外现有文献及研究成果进行收集、学习和总结之后,借鉴了相应的研究方法并且从我国商业银行的现状出发,尝试将典型相关分析而得的综合变量与非参数法中的数据包络分析法(DEA)结合运用于所选的十五家上市商业银行的效率研究中,并针对实证结果总结出影响商业银行效率的原因,同时针对这些问题尝试着提出相关政策建议,希望能为我国商业银行效率进一步的研究尽一份绵薄之力。
[Abstract]:As the main force of our country's financial field, the development of commercial banks greatly affects the development of our country's economy. In the process of business management, the efficiency of the bank is very critical. Under the current market economy conditions, the improvement of the performance of the business is the basis for enhancing its competitiveness. In essence, the most effective and correct management strategy is to improve the relative efficiency of commercial banks. The efficiency of commercial banks not only shows their own operating performance, but also determines their competitiveness, and has an unneglecting influence on the overall economic operation of a country. With the continuous development of our economy, the competition ring is more intense. In the environment, if the banking industry wants to keep growing, then it is necessary to continuously improve the competitiveness of banks. In essence, it is to continuously improve the efficiency of banks.
In order to study the efficiency of the bank, we should make a comparative study by means of a certain method, then find out the reasons for the efficiency, and then put forward the solutions and measures to improve it. So we can improve the efficiency of commercial banks by improving the management strategy of commercial banks, and improve their competitiveness effectively and pertinence. The commercial banks are more commercialized and internationalized in the present financial environment, and finally the sustainable development of our economy is realized. This is also the purpose of studying the efficiency of commercial banks. It also shows that it has a certain theoretical basis and practical significance to get the corresponding policy suggestions through research. The meaning of it.
After studying and summarizing the existing literature and research results at home and abroad, the data envelopment analysis method in non parametric method is selected as the basic method of research (specifically the input oriented model). At the same time, in order to meet the application rules of the DEA method, more accurate and reasonable data and conclusions are obtained. With the typical correlation analysis method, the comprehensive variable is obtained, while the information contained in the initial input-output variable index is retained and the purpose of reducing the dimension is achieved. In recent years, the commercial banks of China, especially the state-owned holding commercial banks, have been greatly improved in all aspects of their operation after the stock system reform and listing, not only in the comprehensive efficiency or in the comprehensive efficiency. The scale efficiency has made great progress. In this paper, the relative efficiency is measured after the transformation of the original data from.2008 to 2010 in the performance and operation efficiency of fifteen listed commercial banks in China, while the state-owned holding commercial banks and the joint-stock commercial banks are still different in performance and operation efficiency. The empirical results show that China is in China. After the reform and listing of the shareholding system, the state-owned holding commercial banks have improved the comprehensive efficiency, pure technical efficiency, and the scale efficiency value. In the past three years, the state-owned holding commercial banks have shown a good performance. It shows that in recent years, the state-owned holding commercial banks have greatly improved their management strategy and management mode, and the overall performance of the commercial banks in recent years. Therefore, it can be seen that the modern commercial banks want to continue to develop and carry out the market-oriented operation at the same time. Of course, the rapid progress of the performance of the state-owned holding commercial banks is not only due to its internal optimization, but also the big reason for the policy support, including macro regulation and policy measures. The implementation of the implementation of the bank loan deposit interest ratio, loan to deposit ratio and other indicators change, therefore, to maintain the stability of the macroeconomic environment is also very important.
In the comparative analysis, we can find that in recent years, especially after the reform of the shareholding system, the comprehensive efficiency of the state-owned holding commercial banks in China is invalid, and more and more come from the ineffectiveness of the scale. It shows that the stock reform has promoted the improvement of the pure technical efficiency. On the other hand, the major problem of the state-owned holding commercial banks in China is the organization and the organization. The redundancy of employees needs to be optimized to improve the scale efficiency. In addition, the shareholding commercial banks are relatively higher than the state-owned holding commercial banks, and the scale efficiency also has great advantages. At the same time, the stock commercial banks in China are basically in a state of constant or increasing scale reward. In order to achieve the scale economy and improve the efficiency of comprehensive operation, we should increase input of factors, especially increase capital investment, and achieve higher output.
After a comparative study of the efficiency of commercial banks, the influence factors are also analyzed. It is found that the division of the property right structure, the management mode, the proportion of non - performing assets, the capital adequacy ratio and their own financial innovation ability have a great influence on the business efficiency of the commercial banks in China. The policy suggestions are: the structure of the property right, the mode of innovation and management, the improvement of the capital adequacy ratio, the improvement of the efficiency of asset allocation, the increase of financial innovation, the streamlining of the institutions and the increase of the capital investment of the joint-stock commercial banks.
Based on the basic theory of commercial banks' efficiency, the theoretical basis of the DEA method, the derivation and application of the CCR and BCC models are discussed in depth from the theory to the model and the basis of the basic theory of commercial banks' efficiency. Thus, it is shown that the DEA method has the advantages that other methods can not compare when studying the efficiency of commercial banks. The process of generating weight is not subjective, but it is obtained by mathematical programming, and the result is more objective. In addition, the DEA model will not affect the measurement result because of the different units of input and output. Meanwhile, the related theory of canonical correlation analysis, including its mathematical description, and the hypothesis test of the canonical correlation analysis of the algorithm. The biggest innovation in this paper is to combine the integrated variables with the DEA method, and then apply the previous research method to the empirical. Specifically, in the efficiency problem of the fifteen listed commercial banks selected in this study, the DEA method is applied in combination with the canonical correlation analysis method. The following is as follows: first, in order to make a more accurate and reasonable study of the efficiency of the commercial banks in China, when selecting the input and output variables, the relative importance of the operation status of the national commercial banks is integrated, and the degree of interpretation and the availability of the actual situation of the input and output of commercial banks are taken into consideration, and the selection can be fully reversed. The operation performance of China's commercial banks and the input and output indicators of data are easier to obtain, so as to maximize the comprehensiveness of their scientific and efficiency evaluation. Then, using the canonical correlation analysis method, the comprehensive variation is selected from the original input and output index variables, which is characterized by a high degree of relevance and thus reduced. The input and output index variables in the small model can not only preserve the explanatory power of the original index to the efficiency of commercial banks, but also achieve the purpose of reducing the dimension of the DMU and the number of variables. The number of DMU should be two times greater than the sum of the number of input and output variables. The comprehensive variable index value calculated by the original input-output variable is negative, but because the input and output variables of the DEA model are strictly required, and the unit of the original input and output index variable is not unified, it should be modified to a certain number of integrated variables, forthcoming X and Y. The normalization of normal deviations is carried out, and X*, y* are recorded. Finally, the comprehensive variables obtained in the last step are used in the DEA method model to measure and determine whether each decision unit (DMU) is valid for DEA. The main is to use the input guided CCR and BCC model, and to measure and evaluate each DMU through SPSS statistical analysis software. Under the production condition, the ability of input minimization and whether the decision making unit is operating on the optimal scale.
The specific research ideas in this paper are embodied in the framework of the paper.
The first part, introduction. This part mainly includes the research background and the significance of the topic, the literature review on the efficiency of commercial banks abroad and at home, and the research ideas and research contents. The domestic and foreign scholars have made more remarkable achievements in the research of commercial banks' operating efficiency. Methods and conclusions, paving the way for the later study.
In the second part, the theory of commercial bank efficiency and the theoretical introduction of DEA model are introduced. The meaning, type and current situation of commercial bank efficiency are introduced in detail. At the same time, the main two models in the DEA method, CCR and BCC model related theories, including their characteristics and usage are introduced.
The third part makes an empirical study on the efficiency of the selected 15 listed commercial banks in China. This part and the fourth part are the core content of this paper. First, through the study of the literature at home and abroad, according to the definition of input and output, to better reflect the situation of commercial banks' output and input, and to take into account the data easily. Nine input and output variables are selected first, and then the theoretical thinking process of the canonical correlation analysis method is briefly described. By using the canonical correlation analysis, the integrated variables of input and output are calculated according to the original data. Then the integrated variables are combined with the DEA method to analyze the CCR and BCC models respectively, and the results are obtained. Related conclusions, analysis of the fifteen listed commercial banks respectively, and then compare the efficiency of state-owned holding commercial banks and joint-stock commercial banks.
The fourth part analyzes the causes of the operating efficiency of state-owned holding commercial banks and joint-stock commercial banks and puts forward some suggestions for improving efficiency: clear property rights structure, innovative management mode, deal with good, bad debts, reduce the proportion of bad assets; reduce the structure of the machine; improve the allocation rate of assets; and promote financial innovation; Increase the injection of funds and other aspects.
The fifth part, the conclusion part, summarizes the previous research ideas, methods and research results.
In a word, through the collation of relevant literature at home and abroad, learning and research, it is found that scholars at home and abroad have widely and relatively mature research on the efficiency of commercial banks. The research content also involves cost, Malmquist index, technical efficiency and many other aspects. After the conclusion, using the relevant research methods and starting from the current situation of commercial banks in China, we try to combine the comprehensive variables of the typical correlation analysis with the non parametric method of data envelopment analysis (DEA) in the efficiency study of the fifteen listed commercial banks, and summarize the effect of the effect of the commercial banks. At the same time, we try to put forward relevant policy recommendations for these problems, hoping to make a modest contribution to further research on the efficiency of China's commercial banks.
【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.33

【参考文献】