基于DEA模型的上市商业银行效率研究

发布时间：2018-06-23 02:51

本文选题：银行业绩 + 银行效率　；参考：《西南财经大学》2012年硕士论文

【摘要】：2005年至2008年间,是个特殊的时间段,金融危机席卷全球,并且直到现在都没有结束的迹象。欧洲发生债务危机,美国经济低谷徘徊,虽然都采取了一系列挽救经济政策,但颓势仍在继续,中国也不能独善其身。在这样的环境下,作为虚拟经济的代表,中国银行业将会有怎样的表现?在这期间,中国四大国有银行纷纷股份制改造,上市,极大的改变了中国银行业的效率。那这是不是基于改制使中国银行业效率的提高呢?本文以经济学和现代金融学理论为指导,运用DEA模型及专业软件,定性分析与定量分析相结合,研究中国商业银行效率问题,及为提升中国商业银行效率提供政策建议。最后通过分析,发现虽然这几年中国经济不是很稳定,银行的效率得到了提高,但效率的提高不能完全归功于改制上市。本文采用数据包络分析方法分析我国商业银行效率,其结构上可以分为六部分：第一部分为绪论,主要介绍本文的研究背景,研究思路,研究创新及研究不足,总括本文的框架。第二部分主要区分了银行效率与银行业绩的区别,因为在过去的研究中,容易把银行业绩包含在银行效率中,其实这两个是不同的概念,银行业绩反映了一个银行的基本运营情况,包括银行的资产管理能力,风险控制能力,中间业务和表外业务的发展能力,这些情况可以直接通过银行的财务报表分析得出,是比较肤浅的指标,如果投资者,监管者,高层管理者,政府决策者希望了解银行的真正情况,就必须分析银行的效率,这才是反映银行运营的真正指标。在定义了银行效率后,本文通过文献综述的方式分析了国内外对银行效率的研究,国外对银行效率的研究比较早,也比较深入,他们不仅在理论上有所突破,并且已抽象出一些宏观经济模型,但是在国内,虽然研究也比较早,但一般都是利用传统理论的分析方法,研究不是很深入,直到2000年以后,才开始利用西方比较成熟的分析范式研究中国银行效率。第三部分主要介绍了数据包络分析方法,以及其在测度银行效率方面的适用性。数据包络分析方法作为一种非参数方法,可以看作是一种统计分析的全新方法,它是通过一组关于输入一输出的观察值来估计有效生产前沿面,数据包络分析方法在处理多输入,多输出的问题的能力更为有效。而且,数据包络分析方法不仅可以用线性规划的方法来判断决策单元对应的点是否位于有效生产前沿面上,同时又可获得许多有用的管理决策信息。因此,它比其它的一些方法(包括采用统计的方法)优越,用处也更广泛。在本文中,我们详细分析了数据包络分析方法理论基础,特点,及其在分析银行效率时的步骤。接下来,我们分析了数据包络分析方法的在测度银行效率方面的适用性,通过分析,我们发现：虽然数据包络分析方法有居多缺点,但不失为一种分析银行效率的好方法,其优点非常明显,该方法不需要任何理论模型作为测度效率标准,并可将营运、风险等因素加入指标分析。这样可以避免基准的差异带来的误差。本文通过四个步骤来分析银行效率：第一步：确定评价目的,数据包络分析方法的重要问题是确定评价目的。第二步是选取评价对象,第三步是投入,产出指标的选择,第四步是对结果进行分析。第四部分：由于在数据包络分析中,相关投入,产出指标的选择非常重要,所以单独列出一章来分析此问题。首先,银行效率研究指标有其原则,如指标要易于获得,指标要规范,全面,数据要易于获得等,其次,在以往的研究中,指标的选择方法有很多,例如中介发,生产法等,各方法都其优势,及一些不足。国内外的研究中都对此有不同程度的研究,本文在分析中发现,有些数据难以找到,我们难以用单一的方法去分析,所以经过综合考虑,我们综合以上方法的优点,缺点,结合我国银行的特点,本文选取的投入指标为存款,员工。产出的指标为贷款,净利息收入和净利润。银行是一个特殊的企业,负债率较高,他是通过吸收存款,发放贷款来经营,本文认为,影响银行效率的投入指标为存款额,银行员工。银行是通过投入吸收来的存款去发放贷款,获取利息,和进行投资。银行作为一个理性经济人,所以在发放贷款时需将把风险控制在最低范围内,银行通过发放贷款获得收入的,不同银行的贷款管理方法有所不同,风险控制方法各异,所以我们把银行贷款作为产出指标是合理的。至于银行员工,应该作为投入指标,银行属于服务业,虽然现在银行逐渐通过机器化的设备,及信息化去替代人工,但在银行成本中,员工费用仍是银行重要的成本,并且员工素质直接影响的效率。至于存款,存款在金融机构的投入产出分类中是最有争议的,由于要支付储户存款利息,因此存款有投入特征,又是银行进行贷款投资的重要基础,故又有投入特性。这几年我国的居民储蓄存款一直居高不下,特别在我国不断降低利率的情况下,居民存款还是不断增加,总数已经超过十万亿元人民币,这些存款一方面为银行提供了充足的贷款资金,另一方面也给银行带来一定的利息压力,但对银行来说,可以看成是银行通过支付利息及品牌,员工,获得的存款,所以本文将存款作为投入项。第五部分：通过数据包络分析方法,对银行效率进行实证研究,本文选择了十四家银行作为研究对象,他们是中国银行,中国农业银行,中国建设银行,中国工商银行,华夏银行,上海浦发银行,深圳发展银行,兴业银行,中信银行,招商银行,光大银行,交通银行,民生银行,宁波银行,这些银行都是上市银行,数据比较容易获得,通过分析,我们发现在金融危机的背景下,我国银行效率都有所提高,这主要得益于中国良好的经济形势,及这些年的银行的深入改革,虽然银行效率都有所提高,但股份制银行由于机制灵活,提高比较快。第六部分：是政策建议,银行效率的提高是一个过程,但这些措施将有助于银行效率的提高：首先要进一步深化银行改革,提高员工素质,优化所有权结构,优化资产结构,提高管理水平,加强信息化等。本文结论如下： (1)银行的上市提高了整体效率商业银行的纷纷上市,特别是大型银行的上市,极大的提高了中国银行业的效率,在2005年,中国建设银行上市,在2006年,中国银行,中国工商银行上市,2007年交通银行上市,还有很多小的股份制银行的上市。上市改变了银行的性质,提高了管理水平,权责更加明确,效率得到了较大的提高。这说明我们国家对四大国有银行的改革措施是对的,有利于我国银行业长足发展。 (2)经济波动对中国银行效率影响不大在2005年至2008年间,中国经济发展经历了较大的波动,既有国内原因,也有国际原因,但对中国银行业效率影响较小,中国的银行通过内部改革,克服了困难,获得了发展。 (3)全球性的金融危机对中国影响较小这次全球性的金融危机由金融衍生品引起的,而我们国家银行金融衍生品发展比较之后,损失相对较小。所以这次金融危机对中国的影响较小。由于数据资料的缺失及对相关知识缺乏,商业银行一些投入要素的价格不易获得,因此本文计算了商业银行的技术效率、纯技术效率和规模效率,对于其综合效率有待于后进一步研究。
[Abstract]:From 2005 to 2008, it was a special period of time, the financial crisis swept the world, and there was no sign of the end. Europe has a debt crisis, the American economy is wandering, although a series of economic policies have been taken, but the declining trend is still continuing, and China can not take its own good. In this environment, as a virtual Jing. What is the performance of China's banking industry? During this period, the four state-owned banks in China have been reformed and listed, which greatly changed the efficiency of the Chinese banking industry. Is this the improvement of the efficiency of China's banking industry based on restructuring? This article, guided by the theory of economics and modern finance, uses the DEA model and its specialization. Industry software, qualitative analysis and quantitative analysis are combined to study the efficiency of Chinese commercial banks and provide policy suggestions for improving the efficiency of China's commercial banks. Finally, through analysis, it is found that although China's economy is not very stable in recent years, the efficiency of the bank has been improved, but the efficiency can not be fully attributed to the reform and listing.
This paper uses data envelopment analysis to analyze the efficiency of China's commercial banks. Its structure can be divided into six parts.
The first part is the introduction, which mainly introduces the research background, research ideas, research innovation and research deficiencies, and summarizes the framework of this article.
The second part mainly distinguishes the difference between the efficiency of the bank and the performance of the bank, because in the past, the performance of the bank is easily included in the efficiency of the bank. In fact, the two are different concepts. The performance of the bank reflects the basic operation of a bank, including the management ability of the bank, the ability of risk control, the intermediary business and the table. The development ability of external business can be obtained through the analysis of the financial statements of the bank. It is a superficial indicator. If investors, supervisors, senior managers and government decision-makers want to know the real situation of the bank, it is necessary to analyze the efficiency of the bank, which is the real indicator of the operation of the bank.
After defining the efficiency of the bank, this paper analyzes the research on bank efficiency at home and abroad through literature review. The research on bank efficiency is earlier and more in-depth abroad. They not only have a breakthrough in theory, but also have abstracted some macro economic models, but they are in the country, although the research is relatively early, but they are generally good. The study of traditional theory is not very thorough. Only after 2000 did the western mature analysis paradigm be used to study the efficiency of Chinese banks.
The third part mainly introduces the method of data envelopment analysis and its applicability in measuring the efficiency of the bank. As a nonparametric method, DEA can be regarded as a new method of statistical analysis. It is used to estimate the effective production frontiers and data envelopment by a set of observations on the input output. The analysis method is more effective in dealing with multiple input and multiple output problems. In addition, the data envelopment analysis method can not only use the linear programming method to determine whether the corresponding points of the decision unit are located on the effective production front, but also obtain a lot of useful management decision information. Therefore, it is compared with other methods (including the other methods). In this paper, we analyze the theoretical basis of the data envelopment analysis (DEA), the characteristics, and the steps in the analysis of the efficiency of the bank. Then, we analyze the applicability of the data envelopment analysis method to measure the efficiency of the bank. Through analysis, we find that although the data are data The method of enveloping analysis has many disadvantages, but it is a good method to analyze bank efficiency. Its advantages are very obvious. This method does not need any theoretical model as a measure efficiency standard, and can add operation, risk and other factors to the index analysis. This can avoid the error caused by the difference of the benchmark. This paper is analyzed by four steps. Bank Efficiency: the first step is to determine the purpose of evaluation. The important problem of the method of data envelopment analysis is to determine the purpose of evaluation. The second step is to select the evaluation object, the third step is the input, the selection of the output index, and the fourth step is the analysis of the results.
The fourth part: because in the data envelopment analysis, the selection of the related input and output index is very important, so a separate chapter is listed to analyze the problem. First, the index of the efficiency of the bank has its principle, such as the index should be easily obtained, the index should be standardized, comprehensive, and the data are easy to obtain. Secondly, in the previous research, the choice of the index There are many methods, such as intermediaries, production methods, and other methods, their advantages, and some shortcomings. In the domestic and foreign research, there are different degrees of research. In this paper, we find that some data are difficult to find, we are difficult to use a single method to analyze it, so we have integrated the advantages and disadvantages of the above methods. According to the characteristics of China's Bank, the investment index selected in this paper is deposit, employee. The index of output is loan, net interest income and net profit. The bank is a special enterprise with high debt rate. He is by absorbing deposits and issuing loans to operate. In this paper, the input index of bank efficiency is deposit, bank employees. As a rational economic person, the bank needs to control the risk to the minimum, and the bank can obtain the income by issuing the loan. The loan management method of the different banks is different and the risk control method is different, so we take the loan. Bank loan as an indicator of output is reasonable. As for the bank employees, the bank should be an investment index, the bank belongs to the service industry. Although the bank is now gradually through the machine and information to replace the labor, the cost of the bank is still the important cost of the bank, and the efficiency of the employee's quality is directly affected. Money and deposit are the most controversial in the input-output classification of financial institutions. Due to the interest of depositors, the deposit has the characteristics of investment, and it is also an important basis for the bank to invest in loans. Therefore, the savings deposits of our country have been high in the last few years, especially in the case of continuous reduction of interest rates in our country, Resident deposits are still increasing, and the total amount has exceeded one hundred thousand billion yuan. These deposits, on the one hand, provide sufficient loan funds for the banks, on the other hand, bring some interest pressure to the banks, but for the banks, they can be regarded as banks by paying interest and brand, employees, and deposits. For input.
The fifth part: through the method of data envelopment analysis, the paper makes an empirical study on the efficiency of the bank. This paper chooses fourteen banks as the research object. They are Bank of China, China Agricultural Bank, China Construction Bank, ICBC, Huaxia Bank, Shanghai Pudong Development Bank, Shenzhen Development Bank, Xingye bank, CITIC Bank, China Merchants Bank, The Bank of Guangda, the Bank of communications, the Minsheng Bank, the Bank of Ningbo, are all the listed banks, and the data are easy to obtain. Through the analysis, we find that in the context of the financial crisis, the efficiency of our banks has been improved, which is mainly due to the good economic situation in China, and the deepening reform of the banks in these years, although the efficiency of the bank is all It has been improved, but joint-stock banks have been quicker because of flexible mechanism.
The sixth part: it is a policy proposal, the improvement of the efficiency of the bank is a process, but these measures will help improve the efficiency of the bank. First, we should further deepen the reform of the bank, improve the quality of the employees, optimize the ownership structure, optimize the structure of assets, improve the management level, and strengthen the information.
The conclusion of this paper is as follows:
(1) the listing of banks improves the overall efficiency
The listing of commercial banks, especially the listing of large banks, greatly improved the efficiency of China's banking industry. In 2005, China Construction Bank was listed, in 2006, the Bank of China, the ICBC listed, the Bank of communications listed in 2007, and many small joint-stock banks were listed. The listing of the bank has changed the nature of the bank and improved the management of the bank. This shows that our country's reform measures for the four major state-owned banks are right, which is conducive to the rapid development of China's banking industry.
(2) economic fluctuation has little effect on the efficiency of China's Bank
From 2005 to 2008, China's economic development experienced great fluctuations, both domestic and international reasons, but had little impact on the efficiency of China's banking industry. China's banks had overcome difficulties and developed through internal reform.
(3) the global financial crisis has little impact on China
The global financial crisis is caused by financial derivatives, and our national bank financial derivatives are relatively small after the development of financial derivatives, so the financial crisis has less impact on China.
Because of the lack of data and the lack of relevant knowledge, the price of some input elements of commercial banks is not easy to obtain. Therefore, this paper calculates the technical efficiency of commercial banks, pure technical efficiency and scale efficiency. The comprehensive efficiency of commercial banks need to be further studied.
【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】：F832.33;F224

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