基于随机前沿分析方法的城市商业银行经济效率研究
发布时间：2018-10-04 18:41
【摘要】：当前,银行业不仅仅是我国金融体系的核心产业,同时也关系着我国的经济命脉,其发展不仅对银行业甚至对整个金融行业资源的整合和利用都会起到非常重要的作用。随着中国银行业的不断改革,我国四大国有银行独占鳌头的格局已经被新兴股份制银行、外资银行、民营银行和众多城市商业银行共同参与市场竞争的局面所打破,其中,城市商业银行发展尤为迅猛。但是城市商业银行发展时间短、规模较小、实力不强,因此在银行业竞争越来越激烈的环境下,努力提升自身的竞争力至为关键。城市商业银行要想在残酷的竞争格局中处于不败之地,首要任务就是提升自身的经济效率,从经济学的角度来讲,就要通过某些途径让银行在输出一定时可以获得较大的回报,或者是银行在收益一定时只需要最少的资源投入,因此城市商业银行经济效率的研究显得尤为必要。本文从经济学的角度,充分考虑银行的成本和利润,利用参数方法中的随机前沿分析方法(SFA)对我国城市商业银行的经济效率即成本效率和利润效率进行测算和分析。首先本文从国内外参数法、非参数法这两个维度综述了商业银行前沿效率研究的现状,然后介绍了银行效率的内涵和测算方法,并通过分析不同测算方法的优劣选定随机前沿分析方法(SFA)为本文的研究方法,同时还阐述了银行风险对银行效率的影响;其次本文在详细讨论随机前沿分析方法理论和各种不同模型的的基础上,选定The Battese and Coelli(1992)模型,以柯布-道格拉斯成本函数(Cobu-Dauglas,C-D)作为基本函数形式,通过嵌入风险因素构建出最终的成本效率边界函数和利润效率边界函数模型;最后本文在考虑随机前沿模型的特点以及样本指标获取的可能性的基础上,采取中介法和资产法相结合的方法选择投入产出指标,并以18家城市商业银行近五年的面板数据为样本进行实证研究。实证发现风险因素对城市商业银行效率的影响是显而易见的,引入风险因素更能真实地反映城市商业银行的经济效率。同时整体上各城市商业银行的成本效率、利润效率值在逐年下降,反映出其成本控制能力和盈利能力在减弱。城市商业银行上市与否、资产规模大小并不能直接决定其效率的高低。因此要从强风险监管,避免盲目的规模扩张等方面促进城市商业银行经济效率的提高。
[Abstract]:At present, the banking industry is not only the core industry of our financial system, but also related to the economic lifeline of our country. Its development will not only play a very important role in the integration and utilization of the banking industry and even the whole financial industry resources. With the continuous reform of China's banking industry, the pattern of four state-owned banks in our country has been broken by the situation of emerging joint-stock banks, foreign banks, private banks and many city commercial banks participating in market competition, among which, Urban commercial banks are developing rapidly. But the development time of the city commercial bank is short, the scale is small, the strength is not strong, therefore in the banking industry competition more and more intense environment, diligently enhances own competition ability is crucial. If the city commercial banks want to be invincible in the cruel competition pattern, the first task is to improve their own economic efficiency. From the economic point of view, it is necessary to let the banks obtain greater returns when they export a certain amount of money from an economic point of view. Or the banks only need the least investment of resources when the income is certain, so it is necessary to study the economic efficiency of the city commercial banks. This paper, from the angle of economics, fully considers the cost and profit of banks, and calculates and analyzes the economic efficiency, namely, cost efficiency and profit efficiency, of urban commercial banks in China by using the stochastic frontier analysis method (SFA) in the parametric method. First of all, this paper summarizes the current situation of the frontier efficiency research of commercial banks from the perspectives of parametric method and non-parametric method, and then introduces the connotation and measurement method of bank efficiency. By analyzing the advantages and disadvantages of different measuring methods, the random frontier analysis method (SFA) is selected as the research method in this paper, and the influence of bank risk on bank efficiency is also expounded. Secondly, on the basis of discussing the theory of stochastic frontier analysis method and various different models in detail, the The Battese and Coelli (1992) model is selected, in which Cobb-Douglas cost function (Cobu-Dauglas,C-D) is taken as the basic function. The final cost efficiency boundary function and profit efficiency boundary function model are constructed by embedding risk factors. Finally, this paper considers the characteristics of stochastic frontier model and the possibility of obtaining sample index. This paper adopts the method of the combination of intermediary law and asset law to choose the input-output index, and takes the panel data of 18 city commercial banks in the past five years as the sample to carry on the empirical research. The empirical results show that the impact of risk factors on the efficiency of urban commercial banks is obvious, and the introduction of risk factors can reflect the economic efficiency of urban commercial banks more truthfully. At the same time, the cost efficiency and profit efficiency of the city commercial banks are decreasing year by year, reflecting the weakening of their cost control ability and profitability. Whether the city commercial bank is listed or not, the size of assets can not directly determine its efficiency. Therefore, it is necessary to promote the economic efficiency of urban commercial banks from the aspects of strong risk supervision and avoiding blind expansion of scale.
【学位授予单位】：哈尔滨工业大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F832.33
本文编号：2251460
[Abstract]:At present, the banking industry is not only the core industry of our financial system, but also related to the economic lifeline of our country. Its development will not only play a very important role in the integration and utilization of the banking industry and even the whole financial industry resources. With the continuous reform of China's banking industry, the pattern of four state-owned banks in our country has been broken by the situation of emerging joint-stock banks, foreign banks, private banks and many city commercial banks participating in market competition, among which, Urban commercial banks are developing rapidly. But the development time of the city commercial bank is short, the scale is small, the strength is not strong, therefore in the banking industry competition more and more intense environment, diligently enhances own competition ability is crucial. If the city commercial banks want to be invincible in the cruel competition pattern, the first task is to improve their own economic efficiency. From the economic point of view, it is necessary to let the banks obtain greater returns when they export a certain amount of money from an economic point of view. Or the banks only need the least investment of resources when the income is certain, so it is necessary to study the economic efficiency of the city commercial banks. This paper, from the angle of economics, fully considers the cost and profit of banks, and calculates and analyzes the economic efficiency, namely, cost efficiency and profit efficiency, of urban commercial banks in China by using the stochastic frontier analysis method (SFA) in the parametric method. First of all, this paper summarizes the current situation of the frontier efficiency research of commercial banks from the perspectives of parametric method and non-parametric method, and then introduces the connotation and measurement method of bank efficiency. By analyzing the advantages and disadvantages of different measuring methods, the random frontier analysis method (SFA) is selected as the research method in this paper, and the influence of bank risk on bank efficiency is also expounded. Secondly, on the basis of discussing the theory of stochastic frontier analysis method and various different models in detail, the The Battese and Coelli (1992) model is selected, in which Cobb-Douglas cost function (Cobu-Dauglas,C-D) is taken as the basic function. The final cost efficiency boundary function and profit efficiency boundary function model are constructed by embedding risk factors. Finally, this paper considers the characteristics of stochastic frontier model and the possibility of obtaining sample index. This paper adopts the method of the combination of intermediary law and asset law to choose the input-output index, and takes the panel data of 18 city commercial banks in the past five years as the sample to carry on the empirical research. The empirical results show that the impact of risk factors on the efficiency of urban commercial banks is obvious, and the introduction of risk factors can reflect the economic efficiency of urban commercial banks more truthfully. At the same time, the cost efficiency and profit efficiency of the city commercial banks are decreasing year by year, reflecting the weakening of their cost control ability and profitability. Whether the city commercial bank is listed or not, the size of assets can not directly determine its efficiency. Therefore, it is necessary to promote the economic efficiency of urban commercial banks from the aspects of strong risk supervision and avoiding blind expansion of scale.
【学位授予单位】：哈尔滨工业大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F832.33
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