资本监管下的中小商业银行利润效率研究

发布时间：2018-10-31 16:40

【摘要】：资本监管是三代《巴塞尔协议》始终如一的监管核心,从1988年的《巴塞尔资本协议》首次统一资本充足率监管,到2004年《新巴塞尔资本协议》将资本充足率监管扩大至三大资本监管框架,再到被誉为近几十年来最严厉的资本监管改革,即《巴塞尔协议Ⅲ》的推出和实施,无不彰显了资本监管在银行业监管中举足轻重的地位。旨在通过对最低资本限额控制来提高商业银行风险抵御能力是资本监管的核心,但这也无形中对以利润最大化为经营目标的商业银行利润效率产生了影响。特别是对与大型银行相比,在规模效益、创新能力、市场控制力以及政策待遇均处于劣势的中小商业银行无疑会产生更大的影响。因此,中小商业银行利润效率情况和资本监管对其影响程度是本文的研究重点。商业银行利润效率是建立在利润最大化基础上的,对银行投入和产出情况进行考察,即商业银行能否以尽可能低的成本获得最大产出或是否选择获利能力最高的产出组合。本文在对相关文献梳理、评述的基础上,发现中小商业银行的利润效率之间存在差异,且受资本监管影响也较大。因此,本文以10家上市的中小商业银行数据为样本,采用随机前沿方法测量出样本银行在2006-2010年的利润效率,并在此基础上利用回归分析法进一步检验了资本充足率、存贷比、拨备覆盖率、流动性比率和杠杆率资本监管指标与利润效率的关系和影响程度,得出以下主要结论： 1.从利润效率的实现程度来看,中小商业银行的平均利润效率仅为0.6649,存在33.51%的利润效率丢失,且样本银行之间的利润效率差距较大,这说明我国中小商业银行的利润效率还有较大的提升空间。因此,在无法与大型银行进行规模竞争的情况下,中小商业银行探寻适合自身特点的发展路径、避免陷入盲目的规模竞争,另辟蹊径,走特色发展之路才是未来出路。 2.从资本监管对中小商业银行利润效率的影响程度来看,资本充足率、存贷比、拨备覆盖率、流动性比率资本监管指标与利润效率之间存在一定的影响关系,而拨备覆盖率与利润效率的关系不显著。其中资本充足率、存贷比和流动性比率对利润效率的影响较为显著,拨备覆盖率对利润效率的影响较弱。 3.对中小商业银行实行更加严格的资本充足率监管会使其风险抵御能力得到显著增强,但可能会导致其风险偏好趋向保守、信贷规模缩小、融资成本加大,进而影响其利润效率的实现。在利差收入仍然占据银行业主要获利地位的实际情况下,资本监管的信贷紧缩效应对中小商业银行尤为明显。因此,监管当局根据中小商业银行自身发展情况合理确定资本监管指标对我国中小商业银行发展,乃至整个中国银行业均有重要意义。
[Abstract]:Capital supervision is the core of the three generations of the Basel Accord. Since 1988, the Basel Accord has unified the capital adequacy ratio for the first time. In 2004, the Basel II Capital Accord expanded the capital adequacy supervision to three major capital regulatory frameworks, and was praised as the most severe capital supervision reform in recent decades, namely, the introduction and implementation of Basel III. The capital supervision plays an important role in banking supervision. It is the core of capital supervision to improve the risk resistance of commercial banks by controlling the minimum capital limit, but it also has an effect on the profit efficiency of commercial banks whose aim is to maximize profits. Especially for the small and medium-sized commercial banks which are inferior in scale efficiency innovation ability market control and policy treatment compared with the large banks there is no doubt that the small and medium-sized commercial banks will have a greater impact. Therefore, the profit efficiency of medium and small commercial banks and the influence of capital supervision on it are the focus of this paper. The profit efficiency of commercial banks is based on the maximization of profits. It investigates the input and output of banks, that is, whether the commercial banks can obtain the maximum output at the lowest possible cost or choose the output combination with the highest profitability. On the basis of reviewing and reviewing the relevant literatures, this paper finds that there are differences in profit efficiency of small and medium-sized commercial banks, which are also influenced by capital supervision. Therefore, taking the data of 10 small and medium-sized commercial banks listed as samples, this paper uses the stochastic frontier method to measure the profit efficiency of the sample banks from 2006 to 2010, and further tests the capital adequacy ratio by using regression analysis. The relationship between deposit / loan ratio, reserve coverage rate, liquidity ratio and leverage ratio capital supervision index and profit efficiency are discussed. The main conclusions are as follows: 1. The average profit efficiency of small and medium-sized commercial banks is only 0.6649, which is 33.51% lost, and the difference of profit efficiency between the sample banks is large, and the average profit efficiency of small and medium-sized commercial banks is only 0.6649, and the average profit efficiency of small and medium-sized commercial banks is only 0.6649. This shows that the profit efficiency of small and medium-sized commercial banks in China still has greater room for improvement. Therefore, in the case of scale competition with large banks, small and medium-sized commercial banks seek the development path suitable for their own characteristics, avoid falling into blind scale competition, and take a unique development path is the way out for the future. 2. From the view of the influence of capital supervision on profit efficiency of small and medium-sized commercial banks, there is a certain relationship between capital adequacy ratio, deposit / loan ratio, reserve coverage rate, liquidity ratio, capital supervision index and profit efficiency. However, the relation between reserve coverage and profit efficiency is not significant. Among them, the capital adequacy ratio, the ratio of deposit to loan and the liquidity ratio have a significant effect on the profit efficiency, while the coverage rate of provisions has a weak effect on the profit efficiency. 3. More strict supervision of capital adequacy ratio of small and medium-sized commercial banks will significantly enhance their ability to resist risks, but it may lead to conservative risk appetite, reduced credit scale and increased financing costs. Then it affects the realization of profit efficiency. In the actual situation that the interest income still occupies the main profit position of the banking industry, the credit tightening effect of capital supervision is especially obvious to the small and medium-sized commercial banks. Therefore, according to the development of small and medium-sized commercial banks, the regulatory authorities reasonably determine the capital supervision indicators for the development of small and medium-sized commercial banks in China, and even the entire Chinese banking industry is of great significance.
【学位授予单位】：安徽财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.1;F832.33

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