金融危机后中国商业银行全要素生产率的主导成分探析

发布时间：2018-06-23 06:59

本文选题：商业银行 + 方向性距离函数　；参考：《吉林大学》2017年硕士论文

【摘要】：从1978年开始,中国银行业的改革拉开帷幕,逐渐拓宽并深入的改革进程一直持续到现在。中国商业银行在历经前所未有的机遇的同时,也随着经济的深度开放而日益受到世界经济波动的影响。2007年发端于华尔街并迅速蔓延至全球的金融危机仍余波未平,而自危机以来一直以出色的表现引起全球银行业关注的中国商业银行,却在2012年以来陷入了不良贷款加速累积的漩涡。评估中国商业银行效率及全要素生产率的变化情况,探究主导全要素生产率变化的成分并分析主导成分变化的背景原因,从而考量商业银行的改革成果和宏观经济波动对其效率增长的影响,为中国银行业的进一步改革指明方向,在现阶段具有重要的理论和现实意义。本文选取了中国14家商业银行在2007—2015年的财务数据,在DEA效率测评方法的框架下,运用ERBDDM(Enhanced Russell-based Directional Distance Measure)模型测算了在不良贷款约束下的中国商业银行效率水平,并在此基础上运用GML(Global Mulmquist-Luenburger)指数测算银行全要素生产率及其分解情况,包括传统的按技术角度分解和创新性的按产出角度分解的两种方法。在不良贷款基础上,本文进一步考虑了关注类贷款对商业银行全要素生产率水平的影响。本论文还创新性的提出了作为全要素生产率的分解值的效率改善和技术进步在应用到对商业银行绩效评价中的具体含义,弥补了现有文献在内涵分析中的不足。通过将实证结果按照样本银行总体层面、国有大型商业银行和股份制商业银行分组层面以及单个银行层面进行对比分析,本文得出以下主要结论:第一,国有大型商业银行和股份制商业银行全要素生产率增长的主导成分分别是贷款增速和利润增速的提升,表明国有大型商业银行在其规模和垄断地位上更具优势,而股份制银行在经营管理和盈利能力上更具优势;第二,股份制商业银行对经济环境的变化更为敏感;第三,不良贷款问题是拖累我国商业银行全要素生产率退步的主导成分;第四,技术进步是商业银行全要素生产率变动的主导成分,技术进步值的变化主要体现国内外经济波动和相应的宏观政策对商业银行经营绩效的影响;最后,由政府主导的国有大型商业银行的市场化改革促进了国有大型商业银行的效率改善和全要素生产率的增长。本文据此提出以下政策建议:首先,政府管理层应坚持实施好稳健中性的货币政策,增强调控的针对性和有效性,更加重视宏观审慎管理和评估,防范系统性风险的发生,为商业银行转型提供必要政策支持,以发挥商业银行在促进经济结构调整和转型升级中的重要作用。其次,国有大型商业银行应继续深化改革,完善公司治理;股份制商业银行应更加注重信贷资质审查和风险控制;商业银行应在加强风险管理的同时,根据自身优势所在积极开拓具有特色的新业务,积极运用新技术进行服务升级。
[Abstract]:Since 1978, the reform of China's banking industry has begun, and the process of deepening and deepening the reform has been continuing to the present. The financial crisis is still unsettled, but China's commercial banks, which have attracted global banking attention since the crisis, have fallen into a whirlpool in the accelerated accumulation of non-performing loans since 2012. To assess the changes in the efficiency and total factor productivity of China's commercial banks, the composition and analysis of the changes leading to the total factor productivity are explored. In this paper, the financial data of 14 commercial banks in China in the period from 2007 to 2015 are selected, and the financial data of 14 commercial banks in China in the period of 2007 to 2015 are selected. Under the framework of efficiency evaluation method, we use ERBDDM (Enhanced Russell-based Directional Distance Measure) model to calculate the efficiency level of Chinese commercial banks under the constraint of non-performing loans. On this basis, we use the GML (Global Mulmquist-Luenburger) index to calculate the total factor productivity of the bank and its decomposition, including the traditional basis. On the basis of non-performing loans, this paper further considers the effect of concern loan on the total factor productivity level of commercial banks on the basis of non-performing loans. This paper also innovatively proposes that the efficiency improvement and technological progress, as the decomposition value of total factor productivity, are applied to the two methods. The concrete meaning of the performance evaluation of commercial banks makes up for the deficiency of the existing literature in the connotation analysis. By comparing the empirical results according to the overall level of the sample bank, the group level of the state-owned large commercial banks and the joint-stock commercial banks and the single bank level, this paper draws the following main conclusions: first, the state-owned large scale is large. The leading components of the total factor productivity growth of commercial banks and joint-stock commercial banks are the promotion of the growth of loan growth and profit growth, which indicates that the large state-owned commercial banks have more advantages in their scale and monopoly position, while the shareholding banks have more advantages in the management and profitability; second, the joint-stock commercial banks are on the economic ring. The change of the border is more sensitive; third, the non-performing loan problem is the leading component of the total factor productivity degrading of the commercial banks of our country. Fourth, the technological progress is the dominant component of the total factor productivity changes in commercial banks. The change of the technological progress is mainly reflected in the economic waves at home and abroad and the corresponding macro policies on the business performance of commercial banks. Finally, the market-oriented reform of the large state-owned commercial banks led by the government has promoted the improvement of the efficiency of the large state-owned commercial banks and the growth of the total factor productivity. This paper proposes the following policy suggestions: first, the government management should adhere to the sound and neutral monetary policy, and enhance the pertinence and effectiveness of the regulation. More attention should be paid to macro Prudential Management and evaluation, to prevent the occurrence of systemic risk and to provide necessary policy support for the transformation of commercial banks, so as to play the important role of commercial banks in promoting economic restructuring and transformation and upgrading. Secondly, the state-owned large commercial banks should continue to deepen the reform and improve corporate governance; the joint-stock commercial banks should be more effective. We should pay more attention to credit qualification examination and risk control. Commercial banks should actively exploit new technologies to upgrade their services by actively developing new business with their own characteristics in accordance with their own advantages, while strengthening risk management.
【学位授予单位】：吉林大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.33

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