基于因子分析和超效率DEA的我国商业银行效率研究

发布时间：2018-01-09 03:19

本文关键词：基于因子分析和超效率DEA的我国商业银行效率研究　出处：《湖南大学》2014年硕士论文　论文类型：学位论文

【摘要】：自从我国对外资银行开放以来，我国银行业面临的经营环境发生了改变。除了外资银行不断涌入带来的竞争压力，我国商业银行体系也在逐渐发生改变，中小银行数量增加，政策性银行也转向市场化，加上许多影子银行参与进来，使得我国银行业的竞争加剧。在这样的宏观环境下，我国商业银行必须进行改革和创新，不断提高其效率，这样才能在激烈的竞争中立于不败之地。效率问题是经济学的核心命题之一，商业银行效率问题研究也是学术界和银行监管部门关注的焦点问题。传统的DEA方法在计算商业银行效率时不能较好地解决效率值均为1的银行之间的比较，为此本文选择了超效率DEA方法，则可以对效率前沿银行进行合理的比较。但运用这两个模型时投入产出变量个数受到硬约束的限制，即样本个数至少要大于投入、产出变量数量之和的两倍。此外，投入和产出变量之间还要满足相关性较强，，投入（产出）变量间要满足相关性较弱的原则。针对指标选取全面性和指标个数太多的这种矛盾，本文利用因子分析的思想对超效率DEA方法进行改进，构建出了因子分析-超效率DEA方法，然后运用该方法测算出我国16家商业银行的效率。计算出的效率值展现了各家商业银行效率的高低，然而研究和分析影响商业银行效率高低的各种因素更具有理论价值和现实意义。本文以2012年各个银行的效率得分为因变量，从产权结构、资产质量、银行规模、资产配置、人力资源和创新能力六个方面选取指标作为自变量，运用Tobit模型对我国银行效率的影响因素进行分析。研究发现：我国商业银行X效率整体上呈现上升态势，而且近几年大型国有银行效率的提升幅度大于股份制商业银行，但其效率值仍然低于股份制商业银行；资产配置及创新能力与我国商业银行的效率呈正相关关系，而产权结构、银行规模和资产质量呈负相关关系，并且资产配置、银行规模和产权结构依次为最具影响力的三个因素。
[Abstract]:Since the opening of our country to foreign banks, the operating environment of our banking industry has changed. In addition to the competitive pressure brought by the continuous influx of foreign banks, the commercial banking system of our country is also gradually changing. The increase in the number of small and medium-sized banks, the policy banks have also turned to marketization, plus the participation of many shadow banks, which makes the competition of our banking industry intensified. In such a macro environment. The commercial banks of our country must carry on the reform and innovation, improve their efficiency constantly, so as to be in an invincible position in the fierce competition. Efficiency is one of the core propositions of economics. The efficiency of commercial banks is also the focus of academic and banking regulators. The traditional DEA method can not solve the problem of comparing the efficiency of commercial banks with efficiency value of 1. For this reason, this paper chooses the super-efficiency DEA method. But the number of input-output variables is restricted by hard constraints, that is, the number of samples is at least larger than the input. The number of output variables is twice as large. In addition, there is a strong correlation between input and output variables. The input-output variables should satisfy the principle of weak correlation. In view of the contradiction between the comprehensive selection of indicators and the number of indicators, this paper uses the idea of factor analysis to improve the super-efficiency DEA method. The factor analysis-super-efficiency DEA method is constructed, and then the efficiency of 16 commercial banks in China is calculated by using this method. The calculated efficiency shows the efficiency of commercial banks. However, it is of theoretical value and practical significance to study and analyze the factors that affect the efficiency of commercial banks. This paper takes the efficiency score of each bank in 2012 as a dependent variable, from the property structure, asset quality. The bank size, asset allocation, human resources and innovation ability are selected as independent variables. Tobit model is used to analyze the influencing factors of bank efficiency in China. The study finds that the X efficiency of commercial banks in our country is on the whole rising. In recent years, the efficiency of large state-owned banks is higher than that of joint-stock commercial banks, but its efficiency is still lower than that of joint-stock commercial banks. Asset allocation and innovation ability are positively correlated with the efficiency of commercial banks in China, while property structure, bank size and asset quality are negatively correlated, and asset allocation. Bank size and property structure are the three most influential factors.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F832.33

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