利率市场化对我国商业银行效率影响的实证分析

发布时间：2018-03-09 21:47

本文选题：利率市场化　切入点：DEA　出处：《山东大学》2014年硕士论文　论文类型：学位论文

【摘要】：20世纪90年代初,国有银行的商业化改革标志着中国金融体制开始由政府主导型向市场主导型过渡。1993年,党的十四届三中全会《关于建立社会主义市场经济体制若干问题的决定》提出了利率市场化改革的基本设想。银行是运营资金的企业,利率是资金的价格,银行业商业化改革一个很重要的方面就是引入竞争,通过价格机制甄别需求、提高配置效率,从而达到增强企业活力与竞争力、提高银行业绩效的目的,也即是进行利率的市场化改革。银行的商业化改革将极大的依赖于利率市场化改革的进程。经过多年的金融深化与金融改革,我们不禁提出以下问题：(1)目前我国各类商业银行整体运行效率情况如何?(2)利率市场化程度对各类商业银行的效率有着怎样的影响?(3)利率市场化对商业银行影响差别的原因是什么,怎样改进? 为此,本文选取了4家国有商业银行、10家股份制商业银行共14家商业银行作为考察对象,包括中国工商银行、中国农业银行、中国银行、中国建设银行、交通银行、中信银行、光大银行、华夏银行、民生银行、广发银行、深圳发展银行、招商银行、兴业银行、浦发银行。首先,对1996-2010年中国利率市场化程度进行测定。这一过程将对我国利率市场化程度的测定分为两个步骤：第一,选取2010年为基期年,并测定该年的利率市场化程度值；第二,根据其余年份出台的利率市场化相关政策,利用档次取值法,以基期值为初始值,倒推出其余年份的利率市场化程度值。其次,再采用14家商业银行2000—2010年的职工人数、固定资产净值、银行存款总额作为投入变量,选取税前利润、贷款总额作为产出变量。选取投入导向型模型,在考虑规模报酬可变的情况下,运用数据包络DEA方法的VRS模型对商业银行年度效率进行测算。最终,结合上述两点,建立Tobit模型对面板数据进行回归,研究利率市场化对商业银行效率的影响。研究结果表明：一方面,在样本期间内,样本银行的年度平均技术效率(crste)和规模效率(scale)波动幅度较大,纯技术效率(vrste)较为平稳,但都无明显变化趋势。其中,股份制银行的年度平均技术效率(crste)和规模效率(scale)相对较高,国有银行相对较低；年度平均纯技术效率(vrste)二者有高有低,无绝对优势。另一方面,利率市场化对商业银行的技术效率(crste)和规模效率(scale)有显著的负影响。其中,相对于股份制银行,利率市场化对国有银行的影响程度更大也更为显著。此外,国内生产总值对数Ln(GDP)、市场集中度CR4、不良贷款率NPL、盈利能力ROA、资产配置DR和上市虚拟变量OWNER也部分通过了显著性检验,它们对商业银行总体以及各类银行的三种效率也有着不同程度的影响。
[Abstract]:In early 1990s, the commercialization reform of state-owned banks marked the beginning of the transition of China's financial system from a government-led to a market-oriented one. The decision of the third Plenary session of the 14 CPC Central Committee on the Establishment of a Socialist Market Economic system puts forward the basic assumption of market-oriented interest rate reform. Banks are enterprises with operating funds, and interest rates are the prices of funds. A very important aspect of commercial banking reform is to introduce competition, identify demand through price mechanism, improve allocation efficiency, so as to enhance the vitality and competitiveness of enterprises and improve banking performance. The commercial reform of banks will greatly depend on the process of interest rate marketization reform. After years of financial deepening and financial reform, We can not help but ask the following question: 1) at present, what is the overall operational efficiency of all kinds of commercial banks in China? (2) how does the degree of interest rate marketization affect the efficiency of commercial banks? What are the reasons for the difference in the influence of interest rate marketization on commercial banks and how to improve it? Therefore, this paper selects four state-owned commercial banks, 10 joint-stock commercial banks and 14 commercial banks, including Industrial and Commercial Bank of China, Agricultural Bank of China, Bank of China, China Construction Bank, Bank of Communications, etc. Citic Bank, Everbright Bank, Huaxia Bank, Minsheng Bank, Guangfa Bank, Shenzhen Development Bank, China Merchants Bank, Industrial Bank, Pudong Development Bank. In this process, the degree of interest rate liberalization in China is divided into two steps: first, select 2010 as the base year, and measure the interest rate marketization value in that year; second, determine the degree of interest rate marketization in that year. According to the relevant policies of interest rate marketization in the other years, using the grade value method and taking the base period value as the initial value, the interest rate marketization degree value of the remaining year is put forward upside down. Secondly, the number of employees of 14 commercial banks from 2000 to 2010 is adopted. Net fixed assets, total bank deposits as input variables, pre-tax profits, total loans as output variables. The annual efficiency of commercial banks is measured by using the VRS model of data envelopment DEA. Finally, combining the above two points, a Tobit model is established to regress the panel data to study the effect of interest rate marketization on the efficiency of commercial banks. The results show that, on the one hand, the annual average technical efficiency (CR) and scale efficiency (scale) of the sample banks fluctuate greatly during the sample period, while the pure technical efficiency is relatively stable, but there is no obvious change trend. The annual average technical efficiency and scale efficiency of joint-stock banks are relatively high, while those of state-owned banks are relatively low. Interest rate marketization has a significant negative impact on the technical efficiency and scale efficiency of commercial banks. Logarithmic GDP, market concentration CR4, non-performing loan ratio, profitability, asset allocation Dr and listed virtual variable OWNER have also passed the significance test. They also have varying degrees of influence on the overall efficiency of commercial banks as well as on the three kinds of banks.
【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F832.33

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