基于风险调控对中国上市商业银行利润效率的实证研究

发布时间：2018-05-09 16:22

本文选题：上市商业银行 + 利润效率　；参考：《四川师范大学》2014年硕士论文

【摘要】：摘要商业银行是一种配置社会闲置资金的特殊金融中介机构,其运营效率直接关系到金融资源在经济社会中的利用程度。因此,研究商业银行利润效率的测定方法和影响其利润效率的风险因素有重要意义。本文采用Battese和Coelli(1992)提出修改后的随机前沿分析方法,利用Fourier柔性函数对2003-2012年间的中国16家上市商业银行的数据进行参数估计,并以此计算出各家商业银行的利润效率估计值以及风险指标Z-score对利润效率的边际影响。在此实证结果的基础上,资产价格、可贷资本价格和其他盈利资产总额与商业银行利润效率分别呈正相关关系；风险指标Z-score和有效贷款总额与商业银行利润效率分别呈负相关关系。分析各家商业银行利润效率变化的趋势和成因,并对上市的大型商业银行、股份制商业银行和城市商业银行的具体情况进行分组对比研究。结果表明各家商业银行利润值与风险因素呈负相关关系,且有随时间上升趋势。其中,上市的股份制商业银行的风险因素对利润效率的影响波动平稳,逐渐趋于近似值；而上市的城市商业银行波动稳步减小。最后,针对以上结果提出了中国的商业银行提高利润效率和控制风险因素的相关政策建议。
[Abstract]:Commercial bank is a special financial intermediary organization which allocates idle funds, and its operational efficiency is directly related to the utilization of financial resources in economic society. Therefore, it is of great significance to study the measurement methods of profit efficiency of commercial banks and the risk factors affecting their profit efficiency. In this paper, the modified stochastic frontier analysis method is proposed by using Battese and Coellion 1992. The data of 16 listed commercial banks in China from 2003 to 2012 are estimated by using the Fourier flexible function. The profit efficiency estimates of commercial banks and the marginal influence of risk index Z-score on profit efficiency are calculated. On the basis of the empirical results, the price of assets, the price of loanable capital and the total amount of other profitable assets are positively correlated with the profit efficiency of commercial banks. The risk index Z-score and total effective loan are negatively correlated with the profit efficiency of commercial banks. This paper analyzes the trend and causes of profit efficiency change of commercial banks, and makes a comparative study on the specific situation of listed large commercial banks, joint-stock commercial banks and urban commercial banks. The results show that the profit value of commercial banks is negatively related to risk factors and has an upward trend with time. Among them, the risk factors of listed joint-stock commercial banks fluctuate steadily on profit efficiency, and gradually tend to approximate value, while the volatility of listed city commercial banks decreases steadily. Finally, some policy suggestions on how to improve profit efficiency and control risk factors of Chinese commercial banks are put forward.
【学位授予单位】：四川师范大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.33;F830.42

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