本文關(guān)鍵詞：中國信托公司效率及全要素生產(chǎn)率的測度與影響因素研究　出處：《湖南大學》2012年博士論文　論文類型：學位論文

  更多相關(guān)文章： 信托公司 技術(shù)效率 全要素生產(chǎn)率 Malmquist-Luenberger生產(chǎn)率指數(shù) 方向性距離函數(shù)

【摘要】：從1979年10月我國第一家信托投資公司的誕生,到1989年大約有1000家信托投資公司存在于全國各地；從1982年開始的國務院對信托業(yè)的數(shù)次整頓,到2007年以“一法兩規(guī)”為基礎的信托法律法規(guī)體系形成,我國信托業(yè)在不斷摸索中前行。盡管信托業(yè)與銀行、保險、證券等其他金融行業(yè)相比,發(fā)展不夠成熟、社會認可度不高、市場影響力較小,但信托業(yè)在中國金融體系和經(jīng)濟建設中起著重要的金融中介和橋梁作用,是未來金融業(yè)不可忽視的潛在生力軍。在此背景下,對我國信托公司效率和生產(chǎn)率進行客觀評價,計算信托公司各年度效率值,測度全要素生產(chǎn)率的年度變化,找出效率和生產(chǎn)率的主要影響因素,就顯得尤為重要。 本文遵循從理論到實踐的研究路徑,理論上分析信托的內(nèi)涵和功能,實踐上回顧了中國信托業(yè)發(fā)展的五個階段,顯示出信托業(yè)制度變遷的鮮明特征。本文將信托公司效率和生產(chǎn)率具體界定為信托公司技術(shù)效率和全要素生產(chǎn)率,技術(shù)效率研究的是同一時期相同生產(chǎn)前沿面下不同信托公司的效率差距,是一種相對效率,效率值在0到1之間,是靜態(tài)分析；全要素生產(chǎn)率則是不同時期不同信托公司生產(chǎn)率的變化,是通過指數(shù)來衡量的不同時期的變化值,是動態(tài)分析。技術(shù)效率和全要素生產(chǎn)率之間有著密切聯(lián)系,通過Malmquist生產(chǎn)率指數(shù)的分解就可以把兩者聯(lián)系起來；研究中通過技術(shù)進步由相同生產(chǎn)前沿過渡到不同生產(chǎn)前沿,由靜態(tài)的技術(shù)效率測度過渡到動態(tài)的全要素生產(chǎn)率測度,實現(xiàn)了由靜態(tài)到動態(tài)的深入系統(tǒng)研究。全要素生產(chǎn)率的研究可以說是效率研究的更進一步,不僅考慮了不同年份信托公司的效率變化情況,還考慮到了信托行業(yè)技術(shù)進步情況,從這個層面來看,效率和全要素生產(chǎn)率具有一定的邏輯順承關(guān)系。 技術(shù)效率的測度。技術(shù)效率測度中投入和產(chǎn)出指標的選擇最為關(guān)鍵,本文利用KS檢驗和T檢驗來確定模型中投入指標為勞動力、資本金和營業(yè)費用,產(chǎn)出指標為信托收入和信托公司凈利潤。一方面,利用DEA測度我國信托公司技術(shù)效率并進行分解,發(fā)現(xiàn)信托公司技術(shù)效率均值較低。另一方面,考慮到信托公司不良資產(chǎn)會影響技術(shù)效率,以信托公司不良資產(chǎn)作為“非期望”產(chǎn)出,加入到產(chǎn)出指標當中,利用基于方向性距離函數(shù)的DEA模型測度了考慮“非期望”產(chǎn)出的信托公司技術(shù)效率。比較兩種測度方法,從相同年度信托公司效率排名中發(fā)現(xiàn),考慮非期望產(chǎn)出后,由于不良資產(chǎn)的拖累,部分信托公司效率排名出現(xiàn)一定程度的倒退,比如中泰信托和山東國信。 全要素生產(chǎn)率的測度。Malmquist生產(chǎn)率指數(shù)和Malmquist-Luenberger生產(chǎn)率指數(shù)是生產(chǎn)率研究中較為常用的兩種模型。基于Malmquist生產(chǎn)率指數(shù)模型,我國信托公司2004～2010年的全要素生產(chǎn)率呈現(xiàn)出不斷上升趨勢,全要素生產(chǎn)率的增長主要來自于技術(shù)變化,技術(shù)效率變化的貢獻較小�；贛almquist-Luenberger生產(chǎn)率指數(shù)模型,考慮“非期望”產(chǎn)出情況下重新測度了信托公司全要素生產(chǎn)率,并對這兩組測度結(jié)果進行比較分析,發(fā)現(xiàn)在2004-2007年間,Malmquist生產(chǎn)率指數(shù)變化均值要稍高于不良資產(chǎn)約束下的Malmquist-Luenberger生產(chǎn)率指數(shù)測度結(jié)果,說明不良資產(chǎn)會在一定程度上降低信托公司生產(chǎn)率增長水平。但是,2007-2010年間,兩種全要素生產(chǎn)率變化曲線逐漸收窄并交織在一起,沒有明顯趨勢,說明不良資產(chǎn)對信托業(yè)全要素生產(chǎn)率的影響是逐年下降的,尤其是銀監(jiān)會在頒布《信托公司凈資本管理辦法》以后,整個信托行業(yè)不良資產(chǎn)都有大幅下降。 技術(shù)效率和全要素生產(chǎn)率的影響因素分析。通過對中國信托公司技術(shù)效率和全要素生產(chǎn)率的測度,發(fā)現(xiàn)不同信托公司之間存在著顯著差異,需要利用回歸模型確定導致各信托公司技術(shù)效率和全要素生產(chǎn)率波動的長期和實質(zhì)性因素。一方面,運用面板Tobit模型和系統(tǒng)GMM模型對信托公司技術(shù)效率的影響因素進行實證分析,計量結(jié)果表明資產(chǎn)周轉(zhuǎn)率、費用率和資本充足率與信托公司綜合技術(shù)效率負相關(guān),資產(chǎn)收益率和市場份額與信托公司綜合技術(shù)效率正相關(guān)。另一方面,運用隨機森林算法從宏觀、行業(yè)和微觀三方面入手,挑選影響全要素生產(chǎn)率的主要因素,并構(gòu)建面板計量模型,發(fā)現(xiàn)資本市場、房地產(chǎn)市場、資產(chǎn)收益率和市場份額四個指標與全要素生產(chǎn)率成正相關(guān)關(guān)系,公司規(guī)模與全要素生產(chǎn)率成負相關(guān)關(guān)系,產(chǎn)權(quán)變量不顯著。 在上述分析的基礎上,從加速形成信托公司核心競爭力、加強信托公司風險控制力、積極推進信托產(chǎn)品和業(yè)務創(chuàng)新、深化與金融同業(yè)戰(zhàn)略合作四個方面提出了相關(guān)政策建議,以此提高信托公司效率,促進信托業(yè)生產(chǎn)率的不斷,確保信托業(yè)的長期健康穩(wěn)定發(fā)展。
[Abstract]:From the birth of October 1979 China's first trust and investment companies, in 1989 there were about 1000 trust and investment companies in the country; from the beginning of 1982 the State Council of the trust industry to rectify several times, the trust system of laws and regulations to "one law and two regulations" as the basis for the formation of 2007, China's trust industry constantly groping forward. Although the trust industry and the banking, insurance, securities and other financial industry compared, development is not mature enough, social recognition is not high, the smaller influence market, but the trust industry in China financial system and economic construction plays an important role of financial intermediary and financial industry, is a potential force can not be ignored in the future. Under the background, the objective evaluation of the Chinese trust company's efficiency and productivity, calculated trust each year efficiency value, annual variation of total factor productivity measurement, to find out the efficiency and productivity of the main It is particularly important to influence factors.
This paper follows the research path from theory to practice, analyze the connotation and function of trust theory, practice reviews the five stages of the development of China trust industry, showing the distinct characteristics of the trust system changes. This article will trust company efficiency and productivity is defined as the specific trust company technical efficiency and total factor productivity, technical efficiency research is the efficiency gap between different trust companies under the same period in the same production frontier, is a kind of relative efficiency, efficiency value between 0 to 1, is a static analysis; total factor productivity is the change of different trust productivity in different periods is measured by an index of different periods of change, is a dynamic analysis. There is close relationship between technical efficiency and total factor productivity, through the decomposition of the Malmquist productivity index can be linked; study by technological progress by phase With the transition to the production frontier of different production frontier, from static to transition to measure technical efficiency, total factor productivity measure dynamic, to realize the thorough research of dynamic static. By the research of TFP can be said to be the research efficiency further, not only taking into account the efficiency changes of trust in different years, also taking into account the technical progress of the trust industry, from this perspective, the efficiency and total factor productivity has a logical consequence relation.
The measure of technical efficiency. The key for input and output indicators to measure technical efficiency, selection, this paper uses KS test and T test to determine the model input index for labor, capital and operating expenses, net profit for the output indicators of income trust and trust companies. On the one hand, the technical efficiency of China Trust Company DEA measure and decomposed, found the mean technical efficiency of trust is low. On the other hand, taking into account the trust of non-performing assets will affect the technical efficiency, as a "non expected" output to the trust company of bad assets, added to the output index, using DEA model to measure the directional distance function based on the consideration of "trust company technical efficiency non expected" output. Two kinds of measuring methods, found from the same year efficiency ranking of trust company, considered undesirableoutputs, because of the bad assets on the part of the trust The company's efficiency ranking has fallen to a certain extent, such as the Sino Thai trust and the Shandong state letter.
Measure the total factor productivity of.Malmquist productivity index and Malmquist-Luenberger index are two kinds of popular model of productivity research. Malmquist productivity index based on the model of trust companies in China from 2004 to 2010 the total factor productivity shows a rising trend, the TFP growth mainly from technical change, technical efficiency change little contribution. Malmquist-Luenberger productivity index based on the model, considering the non expected output case to re measure the trust TFP, and the two group measure results were compared, found in the 2004-2007 years, mean change of Malmquist productivity index is slightly higher than the Malmquist-Luenberger productivity index to measure the non-performing assets under the constraints that non-performing assets will be reduce the level of productivity growth in the trust company to a certain extent. Is 2007-2010, two years, the total factor productivity curve gradually narrowed and intertwined, no obvious trend, illustrates the influence of non-performing assets of the trust industry total factor productivity is declining, especially in the CBRC promulgated "measures for the administration of net capital of trust companies" after the non-performing assets of the trust industry has dropped significantly.
Analysis of the factors affecting technical efficiency and total factor productivity. Through measure of technical efficiency and total factor productivity Chinese trust company, found that there are significant differences between different companies, using the regression model to determine the technical efficiency and lead to the trust company to long-term and substantial factor productivity fluctuations. On the one hand, the use of factors effect of panel Tobit model and GMM model system on the technical efficiency of the trust company to carry on the empirical analysis, the results show that the asset turnover ratio, expense ratio and capital adequacy ratio and trust company comprehensive technical efficiency are negatively related to asset returns and market share and trust is positively related to the comprehensive technical efficiency. On the other hand, using the random forest algorithm from the macro aspect, the three industry and the main factors affecting the selection of micro start, total factor productivity, and construct a panel econometric model, the capital The four indicators of market, real estate market, asset return and market share are positively correlated with total factor productivity. The size of the company is negatively correlated with total factor productivity, and the property rights variables are not significant.
On the basis of the above analysis, from accelerating the formation of core competitiveness of trust companies, trust companies to strengthen risk control, and actively promote trust products and business innovation, deepening and the four aspects of financial strategic cooperation puts forward relevant policy suggestions, in order to improve the efficiency of trust, promote the trust industry productivity, ensure the long-term healthy and stable development in the trust industry.

【學位授予單位】：湖南大學
【學位級別】：博士
【學位授予年份】：2012
【分類號】：F224;F832.49

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