基于隨機前沿分析方法的城市商業(yè)銀行經(jīng)濟效率研究
發(fā)布時間：2018-10-04 18:41
【摘要】：當前,銀行業(yè)不僅僅是我國金融體系的核心產(chǎn)業(yè),同時也關(guān)系著我國的經(jīng)濟命脈,其發(fā)展不僅對銀行業(yè)甚至對整個金融行業(yè)資源的整合和利用都會起到非常重要的作用。隨著中國銀行業(yè)的不斷改革,我國四大國有銀行獨占鰲頭的格局已經(jīng)被新興股份制銀行、外資銀行、民營銀行和眾多城市商業(yè)銀行共同參與市場競爭的局面所打破,其中,城市商業(yè)銀行發(fā)展尤為迅猛。但是城市商業(yè)銀行發(fā)展時間短、規(guī)模較小、實力不強,因此在銀行業(yè)競爭越來越激烈的環(huán)境下,努力提升自身的競爭力至為關(guān)鍵。城市商業(yè)銀行要想在殘酷的競爭格局中處于不敗之地,首要任務(wù)就是提升自身的經(jīng)濟效率,從經(jīng)濟學的角度來講,就要通過某些途徑讓銀行在輸出一定時可以獲得較大的回報,或者是銀行在收益一定時只需要最少的資源投入,因此城市商業(yè)銀行經(jīng)濟效率的研究顯得尤為必要。本文從經(jīng)濟學的角度,充分考慮銀行的成本和利潤,利用參數(shù)方法中的隨機前沿分析方法(SFA)對我國城市商業(yè)銀行的經(jīng)濟效率即成本效率和利潤效率進行測算和分析。首先本文從國內(nèi)外參數(shù)法、非參數(shù)法這兩個維度綜述了商業(yè)銀行前沿效率研究的現(xiàn)狀,然后介紹了銀行效率的內(nèi)涵和測算方法,并通過分析不同測算方法的優(yōu)劣選定隨機前沿分析方法(SFA)為本文的研究方法,同時還闡述了銀行風險對銀行效率的影響;其次本文在詳細討論隨機前沿分析方法理論和各種不同模型的的基礎(chǔ)上,選定The Battese and Coelli(1992)模型,以柯布-道格拉斯成本函數(shù)(Cobu-Dauglas,C-D)作為基本函數(shù)形式,通過嵌入風險因素構(gòu)建出最終的成本效率邊界函數(shù)和利潤效率邊界函數(shù)模型;最后本文在考慮隨機前沿模型的特點以及樣本指標獲取的可能性的基礎(chǔ)上,采取中介法和資產(chǎn)法相結(jié)合的方法選擇投入產(chǎn)出指標,并以18家城市商業(yè)銀行近五年的面板數(shù)據(jù)為樣本進行實證研究。實證發(fā)現(xiàn)風險因素對城市商業(yè)銀行效率的影響是顯而易見的,引入風險因素更能真實地反映城市商業(yè)銀行的經(jīng)濟效率。同時整體上各城市商業(yè)銀行的成本效率、利潤效率值在逐年下降,反映出其成本控制能力和盈利能力在減弱。城市商業(yè)銀行上市與否、資產(chǎn)規(guī)模大小并不能直接決定其效率的高低。因此要從強風險監(jiān)管,避免盲目的規(guī)模擴張等方面促進城市商業(yè)銀行經(jīng)濟效率的提高。
[Abstract]:At present, the banking industry is not only the core industry of our financial system, but also related to the economic lifeline of our country. Its development will not only play a very important role in the integration and utilization of the banking industry and even the whole financial industry resources. With the continuous reform of China's banking industry, the pattern of four state-owned banks in our country has been broken by the situation of emerging joint-stock banks, foreign banks, private banks and many city commercial banks participating in market competition, among which, Urban commercial banks are developing rapidly. But the development time of the city commercial bank is short, the scale is small, the strength is not strong, therefore in the banking industry competition more and more intense environment, diligently enhances own competition ability is crucial. If the city commercial banks want to be invincible in the cruel competition pattern, the first task is to improve their own economic efficiency. From the economic point of view, it is necessary to let the banks obtain greater returns when they export a certain amount of money from an economic point of view. Or the banks only need the least investment of resources when the income is certain, so it is necessary to study the economic efficiency of the city commercial banks. This paper, from the angle of economics, fully considers the cost and profit of banks, and calculates and analyzes the economic efficiency, namely, cost efficiency and profit efficiency, of urban commercial banks in China by using the stochastic frontier analysis method (SFA) in the parametric method. First of all, this paper summarizes the current situation of the frontier efficiency research of commercial banks from the perspectives of parametric method and non-parametric method, and then introduces the connotation and measurement method of bank efficiency. By analyzing the advantages and disadvantages of different measuring methods, the random frontier analysis method (SFA) is selected as the research method in this paper, and the influence of bank risk on bank efficiency is also expounded. Secondly, on the basis of discussing the theory of stochastic frontier analysis method and various different models in detail, the The Battese and Coelli (1992) model is selected, in which Cobb-Douglas cost function (Cobu-Dauglas,C-D) is taken as the basic function. The final cost efficiency boundary function and profit efficiency boundary function model are constructed by embedding risk factors. Finally, this paper considers the characteristics of stochastic frontier model and the possibility of obtaining sample index. This paper adopts the method of the combination of intermediary law and asset law to choose the input-output index, and takes the panel data of 18 city commercial banks in the past five years as the sample to carry on the empirical research. The empirical results show that the impact of risk factors on the efficiency of urban commercial banks is obvious, and the introduction of risk factors can reflect the economic efficiency of urban commercial banks more truthfully. At the same time, the cost efficiency and profit efficiency of the city commercial banks are decreasing year by year, reflecting the weakening of their cost control ability and profitability. Whether the city commercial bank is listed or not, the size of assets can not directly determine its efficiency. Therefore, it is necessary to promote the economic efficiency of urban commercial banks from the aspects of strong risk supervision and avoiding blind expansion of scale.
【學位授予單位】：哈爾濱工業(yè)大學
【學位級別】：碩士
【學位授予年份】：2015
【分類號】：F832.33
本文編號：2251460
[Abstract]:At present, the banking industry is not only the core industry of our financial system, but also related to the economic lifeline of our country. Its development will not only play a very important role in the integration and utilization of the banking industry and even the whole financial industry resources. With the continuous reform of China's banking industry, the pattern of four state-owned banks in our country has been broken by the situation of emerging joint-stock banks, foreign banks, private banks and many city commercial banks participating in market competition, among which, Urban commercial banks are developing rapidly. But the development time of the city commercial bank is short, the scale is small, the strength is not strong, therefore in the banking industry competition more and more intense environment, diligently enhances own competition ability is crucial. If the city commercial banks want to be invincible in the cruel competition pattern, the first task is to improve their own economic efficiency. From the economic point of view, it is necessary to let the banks obtain greater returns when they export a certain amount of money from an economic point of view. Or the banks only need the least investment of resources when the income is certain, so it is necessary to study the economic efficiency of the city commercial banks. This paper, from the angle of economics, fully considers the cost and profit of banks, and calculates and analyzes the economic efficiency, namely, cost efficiency and profit efficiency, of urban commercial banks in China by using the stochastic frontier analysis method (SFA) in the parametric method. First of all, this paper summarizes the current situation of the frontier efficiency research of commercial banks from the perspectives of parametric method and non-parametric method, and then introduces the connotation and measurement method of bank efficiency. By analyzing the advantages and disadvantages of different measuring methods, the random frontier analysis method (SFA) is selected as the research method in this paper, and the influence of bank risk on bank efficiency is also expounded. Secondly, on the basis of discussing the theory of stochastic frontier analysis method and various different models in detail, the The Battese and Coelli (1992) model is selected, in which Cobb-Douglas cost function (Cobu-Dauglas,C-D) is taken as the basic function. The final cost efficiency boundary function and profit efficiency boundary function model are constructed by embedding risk factors. Finally, this paper considers the characteristics of stochastic frontier model and the possibility of obtaining sample index. This paper adopts the method of the combination of intermediary law and asset law to choose the input-output index, and takes the panel data of 18 city commercial banks in the past five years as the sample to carry on the empirical research. The empirical results show that the impact of risk factors on the efficiency of urban commercial banks is obvious, and the introduction of risk factors can reflect the economic efficiency of urban commercial banks more truthfully. At the same time, the cost efficiency and profit efficiency of the city commercial banks are decreasing year by year, reflecting the weakening of their cost control ability and profitability. Whether the city commercial bank is listed or not, the size of assets can not directly determine its efficiency. Therefore, it is necessary to promote the economic efficiency of urban commercial banks from the aspects of strong risk supervision and avoiding blind expansion of scale.
【學位授予單位】：哈爾濱工業(yè)大學
【學位級別】：碩士
【學位授予年份】：2015
【分類號】：F832.33
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