發(fā)布時(shí)間：2018-03-09 21:47

  本文選題：利率市場(chǎng)化　切入點(diǎn)：DEA　出處：《山東大學(xué)》2014年碩士論文　論文類(lèi)型：學(xué)位論文

【摘要】：20世紀(jì)90年代初,國(guó)有銀行的商業(yè)化改革標(biāo)志著中國(guó)金融體制開(kāi)始由政府主導(dǎo)型向市場(chǎng)主導(dǎo)型過(guò)渡。1993年,黨的十四屆三中全會(huì)《關(guān)于建立社會(huì)主義市場(chǎng)經(jīng)濟(jì)體制若干問(wèn)題的決定》提出了利率市場(chǎng)化改革的基本設(shè)想。銀行是運(yùn)營(yíng)資金的企業(yè),利率是資金的價(jià)格,銀行業(yè)商業(yè)化改革一個(gè)很重要的方面就是引入競(jìng)爭(zhēng),通過(guò)價(jià)格機(jī)制甄別需求、提高配置效率,從而達(dá)到增強(qiáng)企業(yè)活力與競(jìng)爭(zhēng)力、提高銀行業(yè)績(jī)效的目的,也即是進(jìn)行利率的市場(chǎng)化改革。銀行的商業(yè)化改革將極大的依賴(lài)于利率市場(chǎng)化改革的進(jìn)程。經(jīng)過(guò)多年的金融深化與金融改革,我們不禁提出以下問(wèn)題：(1)目前我國(guó)各類(lèi)商業(yè)銀行整體運(yùn)行效率情況如何?(2)利率市場(chǎng)化程度對(duì)各類(lèi)商業(yè)銀行的效率有著怎樣的影響?(3)利率市場(chǎng)化對(duì)商業(yè)銀行影響差別的原因是什么,怎樣改進(jìn)? 為此,本文選取了4家國(guó)有商業(yè)銀行、10家股份制商業(yè)銀行共14家商業(yè)銀行作為考察對(duì)象,包括中國(guó)工商銀行、中國(guó)農(nóng)業(yè)銀行、中國(guó)銀行、中國(guó)建設(shè)銀行、交通銀行、中信銀行、光大銀行、華夏銀行、民生銀行、廣發(fā)銀行、深圳發(fā)展銀行、招商銀行、興業(yè)銀行、浦發(fā)銀行。首先,對(duì)1996-2010年中國(guó)利率市場(chǎng)化程度進(jìn)行測(cè)定。這一過(guò)程將對(duì)我國(guó)利率市場(chǎng)化程度的測(cè)定分為兩個(gè)步驟：第一,選取2010年為基期年,并測(cè)定該年的利率市場(chǎng)化程度值；第二,根據(jù)其余年份出臺(tái)的利率市場(chǎng)化相關(guān)政策,利用檔次取值法,以基期值為初始值,倒推出其余年份的利率市場(chǎng)化程度值。其次,再采用14家商業(yè)銀行2000—2010年的職工人數(shù)、固定資產(chǎn)凈值、銀行存款總額作為投入變量,選取稅前利潤(rùn)、貸款總額作為產(chǎn)出變量。選取投入導(dǎo)向型模型,在考慮規(guī)模報(bào)酬可變的情況下,運(yùn)用數(shù)據(jù)包絡(luò)DEA方法的VRS模型對(duì)商業(yè)銀行年度效率進(jìn)行測(cè)算。最終,結(jié)合上述兩點(diǎn),建立Tobit模型對(duì)面板數(shù)據(jù)進(jìn)行回歸,研究利率市場(chǎng)化對(duì)商業(yè)銀行效率的影響。 研究結(jié)果表明：一方面,在樣本期間內(nèi),樣本銀行的年度平均技術(shù)效率(crste)和規(guī)模效率(scale)波動(dòng)幅度較大,純技術(shù)效率(vrste)較為平穩(wěn),但都無(wú)明顯變化趨勢(shì)。其中,股份制銀行的年度平均技術(shù)效率(crste)和規(guī)模效率(scale)相對(duì)較高,國(guó)有銀行相對(duì)較低；年度平均純技術(shù)效率(vrste)二者有高有低,無(wú)絕對(duì)優(yōu)勢(shì)。另一方面,利率市場(chǎng)化對(duì)商業(yè)銀行的技術(shù)效率(crste)和規(guī)模效率(scale)有顯著的負(fù)影響。其中,相對(duì)于股份制銀行,利率市場(chǎng)化對(duì)國(guó)有銀行的影響程度更大也更為顯著。此外,國(guó)內(nèi)生產(chǎn)總值對(duì)數(shù)Ln(GDP)、市場(chǎng)集中度CR4、不良貸款率NPL、盈利能力ROA、資產(chǎn)配置DR和上市虛擬變量OWNER也部分通過(guò)了顯著性檢驗(yàn),它們對(duì)商業(yè)銀行總體以及各類(lèi)銀行的三種效率也有著不同程度的影響。
[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.
【學(xué)位授予單位】：山東大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F832.51;F832.33

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