基于随机边界分析法的我国银行经营效率评价研究
|
摘要
银行作为金融体系的核心直接影响着金融业和整体国民经济的竞争实力。回首改革开放30年所走过的路程,我国银行业在中国经济、金融发展和改革开放中做出了巨大的贡献。当今随着经济全球化进程的推进,我国金融市场正积极的向着市场化和国际化迈进,此时的我国银行又承载着更加艰巨的责任。在这样的国内国际大环境下,为保证银行实现高效稳定健康的可持续性发展,从银行自身的角度对其进行经营效率评价研究具有重要的现实意义。
本文的研究对象为我国银行,包括3家政策性银行、4家国有商业银行和8家具有代表性的全国性股份制商业银行。本文将政策性银行纳入研究范围,这是根据我国金融体制改革的步骤适时提出的。未来我国的3家政策性银行也将按照一行一策的方针进行的银行商业化改革,实现自主经营、自负盈亏、自担风险。因此,本文将政策性银行作为样本银行之一进行研究,对我国政策性银行改革和银行总体效率的提升具有重要的参考意义。
本文的总体研究思路是以Battese and Coelli(1995)提出的随机边界分析模型为基础,构建出我国银行的成本无效率评价模型和无效率因子评估模型,运用最大似然估计法,推估1999-2005年样本银行的成本无效率值,同时估计两个模型的系数值,根据实证结果对银行效率高低和各无效率影响因子进行量化和比较。本文经实证研究发现国有银行的经营效率在三类银行中处于最低,其次是政策性银行,经营效率最优的是全国性股份制商业银行。本研究还发现我国银行的股份制改革取得了明显的成效,使得我国银行业的经营效率大幅提升,同时这也得益于加入WTO给中国经济和金融业带来的冲击和挑战。
本研究详细分析了影响我国银行经营效率的这些无效率因素及产生原因,最后提出了提升我国银行经营效率的对策和建议。认为我国银行应从加快建立现代商业银行制度、优化银行的组织架构、加强人力资源管理的创新机制、采用先进的银行业务流程、实施银行服务外包战略等几方面入手,努力把我国银行建设成为高效的健康的领先的现代化国际化金融企业。
The banking, as the core of the financial system of a country, influences a country’s economy and the overall competence. Looking back the course of China’s Reform in 30 years, the banking has made great progress in our country’s economics, financial development and Open Policy. With the speedy development of economic globalization, the financial market in China is more and more market-dominant and international. Under such circumstances, the banking is taking on more responsibilities as well as facing more challenges.
The subjects of this thesis are Chinese banks, including three Policy banks, four State-owned commercial banks and eight major Shareholding commercial banks. In this thesis, Policy banks are taken as research subjects, which is due to the reality that a reform is going on involving China’s financial system. In future, Policy banks in China are inclining to be more commercial than political. They will someday be completely market-dominated. That’s why Policy banks are listed in the subjects of this thesis. The researcher hopes that it will give some indication to the improvement in efficiency of Policy banks as well as the whole banking system in China.
The thesis aims to blueprint two models-Cost inefficiency estimation model and Inefficiency factor estimation model, based on Stochastic Frontier Approach (Battese and Coelli, 1995). Maximum likelihood estimation method is applied to get the banks Stochastic Cost Frontier Function between 1999 and 2005. The thesis also estimates our banks cost inefficiency values and the technical inefficiency influencing factors values. It is proved in this thesis that among the three types of banks the efficiency of State-owned banks is the lowest, inferior to Policy banks, and Shareholding commercial banks have the best efficiency in the three. It is also found out that the reform in Chinese banks has achieved obvious progress, which contributes to great improvement in bank’s efficiency. At the same time, China’s joining in WTO also accordingly influences China’s economy and finance.
This thesis, by probing the variable factors that prohibit bank’s efficiency, gives some valuable suggestions and hints to the improvement of the banking in China. It is supposed that China can set up more advanced, healthy and international banking system by founding commercial regulations, improving banking structure, enforcing staff management and trying creative service procedures.
本文的研究对象为我国银行,包括3家政策性银行、4家国有商业银行和8家具有代表性的全国性股份制商业银行。本文将政策性银行纳入研究范围,这是根据我国金融体制改革的步骤适时提出的。未来我国的3家政策性银行也将按照一行一策的方针进行的银行商业化改革,实现自主经营、自负盈亏、自担风险。因此,本文将政策性银行作为样本银行之一进行研究,对我国政策性银行改革和银行总体效率的提升具有重要的参考意义。
本文的总体研究思路是以Battese and Coelli(1995)提出的随机边界分析模型为基础,构建出我国银行的成本无效率评价模型和无效率因子评估模型,运用最大似然估计法,推估1999-2005年样本银行的成本无效率值,同时估计两个模型的系数值,根据实证结果对银行效率高低和各无效率影响因子进行量化和比较。本文经实证研究发现国有银行的经营效率在三类银行中处于最低,其次是政策性银行,经营效率最优的是全国性股份制商业银行。本研究还发现我国银行的股份制改革取得了明显的成效,使得我国银行业的经营效率大幅提升,同时这也得益于加入WTO给中国经济和金融业带来的冲击和挑战。
本研究详细分析了影响我国银行经营效率的这些无效率因素及产生原因,最后提出了提升我国银行经营效率的对策和建议。认为我国银行应从加快建立现代商业银行制度、优化银行的组织架构、加强人力资源管理的创新机制、采用先进的银行业务流程、实施银行服务外包战略等几方面入手,努力把我国银行建设成为高效的健康的领先的现代化国际化金融企业。
The banking, as the core of the financial system of a country, influences a country’s economy and the overall competence. Looking back the course of China’s Reform in 30 years, the banking has made great progress in our country’s economics, financial development and Open Policy. With the speedy development of economic globalization, the financial market in China is more and more market-dominant and international. Under such circumstances, the banking is taking on more responsibilities as well as facing more challenges.
The subjects of this thesis are Chinese banks, including three Policy banks, four State-owned commercial banks and eight major Shareholding commercial banks. In this thesis, Policy banks are taken as research subjects, which is due to the reality that a reform is going on involving China’s financial system. In future, Policy banks in China are inclining to be more commercial than political. They will someday be completely market-dominated. That’s why Policy banks are listed in the subjects of this thesis. The researcher hopes that it will give some indication to the improvement in efficiency of Policy banks as well as the whole banking system in China.
The thesis aims to blueprint two models-Cost inefficiency estimation model and Inefficiency factor estimation model, based on Stochastic Frontier Approach (Battese and Coelli, 1995). Maximum likelihood estimation method is applied to get the banks Stochastic Cost Frontier Function between 1999 and 2005. The thesis also estimates our banks cost inefficiency values and the technical inefficiency influencing factors values. It is proved in this thesis that among the three types of banks the efficiency of State-owned banks is the lowest, inferior to Policy banks, and Shareholding commercial banks have the best efficiency in the three. It is also found out that the reform in Chinese banks has achieved obvious progress, which contributes to great improvement in bank’s efficiency. At the same time, China’s joining in WTO also accordingly influences China’s economy and finance.
This thesis, by probing the variable factors that prohibit bank’s efficiency, gives some valuable suggestions and hints to the improvement of the banking in China. It is supposed that China can set up more advanced, healthy and international banking system by founding commercial regulations, improving banking structure, enforcing staff management and trying creative service procedures.
引文
[1] KOOPMANS. Analysis of Production as an Efficient Combination of Activities. Activity Analysis of Production and Allocation[M].New York: New York Press, 1951:179-256.
[2] DEBREU G. Theory of Value[M].New York Press, 1951:36-79.
[3] SHEPHERD R W. Cost and Production Functions[M].Princeton University Press, 1953:125-162.
[4] FARRELL M J. The Measurement of Productive Efficiency[J].Journal of Royal Stoical Society, 1957, 120(3):253-326.
[5] AIGNER D J, CHU S F. On Estimating the Industry Production Function[J]. American Economic Review, 1968, 58(4):826-839.
[6] SEITZ W D. Productive Efficiency in the Steam-Electric Generating Industry[J]. Journal of Political Economy, 1971, 79(4):878-886.
[7] TIMMER C P. Using a Probabilistic Frontier Production Function to Measure Technical Efficiency[J].Journal of Political Economy, 1971, 73(4):776-749.
[8] AFRAIT S N. Efficiency Estimation of Production Functions[J].International Economic Review, 1972, 43 (3):568-598.
[9] RICHMOND J. Estimating the Efficiency of Production[J].International Economic Review, 1974, 25 (2):515-521.
[10] MEEUSEN W, VAN DEN BROECK J. Efficiency Estimation from Cobb-Douglas Production Function with Composed Error[J].International Economic Review, 1977, 18(2):435-444.
[11] AIGNER D J, LOVELL C A K, SCHMIDT P. Formulation and Estimation of Stochastic Frontier Production Function Models[J].Journal of Econometrics, 1977, 36(3):21-37.
[12] BATTESE G E, CORRA G S. Estimation of a Production Frontier Model: With Application to the Pastoral Zone off Eastern Australia[J].Australian Journal of Agricultural Economics, 1977, 21(3):169-179.
[13] FORUND F R, LOVELL C A K, SCHMID T P. A Survey of Frontier Production Function and of Their Relationship to Efficiency Measurement[J].Journal ofEconomics, 1980, 13(1):5-25.
[14] JONDROW J, LOVELL C A K, MATEROV I S. On the Estimation of Technical Inefficiency in the Stochastic Frontier Production Function Model[J].Journal of Econometrics, 1982, 19(2):233-238.
[15] COELLI T J. Measurement of Total Factor Productivity Growth and Bases in Technological Change in Western Australian Agriculture[J].Journal of Applied Econometrics, 1996, 11(1):77-91.
[16] FERRIER G, LOVELL C. Measuring Cost Efficiency in Banking: Econometric and Linear Programming Evidence[J].Journal of Economics, 1990, 28(7):229-245.
[17] KAPARAKIS E, MILLER S, NOULAS A. Short-run Cost Inefficiency of Commercial Banks: A Flexible Stochastic Frontier Approach[J].Journal of Money, Credit and Banking, 1994, 26(4): 875-893.
[18] BHATTACHARYYA, ARUNAVA, ELLIOTT PARKER. Labor Productivity and Migration in Chinese Agriculture: A Stochastic Frontier Approach[J].China Economic Review, 1999, 10(6):59-74.
[19] RHOADES S A. The Efficiency Effect of Bank Mergers: An Overview of Case Studies of Nine Mergers[J].Journal of Banking and Finance, 1998, 15(4): 18-23.
[20] CAVALLO, ROSSI. Scale and Scope Economies in the European Banking Systems[J].Journal of Multinational Financial Management, 2001, 11(3):515-531.
[21]钱蓁.中国商业银行的效率研究——SFA方法分析[J].南京社会科学,2003,10(1):41-46.
[22]张建华.我国商业银行效率研究的DEA方法及1997-2001年效率的实证分析[J].金融研究,2003,6(3):11-25.
[23]王聪,邹朋飞.国有商业银行效率影响因素的实证分析[J].暨南学报:人文科学与社会科学版,2004,12(1):24-29.
[24]陈敬学,别双枝.我国商业银行规模经济效率的实证分析及建议[J].金融论坛,2004,8(10):46-51.
[25]刘琛,宋蔚兰.基于SFA的中国商业银行效率研究[J].金融研究,2004,9(6):138-141.
[26]张超,顾锋,邸强.基于随机前沿方法的商业银行利润效率测度[J].哈尔滨商业大学学报:自然科学版,2005,21(4):525-529.
[27]张超,顾锋,邸强.基于随机前沿方法的我国商业银行成本效率测度研究[J].经济问题探索,2005,15(6):116-119.
[28]徐琼.技术效率于前沿面理论评述[J].财经论丛,2005,115(2):29-34.
[29]王宁,李植.数据包络分析法DEA在我国商业银行效率研究中的运用[J].当代经济管理,2006,28(1):67-72.
[30]李春红,张冠龄,关永攀.我国境内中资银行与外资银行的成本效率比较分析[J].经济体制改革,2006,23(6):116-120.
[31]张宗益,周勇,钱灿,赖德林.基于SFA模型的我国区域技术创新效率的实证研究[J].软科学,2006,20(2):125-128.
[32]许晓雯,时鹏将.基于DEA和SFA的我国商业银行效率研究[J].数据统计与管理,2006,25(1):68-72.
[33]黄学元,方伯荣,黄德存,蔡家辉.香港商业银行的成本效率[J].国际银行业,2007, 29(5):13-17.
[34]萨缪尔森.经济学[M].北京:人民邮电出版社,2004:217-223.
[35]成思危.路线及关键:论中国商业银行的改革[M].北京:经济科学出版社,2006:156-157.
[36] ALHADEFF D A. Monopoly and Competition in Commercial Banking[M]. Berkeley: University of California Press, 1954:138-261.
[37] YEH Q. The Application of Data Development Analysis in Conjunction with Financial Ratios for Bank Performance Evaluation[J].Journal of Operation Research Society, 1996, 47(3):980-988.
[38] SHERMAN H D, GOLD F. Bank Branch Operating Efficiency: Evaluation with Data Envelopment Analysis[J].Journal of Banking Finance, 1985, 9(2):297-315.
[39] BERGER, HUMPHREY. Efficiency of Financial Institutions: International Survey and Directions for Future Research[J].European Journal of Operational Research: Special Issue, 1997:158-197.
[40] CHAMES A, COOPER W, RHODES E. Measuring the Efficiency of Decision Making Units[J].European Journal of Operational Research, 1978, 2(6): 429-444.
[41] BERGER A N. Distribution-Free Estimates of Efficiency in the U.S. Banking Industry and Tests of the Standard Distributional Assumptions[J].The Journal of Productivity Analysis, 1993, 4(3): 261-292.
[42] RIEN W, PAUL S. The Recursive Thick Frontier Approach to EstimatingEfficiency[J].Economic and Financial Reports, 1999, (2):135-161.
[43]刘志新.基于DFA的中国商业银行效率研究[J].数量经济技术研究,2004,31(4):42-45.
[44] BERGER A N, HUMPHREY D B. Measurement and Efficiency Issues in Commercial Banking[M].Chicago: University of Chicago Press, 1992:245-279.
[45] DIEWERT W E. Functional Forms for Revenue and Factor Requirements Functions[J].International Economic Review, 1974, 15(1):119-130.
[46] BATTESE G E, COELLI T J. Efficiency and Productivity Effects in a Stochastic Frontier Production Function for Panel Data[J].Empirical Economics, 1995, 31(20):325-332.
[2] DEBREU G. Theory of Value[M].New York Press, 1951:36-79.
[3] SHEPHERD R W. Cost and Production Functions[M].Princeton University Press, 1953:125-162.
[4] FARRELL M J. The Measurement of Productive Efficiency[J].Journal of Royal Stoical Society, 1957, 120(3):253-326.
[5] AIGNER D J, CHU S F. On Estimating the Industry Production Function[J]. American Economic Review, 1968, 58(4):826-839.
[6] SEITZ W D. Productive Efficiency in the Steam-Electric Generating Industry[J]. Journal of Political Economy, 1971, 79(4):878-886.
[7] TIMMER C P. Using a Probabilistic Frontier Production Function to Measure Technical Efficiency[J].Journal of Political Economy, 1971, 73(4):776-749.
[8] AFRAIT S N. Efficiency Estimation of Production Functions[J].International Economic Review, 1972, 43 (3):568-598.
[9] RICHMOND J. Estimating the Efficiency of Production[J].International Economic Review, 1974, 25 (2):515-521.
[10] MEEUSEN W, VAN DEN BROECK J. Efficiency Estimation from Cobb-Douglas Production Function with Composed Error[J].International Economic Review, 1977, 18(2):435-444.
[11] AIGNER D J, LOVELL C A K, SCHMIDT P. Formulation and Estimation of Stochastic Frontier Production Function Models[J].Journal of Econometrics, 1977, 36(3):21-37.
[12] BATTESE G E, CORRA G S. Estimation of a Production Frontier Model: With Application to the Pastoral Zone off Eastern Australia[J].Australian Journal of Agricultural Economics, 1977, 21(3):169-179.
[13] FORUND F R, LOVELL C A K, SCHMID T P. A Survey of Frontier Production Function and of Their Relationship to Efficiency Measurement[J].Journal ofEconomics, 1980, 13(1):5-25.
[14] JONDROW J, LOVELL C A K, MATEROV I S. On the Estimation of Technical Inefficiency in the Stochastic Frontier Production Function Model[J].Journal of Econometrics, 1982, 19(2):233-238.
[15] COELLI T J. Measurement of Total Factor Productivity Growth and Bases in Technological Change in Western Australian Agriculture[J].Journal of Applied Econometrics, 1996, 11(1):77-91.
[16] FERRIER G, LOVELL C. Measuring Cost Efficiency in Banking: Econometric and Linear Programming Evidence[J].Journal of Economics, 1990, 28(7):229-245.
[17] KAPARAKIS E, MILLER S, NOULAS A. Short-run Cost Inefficiency of Commercial Banks: A Flexible Stochastic Frontier Approach[J].Journal of Money, Credit and Banking, 1994, 26(4): 875-893.
[18] BHATTACHARYYA, ARUNAVA, ELLIOTT PARKER. Labor Productivity and Migration in Chinese Agriculture: A Stochastic Frontier Approach[J].China Economic Review, 1999, 10(6):59-74.
[19] RHOADES S A. The Efficiency Effect of Bank Mergers: An Overview of Case Studies of Nine Mergers[J].Journal of Banking and Finance, 1998, 15(4): 18-23.
[20] CAVALLO, ROSSI. Scale and Scope Economies in the European Banking Systems[J].Journal of Multinational Financial Management, 2001, 11(3):515-531.
[21]钱蓁.中国商业银行的效率研究——SFA方法分析[J].南京社会科学,2003,10(1):41-46.
[22]张建华.我国商业银行效率研究的DEA方法及1997-2001年效率的实证分析[J].金融研究,2003,6(3):11-25.
[23]王聪,邹朋飞.国有商业银行效率影响因素的实证分析[J].暨南学报:人文科学与社会科学版,2004,12(1):24-29.
[24]陈敬学,别双枝.我国商业银行规模经济效率的实证分析及建议[J].金融论坛,2004,8(10):46-51.
[25]刘琛,宋蔚兰.基于SFA的中国商业银行效率研究[J].金融研究,2004,9(6):138-141.
[26]张超,顾锋,邸强.基于随机前沿方法的商业银行利润效率测度[J].哈尔滨商业大学学报:自然科学版,2005,21(4):525-529.
[27]张超,顾锋,邸强.基于随机前沿方法的我国商业银行成本效率测度研究[J].经济问题探索,2005,15(6):116-119.
[28]徐琼.技术效率于前沿面理论评述[J].财经论丛,2005,115(2):29-34.
[29]王宁,李植.数据包络分析法DEA在我国商业银行效率研究中的运用[J].当代经济管理,2006,28(1):67-72.
[30]李春红,张冠龄,关永攀.我国境内中资银行与外资银行的成本效率比较分析[J].经济体制改革,2006,23(6):116-120.
[31]张宗益,周勇,钱灿,赖德林.基于SFA模型的我国区域技术创新效率的实证研究[J].软科学,2006,20(2):125-128.
[32]许晓雯,时鹏将.基于DEA和SFA的我国商业银行效率研究[J].数据统计与管理,2006,25(1):68-72.
[33]黄学元,方伯荣,黄德存,蔡家辉.香港商业银行的成本效率[J].国际银行业,2007, 29(5):13-17.
[34]萨缪尔森.经济学[M].北京:人民邮电出版社,2004:217-223.
[35]成思危.路线及关键:论中国商业银行的改革[M].北京:经济科学出版社,2006:156-157.
[36] ALHADEFF D A. Monopoly and Competition in Commercial Banking[M]. Berkeley: University of California Press, 1954:138-261.
[37] YEH Q. The Application of Data Development Analysis in Conjunction with Financial Ratios for Bank Performance Evaluation[J].Journal of Operation Research Society, 1996, 47(3):980-988.
[38] SHERMAN H D, GOLD F. Bank Branch Operating Efficiency: Evaluation with Data Envelopment Analysis[J].Journal of Banking Finance, 1985, 9(2):297-315.
[39] BERGER, HUMPHREY. Efficiency of Financial Institutions: International Survey and Directions for Future Research[J].European Journal of Operational Research: Special Issue, 1997:158-197.
[40] CHAMES A, COOPER W, RHODES E. Measuring the Efficiency of Decision Making Units[J].European Journal of Operational Research, 1978, 2(6): 429-444.
[41] BERGER A N. Distribution-Free Estimates of Efficiency in the U.S. Banking Industry and Tests of the Standard Distributional Assumptions[J].The Journal of Productivity Analysis, 1993, 4(3): 261-292.
[42] RIEN W, PAUL S. The Recursive Thick Frontier Approach to EstimatingEfficiency[J].Economic and Financial Reports, 1999, (2):135-161.
[43]刘志新.基于DFA的中国商业银行效率研究[J].数量经济技术研究,2004,31(4):42-45.
[44] BERGER A N, HUMPHREY D B. Measurement and Efficiency Issues in Commercial Banking[M].Chicago: University of Chicago Press, 1992:245-279.
[45] DIEWERT W E. Functional Forms for Revenue and Factor Requirements Functions[J].International Economic Review, 1974, 15(1):119-130.
[46] BATTESE G E, COELLI T J. Efficiency and Productivity Effects in a Stochastic Frontier Production Function for Panel Data[J].Empirical Economics, 1995, 31(20):325-332.
© 2004-2018 中国地质图书馆版权所有 京ICP备05064691号 京公网安备11010802017129号 地址：北京市海淀区学院路29号 邮编：100083 电话：办公室：(+86 10)66554848；文献借阅、咨询服务、科技查新：66554700 |