基于风险调整的中国商业银行成本效率研究
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摘要
效率是商业银行竞争力的集中体现,银行效率的提高更是促进银行业可持续发展的关键和我国深化金融改革的核心。银行效率直接影响国民经济的正常运行和发展。在前所未有的激烈竞争环境中,提高银行效率是缓解竞争压力的有效手段。同时,在银行业竞争及银行与非银行金融机构竞争日益激烈的条件下,风险日益成为影响商业银行经营稳定性的重要因素。因此,对风险影响下的我国商业银行的效率进行研究具有重要的理论价值和现实意义。
本文共分为五章。第一章,绪论。分析了论文的研究背景、研究意义、研究方法,并对国内外相关文献进行了综述。第二章,理论分析。界定了本文主要研究的成本效率、银行风险等概念,也分析了银行风险对银行成本效率的影响机制。第三章,建立了基于风险调整的SFA法银行成本效率测度修正模型。第四章,根据模型,对中国14家主要商业银行1996年—2007年信用风险、流动性风险和财务风险调整后的成本效率进行了测度,并对国有商业银行和股份制商业银行的成本效率及风险现状进行了对比。第五章,论文的结论,并提出了提高中国商业银行成本效率和降低风险的相关措施。
通过实证,本文得出如下结论:从1996年—2007年间,中国国有商业银行经风险调整后的成本效率波动在0.216—0.573之间,而股份制商业银行则波动在0.257—0.44之间;中国商业银行面临的主要风险对其成本效率具有重要影响,风险水平越高,成本效率越低;国有商业银行与股份制商业银行在成本效率值上差距不大,但对风险的控制能力上,国有商业银行要好于股份制银行。而且,中国商业银行在压缩成本和整体风险管理水平提高方面仍具有巨大的潜能。
本文的创新性工作主要表现在两个方面:
其一,建立了基于风险调整的商业银行成本效率的修正模型。将商业银行面临的三种风险进行量化,并引入SFA法测度商业银行成本效率模型中。
其二,剖析了中国商业银行面临的信用风险、财务风险和流动性风险对银行成本效率的影响,并对国有商业银行与股份制银行加以实证对比,得出结论。
Efficiency is a concentrated embodiment of commercial bank's competition. Improving bank efficiency is a key to lead the banking sector to be more sustainable development, also a core of Chinese deepening financial reform. Considering unprecedented competitive environment, enhancing efficiency to alleviating the pressure of competition is an effective means. Under the condition of increasingly drastic competition inside and outside banking with non-banking financial institutions, risks become important factors that affect banking stability. Therefore, study on risk adjusted efficiencies of commercial banks in China is of great theoretical and practical significance.
The paper is divided into five chapters. The first chapter is about the issue selection gist, relative research review, research approach and research content. The second chapter is the theory analyze. In this chapter, the concepts such as cost efficiency and banks' risk are defined. At the same time, the paper analyzes the effect mechanism of banks' risk to the cost efficiencies. We establish a model to estimate the risk-adjusted cost efficiencies applying SFA in the third chapter. The fourth chapter applies model established in the third chapter and estimates the cost efficiencies separately adjusted by the credit risk, fluid risk and financial risk of 14 commercial banks in China, from 1996 to 2007. It also compares the 4 state owned commercial banks with the 10 joint-stock banks. Based on the results and the actual facts in China, the fifth chapter gives reasonable suggestions on how to heighten the cost efficiency and resist risks for governor and policy maker.
The paper gets the conclusion as follows through the empirical research. From the year 1996 to 2007, the risk-adjusted cost efficiencies of 4 state owned commercial banks range from 21.6% to 57.3%; the 10 joint-stock commercial banks range from 25.7% to 44%. By risk-adjusted cost efficiencies evaluation of 14 commercial banks in China, the paper finds that risks in commercial banks affect their cost efficiency mostly. The higher risks are, the lower efficiencies in commercial banks. There is little difference in the value of cost efficiencies between state owned commercial banks and joint stock banks, the state owned commercial banks are better than joint stock banks in their abilities on controlling risks. The paper also finds that commercial banks in China have potentiality in reducing cost and in enhancing the risk management level for them.
The innovations in this paper can be described in two aspects as follows:
Firstly, we establish a model to estimate cost efficiencies separately adjusted by the credit risk, fluid risk and financial risk of 14 commercial banks in China, from 1996 to 2007.
Secondly, this paper analyzes the effect of the credit risk, fluid risk and the financial risk to the cost efficiencies of commercial banks in China, and it also compares the 4 state owned commercial banks with the 10 joint-stock banks.
本文共分为五章。第一章,绪论。分析了论文的研究背景、研究意义、研究方法,并对国内外相关文献进行了综述。第二章,理论分析。界定了本文主要研究的成本效率、银行风险等概念,也分析了银行风险对银行成本效率的影响机制。第三章,建立了基于风险调整的SFA法银行成本效率测度修正模型。第四章,根据模型,对中国14家主要商业银行1996年—2007年信用风险、流动性风险和财务风险调整后的成本效率进行了测度,并对国有商业银行和股份制商业银行的成本效率及风险现状进行了对比。第五章,论文的结论,并提出了提高中国商业银行成本效率和降低风险的相关措施。
通过实证,本文得出如下结论:从1996年—2007年间,中国国有商业银行经风险调整后的成本效率波动在0.216—0.573之间,而股份制商业银行则波动在0.257—0.44之间;中国商业银行面临的主要风险对其成本效率具有重要影响,风险水平越高,成本效率越低;国有商业银行与股份制商业银行在成本效率值上差距不大,但对风险的控制能力上,国有商业银行要好于股份制银行。而且,中国商业银行在压缩成本和整体风险管理水平提高方面仍具有巨大的潜能。
本文的创新性工作主要表现在两个方面:
其一,建立了基于风险调整的商业银行成本效率的修正模型。将商业银行面临的三种风险进行量化,并引入SFA法测度商业银行成本效率模型中。
其二,剖析了中国商业银行面临的信用风险、财务风险和流动性风险对银行成本效率的影响,并对国有商业银行与股份制银行加以实证对比,得出结论。
Efficiency is a concentrated embodiment of commercial bank's competition. Improving bank efficiency is a key to lead the banking sector to be more sustainable development, also a core of Chinese deepening financial reform. Considering unprecedented competitive environment, enhancing efficiency to alleviating the pressure of competition is an effective means. Under the condition of increasingly drastic competition inside and outside banking with non-banking financial institutions, risks become important factors that affect banking stability. Therefore, study on risk adjusted efficiencies of commercial banks in China is of great theoretical and practical significance.
The paper is divided into five chapters. The first chapter is about the issue selection gist, relative research review, research approach and research content. The second chapter is the theory analyze. In this chapter, the concepts such as cost efficiency and banks' risk are defined. At the same time, the paper analyzes the effect mechanism of banks' risk to the cost efficiencies. We establish a model to estimate the risk-adjusted cost efficiencies applying SFA in the third chapter. The fourth chapter applies model established in the third chapter and estimates the cost efficiencies separately adjusted by the credit risk, fluid risk and financial risk of 14 commercial banks in China, from 1996 to 2007. It also compares the 4 state owned commercial banks with the 10 joint-stock banks. Based on the results and the actual facts in China, the fifth chapter gives reasonable suggestions on how to heighten the cost efficiency and resist risks for governor and policy maker.
The paper gets the conclusion as follows through the empirical research. From the year 1996 to 2007, the risk-adjusted cost efficiencies of 4 state owned commercial banks range from 21.6% to 57.3%; the 10 joint-stock commercial banks range from 25.7% to 44%. By risk-adjusted cost efficiencies evaluation of 14 commercial banks in China, the paper finds that risks in commercial banks affect their cost efficiency mostly. The higher risks are, the lower efficiencies in commercial banks. There is little difference in the value of cost efficiencies between state owned commercial banks and joint stock banks, the state owned commercial banks are better than joint stock banks in their abilities on controlling risks. The paper also finds that commercial banks in China have potentiality in reducing cost and in enhancing the risk management level for them.
The innovations in this paper can be described in two aspects as follows:
Firstly, we establish a model to estimate cost efficiencies separately adjusted by the credit risk, fluid risk and financial risk of 14 commercial banks in China, from 1996 to 2007.
Secondly, this paper analyzes the effect of the credit risk, fluid risk and the financial risk to the cost efficiencies of commercial banks in China, and it also compares the 4 state owned commercial banks with the 10 joint-stock banks.
引文
[1]Farell M.J.The measurement of productive efficiency[J].Journal of Royal Stoical Society,Series A,General,1957,120(3):253-281.
[2]Alhadeff D.A.Monopoly and competition in commercial banking.Berkeley:University of California Press,1954.
[3]Akhavein J D,Swamy P A V B,Taubman S B.A general of method of deriving the efficiencies of banks from a profit function.Journal of Productivity Analysis,1997,8(1):95-130.
[4]Altunbas Y,Gardener E P M,Molynerx P,et al.Efficiency in European banking.European Economic Review,2001,45(10):1931-1955.
[5]Berger A N,Humphrey D B.Measurement and efficiency issues in commercial banking.In:Griliches Z,ed.Measurement Issues in the Service Sector.Chicago,U.S.,1992.
[6]Cavallo L,Rossi S P S.Scale and scope economies in the European banking systems.Journal of Multinational Fiancial Management,2001,11(4-5):515-531.
[7]Carvallo O,KasmanA.Cost efficiency in the Latin Amerianand Caribbean banking systems.Journal of International Financial Markets,Institutions&Money,2005,15(1):55-72.
[8]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,(3):11-25.
[9]Hermalin B E,Wallace N E.The determinants of efficiency and solvency in savings and loans.The RAND.Journal of Economics,1994,25(3):361-381.
[10]Kaparakis E I,Mjller S M,Noulas A G.Short-run cost inefficiency of commercial banks:a flexible stochastic frontier approach.Journal of Money,Credit and Banking,1994,26(4):873-893.
[11]Berger A N,Humphrey D B.Efficiency of financial institutions:international survey and diections for future research.European Journal of Operational Research,1997,98(2):175-212.
[12]Mester LJ,A study of bank efficiency taking into account risk preferences.Journal of Banking and Finance.1996,20(1):1025-1045.
[13]Luc Laeven.Risk and Efficiency in East Asian Banks.Policy research working paper.2000.
[14]Jose M.Pastor.Credit risk and efficiency in the European banking systems:a three-stage analysis.World Bank,Working paper.2000.
[15]Jose Manuel Pastor.Efficiency and risk management in banking firms:a method to decompose risk.World Bank,Working paper,1998,9(8).
[16]Shrieves,R.E.Dahl,D.The Relationship Between Riskand Capital in Commercial Banks,Journal of Banking and Finance,1993,8(16):439-457.
[173 Jacques,K.Nigro,P.Risk-based capital,portfolio risk,and bank capital:A simultaneous equations approach.Journal of Economice and Business,1997,10(49):359-547.
[18]Kumbhakar,S.C.The Specification of Technical and Allocative Effciency.Journal of Economentrics,1987,10(37),335-348.
[19]Avery,R.B.and A.N.Berger.Risk-Based Capital and Deposit Insurance Reform.Journal of Banking and Finance,1992,(15):847-874.
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[21]Battese G E and Coelle T J.Frontier production functions,technical efficiency and panel data:With application to paddy farmers in India.Journal of productivity Analysis,1992,3(2):153-169.
[22]Sealey CW,Lindley J T.Input,outputs and a theory of production and cost at depositary financial institutions.Journal of Financial,1977,31(4):1251-1266.
[23]Dewenter,W.E.Functional Forms for Profit and Transformation Functions.Journal of Economic Theory,2004,6(3),284-316.
[24]Srilata A.Zaheer.Acceptable Risk:A Study of Global Currency Trading Rooms in the US ans Japan.Working Paper,2006.
[25]魏煜,王丽.中国商业银行效率研究:一种非参数的分析.金融研究,2000,(3):88-97.
[26]赵旭.中外商业银行效率比较分析.世界经济文汇,2001,(1):39-44.
[27]钱蓁.中国商业银行的效率研--SFA方法分析.南京社会科学,2003,(1):41-46.
[28]刘志新,刘琛.基于DEA的中国商业银行效率研究.数量经济技术经济研究,2004,(4):42-45.
[29]张超,顾锋.国外银行效率测度及其影响因素研究综述.外国经济与管理,2005,27(40):50-57.
[30]迟国泰,杨德,孙秀峰.中国商业银行效率研究.系统工程理论方法应用,2005,14(3):252-259.
[31]许晓雯,时鹏将.基于DEA和SFA的我国商业银行效率研究.数理统计与管理,2006,1(25).
[32]迟国泰.中国商业银行成本效率实证研究.经济研究,2005,(6).
[33]赵旭,凌亢.国有银行效率决定因素实证分析.统计研究,2000,8:12-15.
[34]Forsundand ES Jansen.Malmquist indices of productivity growth during the deregulation of Norwegian banking:1980-89.Scandinavian journal of Economics,1992,94:211-228.
[35]李晓庆.我国商业银行效率测度及影响因素分析:(硕士学位论文).河海大学技术经济与管理,2004.
[36]郑录军,曹廷求.我国商业银行效率及其影响因素的实证分析.金融研究,2005,01.
[37]邱兆祥,张磊.经过风险调整的商业银行利润效率评价研究--基于随机利润边界方法.金融研究,2007.
[38]张磊.经过风险调整的商业银行成本效率实证研究.金融经济,2007.
[39]Farell M J.The measurement of produvtive efficiency.Journal of Royal Stoical Society,Series A,General,1957,120(3):283-285.
[40]Coelle T J.Measruement of total factor productivity growth and biases in technological change in western Australian agriculture.Journal of Applied Econometrics,1996,11(1):77-91.
[41]PanzarJ C,Willing R D.Economies of scope.Ameciran Economic Review,1981,71(2):268-273.
[42]Leibensein H.Allocative efficiency VS 'X-efficiency'.American Economic review,1966,56(6):392-415.
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[45]Berger A N,Hunter W C,Tinume S G.The efficiency of financial institutions:a review and preview of research past,present,and future.Journal of Banking and Finance.1993,17(2-3):221-249.
[46]Jan Ondrich.Efficiency in the savings and loan Industry.Journal Banking and Finance,1993,17(3):267-286.
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[2]Alhadeff D.A.Monopoly and competition in commercial banking.Berkeley:University of California Press,1954.
[3]Akhavein J D,Swamy P A V B,Taubman S B.A general of method of deriving the efficiencies of banks from a profit function.Journal of Productivity Analysis,1997,8(1):95-130.
[4]Altunbas Y,Gardener E P M,Molynerx P,et al.Efficiency in European banking.European Economic Review,2001,45(10):1931-1955.
[5]Berger A N,Humphrey D B.Measurement and efficiency issues in commercial banking.In:Griliches Z,ed.Measurement Issues in the Service Sector.Chicago,U.S.,1992.
[6]Cavallo L,Rossi S P S.Scale and scope economies in the European banking systems.Journal of Multinational Fiancial Management,2001,11(4-5):515-531.
[7]Carvallo O,KasmanA.Cost efficiency in the Latin Amerianand Caribbean banking systems.Journal of International Financial Markets,Institutions&Money,2005,15(1):55-72.
[8]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,(3):11-25.
[9]Hermalin B E,Wallace N E.The determinants of efficiency and solvency in savings and loans.The RAND.Journal of Economics,1994,25(3):361-381.
[10]Kaparakis E I,Mjller S M,Noulas A G.Short-run cost inefficiency of commercial banks:a flexible stochastic frontier approach.Journal of Money,Credit and Banking,1994,26(4):873-893.
[11]Berger A N,Humphrey D B.Efficiency of financial institutions:international survey and diections for future research.European Journal of Operational Research,1997,98(2):175-212.
[12]Mester LJ,A study of bank efficiency taking into account risk preferences.Journal of Banking and Finance.1996,20(1):1025-1045.
[13]Luc Laeven.Risk and Efficiency in East Asian Banks.Policy research working paper.2000.
[14]Jose M.Pastor.Credit risk and efficiency in the European banking systems:a three-stage analysis.World Bank,Working paper.2000.
[15]Jose Manuel Pastor.Efficiency and risk management in banking firms:a method to decompose risk.World Bank,Working paper,1998,9(8).
[16]Shrieves,R.E.Dahl,D.The Relationship Between Riskand Capital in Commercial Banks,Journal of Banking and Finance,1993,8(16):439-457.
[173 Jacques,K.Nigro,P.Risk-based capital,portfolio risk,and bank capital:A simultaneous equations approach.Journal of Economice and Business,1997,10(49):359-547.
[18]Kumbhakar,S.C.The Specification of Technical and Allocative Effciency.Journal of Economentrics,1987,10(37),335-348.
[19]Avery,R.B.and A.N.Berger.Risk-Based Capital and Deposit Insurance Reform.Journal of Banking and Finance,1992,(15):847-874.
[20]Berger A N,Hunter W C,Tinume S G.The efficiency of financial institutions:a review and preview of research past,present,and future.Journal of Banking and Finance,1993,17(2-3):221-249.
[21]Battese G E and Coelle T J.Frontier production functions,technical efficiency and panel data:With application to paddy farmers in India.Journal of productivity Analysis,1992,3(2):153-169.
[22]Sealey CW,Lindley J T.Input,outputs and a theory of production and cost at depositary financial institutions.Journal of Financial,1977,31(4):1251-1266.
[23]Dewenter,W.E.Functional Forms for Profit and Transformation Functions.Journal of Economic Theory,2004,6(3),284-316.
[24]Srilata A.Zaheer.Acceptable Risk:A Study of Global Currency Trading Rooms in the US ans Japan.Working Paper,2006.
[25]魏煜,王丽.中国商业银行效率研究:一种非参数的分析.金融研究,2000,(3):88-97.
[26]赵旭.中外商业银行效率比较分析.世界经济文汇,2001,(1):39-44.
[27]钱蓁.中国商业银行的效率研--SFA方法分析.南京社会科学,2003,(1):41-46.
[28]刘志新,刘琛.基于DEA的中国商业银行效率研究.数量经济技术经济研究,2004,(4):42-45.
[29]张超,顾锋.国外银行效率测度及其影响因素研究综述.外国经济与管理,2005,27(40):50-57.
[30]迟国泰,杨德,孙秀峰.中国商业银行效率研究.系统工程理论方法应用,2005,14(3):252-259.
[31]许晓雯,时鹏将.基于DEA和SFA的我国商业银行效率研究.数理统计与管理,2006,1(25).
[32]迟国泰.中国商业银行成本效率实证研究.经济研究,2005,(6).
[33]赵旭,凌亢.国有银行效率决定因素实证分析.统计研究,2000,8:12-15.
[34]Forsundand ES Jansen.Malmquist indices of productivity growth during the deregulation of Norwegian banking:1980-89.Scandinavian journal of Economics,1992,94:211-228.
[35]李晓庆.我国商业银行效率测度及影响因素分析:(硕士学位论文).河海大学技术经济与管理,2004.
[36]郑录军,曹廷求.我国商业银行效率及其影响因素的实证分析.金融研究,2005,01.
[37]邱兆祥,张磊.经过风险调整的商业银行利润效率评价研究--基于随机利润边界方法.金融研究,2007.
[38]张磊.经过风险调整的商业银行成本效率实证研究.金融经济,2007.
[39]Farell M J.The measurement of produvtive efficiency.Journal of Royal Stoical Society,Series A,General,1957,120(3):283-285.
[40]Coelle T J.Measruement of total factor productivity growth and biases in technological change in western Australian agriculture.Journal of Applied Econometrics,1996,11(1):77-91.
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