我国商业银行效率及影响因素研究.docx

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1、 我国商业银行效率及影响因素研究 基于两阶段关联 DEA模型 The Study on the Efficiencies and Factors Influencing Efficiencies of Chinese Commercial Bank - Based on Relational Two-stages DEA Model 学位申请人 : _ 周锋 学 号： 210020204208 学科专业 : _ 金融学 研究方向 : _ 商业银行经营管理 指导教师 : _ 罗军 _ 定 稿 时 间 ： 2013年 3月 西南财经大学 学位论文原创性及知识产权声明 本人郑重声明：所呈交的学位论文

2、，是本人在导师的指导下独立进行研 究工作所取得的成果。除文中已经注明引用的内容外，本论文不含任何其他 个人或集体己经发表或撰写过的作品成果。对本文的研究做出重要贡献的个 人和集体，均已在文中以明确方式标明，因本学位论文引起的法律结果完全 由本人承担。 本人同意在校攻读学位期间论文工作的知识产权单位属西南财经大学。 本人完全了解西南财经大学有关保留、使用学位论文的规定，即学校有权保 留并向国家有关部门或机构送交论文的复印件和电子版，允许论文被查阅和 借阅。本人授权西南财经大学可以将本学位论文的全部或部分内容编入有关 数据库进行检索，可以采用影印、缩印、数字化或其他复制手段保存和汇编 本学位论文。

3、 本 位论文属于 1、 保密，在 _ 年解密后适用本授权书。 2、 不保密 特此声明。 学位申请人： 年月曰 效率作为经济学理论的核心问题，从宏观角度考察，效率主要研究在资 源有限的前提下如何更好地满足人们的需求；从微观方面讲是一个企业或者 生产单位更加有效的利用生产资源，实现投入最小化或者产出最大化等。作 为金融市场中重要的一部分，商业银行实现有效的管理和运营能够提高社会 经济的运转效率，能够更好的服务于经济社会的发展和满足人们日益增长的 金融服务需求。特别是在经济全球化背景下，全球金融市场的竞争变得越发 激烈，随着我国金融市场的逐步开放外资银行大举进入，对我国商业银行经 营管理带来了挑战。

4、但同时也对我国商业银行的发展创造了机遇 ，一 个良好 的竞争市场有利于市场观念的培育和经营理念的转变，更能促进我国商业银 行的转型等。虽然我国商业银行这几年的经营表现证明在面对外资银行时并 没有像想象的那样处于劣势，但也要清楚的认识到我国商业银行在经营管理、 产品创新、服务等各个方面与外资银行 还存在着一定的差距。我国商业银行 只有通过更好的增强自身的服务意识、加快产品创新、加强内部管理和风险 控制、提高自身效率等才能在激烈的竞争中保持市场份额，获得更好地发展。 对于商业银行效率问题，国内外许多学者已经做出了卓有成效的研究， 也提出了很多提高商业银行效率的建议等，本文在文献综述部分对前人的研

5、究成果进行了总结分析。通过总结发现己有的研究绝大部分集中在传统的研 究视角，没有考虑商业银行经营的内部过程，也没有深入研究商业银行经营 的特点和内部不同阶段的效率水平，单纯的求解商业银行的技术效率、纯技 术效 率和规模效率等。而对商业银行内部经营过程的研究可以打破传统的研 究把银行经营作为黑箱的做法，发现银行效率低下的原因，能够更好的从银 行内部因素做出改进提高银行的效率。 基于此本文在分析我国商业银行经营过程的特点基础上，把我国商业银 行的经营过程分为资金筹集阶段和盈利阶段。以代表性较强的 14家商业银行 我国商业银行效率及影响因素研究 一 基于两阶段关联 DEA模型 _ 为研究对象，运用两

6、阶段关联 DEA模型分别求解 14家银行在 2004年到 2011 年之间的综合效率和不同阶段的效率。本文对比分析了不同效率之间的关系， 并把样本分为两类分别比较了四大国有银行和股份制银行之间的效率。同时 对影响各效率的因素进行了分析，提出了一些相关的提高效率的建议。 本文的具体研究内容有如下几部分： 第一部分导论介绍了本文的研究背景和研究框架设计等。商业银行效率 研究有重要的现实意义，以往的研究只是把银行当作黑箱考察，没能深入研 究内部不同阶段过程的效率。本文考虑了商业银行经营过程特点，考察商业 银行不同的效率。在此部分的框架设计中主要介绍了本文的研究目的、研究 方法、研 究对象和研究的思路

7、等。 第二部分是本文的文献综述部分。本章首先对银行效率的一些理论进行 分析阐述，重点介绍了效率的一些经济学含义和银行效率的研究类别，如规 模效率、范围效率等。此外介绍了银行效率的研究方法，主要有参数法和非 参数法，并分析了不同方法的优缺点。还对影响银行效率的因素从宏观、行 业和微观角度进行了总结分析。其次，本文以非参数法 DEA的研究为思路， 先对运用传统 DEA的国内外文献进行总结分析，然后对两阶段 DEA的文献从 国外和国内两方面进行了分析。本章节的最后小节对以往的研究进行了总结 评价等。 第三部分是本文的模型构建部分。首先介绍了数据包络分析方法的一些 基本的工作原理。其次，介绍了两种常用

8、的经典传统 DEA模型，分别对不变 规模报酬 CCR模型和可变规模报酬 BCC模型的计量过程进行了介绍。在借鉴 经典模型的基础上，参考相关的文献本章节重点介绍了两阶豉关联 DEA模型 的工作原理，按照规模报酬不变和规模报酬可变两种情况设计了模型， 第四部分是本文的实证结果分析。首先重点分析了我国商业银行经营过 程特点，把我国商业银行经营过程分为资金筹集阶段和盈利阶段。其次运用 两阶段关联 DEA,通过运用 Matlab软件编程计算了我国商业银行不同的效率 水平，重点对我国商业银行的综合效率、筹集资金的效率和盈利阶段的效率 进行了分析，并对我国商业银行不同种类的效率进行了对比分析。此外还把 样本

9、分为四大国有银行和股份制银行进行了不同效率之间的对比等。 第五部分是影响银行效率的因素分析。本文从内外两个角度出发，分别 2 选择 GDP增长率、全社会固定资产投资增长率和货币供应量 M2增速作为外部 宏观变量；从银行规模、盈利能力、配置能力和风险控制等角度选择总资产 规模、总资产收益率、非利 息收入占比、存贷比、资本充足率和不良贷款率 作为内部因素。通过构建 Tobit回归分析模型，分别对整体综合效率、筹集 资金效率和盈利效率的影响因素进行了实证分析。 第六部分是本文的结论部分。在此章节总结了文章的主要结论，根据本 文的实证分析结果提出了改进银行效率的 一 些建议。同时结合本文研究中存 在的

10、问题和不足之处，提出了未来研究的方向和改进之处等。 本文的主要结论有以下几个方面： 第一，我国商业银行的效率水平依然处于较低水平。从实证结果来看， 不论是综合效率，还是筹集资金效率和盈利效率，样本银行中处于有效率的 银行比较少。从综合效率看，在样本期间内仅有民生银行和兴业银行分别在 2004年和 2005年是相对有效率的状态，其他银行均未达到有效率状态。其中 样本期间内效率排名靠前的为招商银行、兴业银行和民生银行等股份制银行， 而排名靠后的为四大国有银行；从筹资效率看，我国商业银行筹资效率相对 较好，分别在不同的年份有一些银行是有效率的，在考察期间内筹资效率变 化不大；从盈利效率看，我国商业银

11、行盈利效率较低，仅有少数几个观测值 是有效率的，说明我国商业银行盈利能力较低。 第二，盈利效率低下是造成我国商业银行综合效率低下 的原因。通过对 14家样本银行在考察期间内综合效率、筹资效率和盈利效率的分析，不难看 出我国商业银行的盈利效率低于综合效率，更低于筹资效率。在把样本分为 不同的银行类别时实证结果表明同样是盈利效率低下造成了各自的整体综合 效率较低。这说明我国商业银行注重筹集资金，而在资金运用获得盈利的阶 段却效率低下。这与我国商业银行普遍重视拉存款、拉客户，缺乏创新能力、 盈利结构单一，收入主要靠利息收入的现实状况非常吻合。 第三，国有银行的效率低于股份制商业银行。从对比分析结果看

12、，无论 是综合效率还是两个子阶段的效率，四 大国有银行的效率均值都低于股份制 商业银行，四大行的各效率排名均在排在股份制商业银行之后。但是也要注 意的是四大行经过股份制改造、上市等一系列改革后，其效率水平在逐渐提 高，与股份制商业银行之间效率差距在逐渐缩小。 我国商业银行效率及影响因素研究 基于两阶段关联 DEA模型 第四，银行效率的影响因素分析。实证结果表明 GDP增速、固定资产投 资增长率、非利息收入占比和资本充足率对我国商业银行综合效率有显著性 正影响；货币供应量 M2增速、总资产规模和不良贷款率对我国商 业银行综合 效率有显著的负相关影响。具体来看，宏观因素变量和不良贷款率对筹资阶 段

13、效率有显著的正影响或负影响；外部宏观变量对盈利阶段的效率显著性影 响变弱， GDP增速对盈利效率的影响变得不显著，内部因素对盈利效率的影响 显著增强。说明影响我国商业银行盈利效率的因素是银行自身内部因素，只 有通过提高非利息收入占比、降低不良贷款率、提高资本充足率和适度的收 缩规模等才能提髙我国商业银行的效率。 本文的创新之处有： 第一，与以往研究把商业银行当作 “ 黑箱 ” 处理不同，本文根据商业银 行经营特点把商业银行的经营过程分为 筹集资金和盈利两个阶段，这样更能 深入研究造成银行效率低下的内部原因。通过运用两阶段关联 DEA模型对我 国商业银行的综合效率、筹资效率和盈利效率分别研究，得

14、到了我国商业银 行效率低下的真正原因。突破了传统的对银行效率的求解大都采用单阶段 DEA 方法得到技术效率、纯技术效率等无实际意义的指标等。 第二，在指标选择上把存款作为中间变量，既是第一阶段的产出变量， 同时也是第二阶段的投入变量。这样的做法解决了传统的运用不同方法选取 指标对存款等变量存在的争议，更能说明银行投入产出的特征。 第三，本文在影响因素分析时，从内外两个方面选择指标，不仅对综合 效率进行了实证分析，同时还对筹集资金阶段的效率和盈利阶段的效率影响 因素进行了实证分析。实证结果表明内外部因素均会影响我国商业银行的综 合效率，但是在盈利阶段外部宏观因素的影响显著性变小，更多的是内部自

15、身因素对盈利效率起到显著的影响作用。这从另外一个角度证明了我国商业 银行效率低下是由自身盈利能力低下造成的，只有提高盈利效率才能提高商 业银行的整体综合效率。 4 关键词：银行效率影响因素两阶段关联 DEA Abstract Abstract As the core theory of economic, efficiency major researches how to meet the needs of people from a macro perspective, as the resources is limited; In the microscopic, it research

16、 how can a company effectively uses production resources to maximize output or minimize inputs . We know that bank is a very important part of the financial market, it can raise the efficiency of the functioning of social and economic, in the case of the bank can realize a valid management and opera

17、tions, and it also can better serving the development of the economy and the peoples increasing demand for the financial services. Especially in the back ground of economic globalization, the competition of global financial market is becoming fiercely, foreign banks inroads into our country under th

18、e gradual opening up of Chinas financial market, bring a challenge to the banks of the country What is more there are also opportunities, a better competition market is beneficial to the development of the market concept and management concept. Although Chinas commercial banks operating performance

19、proved that it is not as expected at a disadvantage when in the face of foreign banks in the past years. We also need clearly realize that there is still a gap between the bank of our country with the foreign banks in many aspects, such as management, product innovation, and service and so on. Only

20、through improve their service consciousness, accelerate product innovation, strengthen internal management and risk control can our banks to maintain a long-term development in the competition. Many scholars in home and abroad have made fruitful researches for commercial bank efficiency, and they al

21、so put forward many suggestions for the improvement of the efficiency of commercial banks. The paper summarized the research achievements of predecessors in the part of the literature review. We found the most literatures focused on the part of traditional research perspectives. The existing researc

22、h regardless of the process and characteristics of the bank, and also the management characteristics of different stages, and internal level of l The Study on the Efficiencies and Factors Influencing Efficiencies of Chinese Commercial Bank- Based on Relational Two-stages PEA Model _ efficiency. They

23、 just solution of the technical efficiency, pure technical efficiency and scale efficiency of commercial banks, etc. And the study of commercial banks internal operation process can help the banks to find the cause of the inefficient bank, and also can be better find the internal factors for the ban

24、k to improve the bank efficiency. In this paper the operating process of the banks are divided into two processes, they are raises found and profit process. We select 14 commercial banks as the samples of the research object, in this paper we use two-stage associated DEA model. We empirical analysis

25、 the efficiency of the bank and the different processes of the management. We divided the sample into four major state-owned banks and joint-stock banks, and compare the efficiency of them. The paper analyzes the factors that influence the efficiency of the banks, and come up with some suggestions t

26、o rise up the efficiency. In this paper, the specific research content has the following several parts: The first part is introduction. In the part we introduce the research background and the framework of this paper. Considering the characteristics of the bank operating process, this paper inspects

27、 the efficiency of banks. The framework mainly introduces the research purpose, methods, objects and the train thought of the article. The second part is the literature review of this article. In this chapter we first analyzes some bank efficiency theory, mainly introduces some definitions of bank e

28、fficiency and research categories, such as scale efficiency, scope efficiency, etc. Also the part introduces the research methods of bank efficiency, such as parameter method and nonparametric method, and analyzes the advantages and disadvantages of these methods. Secondly, we first reviewed and sum

29、marized the literature use traditional DEA analysis method at home and abroad, then the literatures that used two-stage DEA analysis method from the aspects of at home and abroad. Finally we introduced the research methods of this article. The third part we design the models of the research. Firstly

30、, we give some introduces of the DEA and its working principle. Secondly, the paper give two classics models of the DEA, they are CCR and BCC. On the basis of the referenced of classical models, this section mainly introduces the working principle of the two-stage associated DEA model. 2 Abstract Th

31、e fourth part is the analysis of the empirical results for this paper. First we analyzed the characteristics of the commercial bank, divided into stages of fund-raising and earnings. Secondly we use the two-stage DEA to calculate the efficiency of different levels, mainly we focus on the integrated

32、efficiency, raise funds efficiency and profit efficiency, and also make the contrast analysis between different efficiency of the commercial bank. The fifth part is the analysis of the factors that impact the bank efficiency. From the inside and outside perspectives, we select the GDP growth rate, t

33、otal society fixed asset investment growth rate and the M2 growth as external macro variables; also we select total assets, return on total assets, non-interest income ratio, deposit-loan ratio, capital adequacy ratio and non-performing loan ratio as the internal factors. By construct Tobit regressi

34、on analysis model, we find the factors influence comprehensive efficiency on the whole, the factors of raise funds efficiency and profit efficiency. The finally part is the conclusion of the paper. We summarize the conclusions of the article, and give some suggestions to enhance the efficiency. The

35、main conclusions of this paper have the following several aspects: First, the level of the efficiency is still in low level. Banks that in efficiency are very few, there just two banks like Min Sheng, Xing Ye are efficient, others banks are inefficient. In profitable stage, the banks those in the ef

36、ficient state are very few. We also can see that the efficiency of state-owned banks is lower than the joint-stock banks. Second, profitable phase inefficient is the cause of the inefficiency for our countrys commercial banks. The profit efficiency is lower than the overall efficiency and financing

37、efficiency. Profit inefficiency caused the lower for the comprehensive efficiency for state-owned banks and joint-stock banks. Third, the efficiency of state-owned banks is lower than the joint-stock banks. For the comparison between them, we can see the average efficiency of the big four state-owne

38、d banks is lower than joint-stock commercial banks under the comprehensive efficiency and efficiency of the two substrates, the ranks of the efficiency also illustrate this phenomenon. But there is a point that need we pay attention to, the efficiency of the state-owned banks is becoming improved. 3

39、 The Study on the Efficiencies and Factors Influencing Efficiencies of Chinese Commercial Bank-Based on Relational Two-stages PEA Model _ that the GDP growth, the growth rate of investment in fixed assets, capital adequacy ratio and non-interest income ratio have a significant positive impact for th

40、e comprehensive efficiency ; The M2 growth, total assets and non-performing loan ratio have a significant negative correlation for the comprehensive efficiency of the commercial banks in China Macro factors and non-performing loan ratio have a significant impact on the financing stage efficiency; Ex

41、ternal macro factors decreases the impact on the profit efficiency, GDP growth has no marked effect on the profit efficiency, however the internal factors significantly enhanced the influence on the profit efficiency. It explains that the factors that influence the efficiency are its internal factor

42、s, only through enhance the non-interest income ratio, reduce non-performing loan ratio, increase capital adequacy ratio and moderate scale of contraction can improve the efficiency of commercial banks in China. The innovation has the following some points: First, the past studies deal with the comm

43、ercial bank as a black box. The paper put the management process divided into raising capital and profits stages according to the characteristics of commercial banks operating process. So that we can find the reasons cause the inefficiency from the internal point. By using the two-stages associated

44、DEA model, we get the comprehensive efficiency, raise efficiency and profit efficiency, and also we obtained the real reason cause the banks inefficiency by comparing to get the real reason for the low efficiency of Chinese commercial banks. The paper broke through the traditional single stage DEA m

45、ethod which just research the technical efficiency, pure technical efficiency which have no meanings. Second, the article selects the deposit as the intermediate variable, which is not only the output variables of the first phase, but also the input variables of the second phase. This approach solve

46、s the dispute about the input and output indicators, such as the deposits and so on, which could better illustrate the characteristics of the bank management Third, we select the factors affecting efficiency from inside and outside two aspects, the paper has carried on the empirical analysis not onl

47、y on the comprehensive efficiency, but also to the phase of raise funds and the profitability phase. We made empirical analysis on influencing factors. In profit stage, external 4 Abstract macro factors significantly becoming smaller, however its own internal factors play a significant impact. This

48、conclusion proved that the inefficiency of Chinese commercial banks is caused by its low profitability from another angle, and only through improve the efficiency of profitability can we improve the commercial banks overall efficiency. Key words: Bank efficiency Influence factors Relational Two-stages DEA 5 目录 1. .