审慎性监管与银行效率:来自中国银行业的经验证据
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摘要
本文采用异方差随机前沿模型和2003-2012年我国95家商业银行数据,研究了我国现行的主要审慎性监管指标对银行成本效率和利润效率的影响,并计算边际影响分析了它们与银行效率的非线性关系。研究表明:资本充足率、杠杆率对成本和利润效率均具有边际递减的促进作用;贷存比对成本效率的影响存在非单调性;流动性比率对成本效率具有边际递增的抑制作用;拨备覆盖率对成本和利润效率的作用均存在非单调性。总体而言,按我国现行标准实施的审慎性监管没有导致银行效率损失,但单纯依靠提高审慎性标准的监管方式不可持续。
Prudential regulation is banking regulatory's core philosophy. After financial crisis, both international regulatory criterion and national regulatory practice have further strengthened prudential regulatory standard. However, it remains unclear whether prudential regulation has hindered bank's efficiency, or whether there is an appropriate scale of prudential regulatory indicator to balance prudence and efficiency of bank's operation. This paper applies heteroscedastic stochastic frontier model and uses a sample of 95 China's commercial banks over 2003-2012 to investigate the impact of mainly prudential regulation indicators on bank's cost and profit efficiency. Additionally, we analyze the non-linear relationship between these regulation indicators and bank's efficiency by calculating marginal effect. Findings are as follow:1. The capital adequacy ratio and the leverage ratio have marginal diminishing accelerational effect on cost and profit efficiency. Higher capital adequacy helps improve bank's efficiency, but high capital adequacy may lead to bank's asset allocation distortion, which prevents further improving efficiency, or even causing loss of cost-effectiveness. 2. The loan-to-deposit ratio has non-monotonic effect on cost efficiency. The loan-to-deposit ratio below regulatory standard is conducive to cost-efficiency improvement, but excessive credit will result in loss of efficiency. The liquidity ratio has marginal increasing inhibitional effect on cost efficiency. 3. The loan-loss provision ratio does not have significant impact on bank's efficiency. The provision coverage has non-monotonic effect on cost and profit efficiency. Enhancing credit risk coverage can improve bank's efficiency, but extracting excessively loan loss provision will result in loss of efficiency. In general, current prudential regulation in China doesn't cause bank's efficiency loss. Although prudential regulation has microcosmic effect, it is not a means that can be used to enhance regulation indicators unlimitedly. The non-linear relationship between regulation indicator and bank's efficiency indicate that when prudential regulation leads to bank's cost of asset allocation exceeding the potential income of controlling risk, enhancing regulatory indicator not only decreases bank's efficiency, but also results in loss of efficiency from the perspective of regulatory author. Therefore, the regulatory approach that only relies on enhancing regulatory standard is not sustainable. They should design regulatory indicators dynamically or flexiblely in order to balance prudence and efficiency of bank's operation. To banks, they should control prudential indicators at an appropriate level under the premise of regulatory requirement, balance risk and income in order to allocate resource properly.
Prudential regulation is banking regulatory's core philosophy. After financial crisis, both international regulatory criterion and national regulatory practice have further strengthened prudential regulatory standard. However, it remains unclear whether prudential regulation has hindered bank's efficiency, or whether there is an appropriate scale of prudential regulatory indicator to balance prudence and efficiency of bank's operation. This paper applies heteroscedastic stochastic frontier model and uses a sample of 95 China's commercial banks over 2003-2012 to investigate the impact of mainly prudential regulation indicators on bank's cost and profit efficiency. Additionally, we analyze the non-linear relationship between these regulation indicators and bank's efficiency by calculating marginal effect. Findings are as follow:1. The capital adequacy ratio and the leverage ratio have marginal diminishing accelerational effect on cost and profit efficiency. Higher capital adequacy helps improve bank's efficiency, but high capital adequacy may lead to bank's asset allocation distortion, which prevents further improving efficiency, or even causing loss of cost-effectiveness. 2. The loan-to-deposit ratio has non-monotonic effect on cost efficiency. The loan-to-deposit ratio below regulatory standard is conducive to cost-efficiency improvement, but excessive credit will result in loss of efficiency. The liquidity ratio has marginal increasing inhibitional effect on cost efficiency. 3. The loan-loss provision ratio does not have significant impact on bank's efficiency. The provision coverage has non-monotonic effect on cost and profit efficiency. Enhancing credit risk coverage can improve bank's efficiency, but extracting excessively loan loss provision will result in loss of efficiency. In general, current prudential regulation in China doesn't cause bank's efficiency loss. Although prudential regulation has microcosmic effect, it is not a means that can be used to enhance regulation indicators unlimitedly. The non-linear relationship between regulation indicator and bank's efficiency indicate that when prudential regulation leads to bank's cost of asset allocation exceeding the potential income of controlling risk, enhancing regulatory indicator not only decreases bank's efficiency, but also results in loss of efficiency from the perspective of regulatory author. Therefore, the regulatory approach that only relies on enhancing regulatory standard is not sustainable. They should design regulatory indicators dynamically or flexiblely in order to balance prudence and efficiency of bank's operation. To banks, they should control prudential indicators at an appropriate level under the premise of regulatory requirement, balance risk and income in order to allocate resource properly.
引文
[1]沈坤荣,李莉.银行监管:防范危机还是促进发展?—基于跨国数据的实证研究及其对中国的启示[J].管理世界,2005,(10):6~23.
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[14]段军山,邹新月,周伟卫.贷款行为、盈余管理与贷款损失准备的动态调整[J].金融论坛,2011,(5):31~36.
[15]Pasiouras F.International evidence on the impact of regulations and supervision on banks'technical efficiency:An application of two-stage data envelopment analysis[J].Review of Quantitative Finance and Accounting,2008,30(2):187~223.
[16]Pasiouras F,Tanna S,Zopounidis C.The impact of banking regulations on bank’s cost and profit efficiency:cross-country evidence[J].International Review of Financial Analysis,2009,18(5):294~302.
[17]Chortareas GE,Girardone C,Ventouri A.Bank supervision,regulation,and efficiency:Evidence from the European Union[J].Journal of Financial Stability,2012,8(4):292~302.
[18]Barth JR,Lin C,Ma Y,et al.Do bank regulation,supervision and monitoring enhance or impede bank efficiency?[J].Journal of Banking and Finance,2013,37(8):2879~2892.
[19]Ariff M,Can L.Cost and Profit Efficiency of Chinese Banks:A Non-parametric Analysis[J].China Economic Review,2008,19(2):260~273.
[20]赵永乐,王均坦.商业银行效率、影响因素及能量模型的解释效果[J].金融研究,2008,(3):58~69.
[21]孙秀峰,迟国泰.中国商业银行效率的内生影响因素研究与实证[J].预测,2010,29(2):5~13.
[22]Jiang CX,Yao SJ,Zhang ZY.The effects of governance changes on bank efficiency in China:A stochastic distance function approach[J].China Economic Review,2009,20(4):717~731.
[23]袁晓玲,张宝山.中国商业银行全要素生产率的影响因素研究—基于DEA模型的Malmquist指数分析[J].数量经济技术经济研究,2009,(4):93~116.
[24]张健华,王鹏.中国银行业广义Malmquist生产率指数研究[J].经济研究,2010,(8):128~140.
[25]Li Y,Wang MC.Capital Regulation,Monetary Policy and Asymmetric Effects of Commercial Bank’s Efficiency[J].China Finance Review International,2012,2(1):5~26.
[26]李勇,王满仓.资本监管、货币政策与商业银行效率非对称效应——基于面板门限回归模型的再检验[J].经济评论,2012,(2):116~126.
[27]Kumbhakar SC,Ghosh S,Mc Guckin JT.A Generalized Production Frontier Approach for Estimating Determinants of Inefficiency in U.S.Dairy Farms[J].Journal of Business and Economic Statistics,1991,9(3):279~286.
[28]Caudill SB,Ford JM.Biases in Frontier Estimation Due to Heteroscedasticity[J].Economics Letters,1993,41(1):17~20.
[29]Wang HJ.Heteroscedasticity and non-monotonic efficiency effects of a stochastic frontier model[J].Journal of Productivity Analysis,2002,18(3):241~253.
[30]Liu YY,Myers R.Model Selection in stochastic frontier analysis with an application to maize production in Kenya[J].Journal of Productivity Analysis,2009,31(1):33~46.
[31]Lai HP,Huang CJ.Likelihood ratio tests for model selection of stochastic frontier models[J].Journal of Productivity Analysis,2010,34(1):3~13.
[32]李怀珍.银行业动态拨备制度研究[J].金融监管研究,2012,(2):44~57.
[33]何蛟,傅强,潘璐.引入外资战略投资者对我国商业银行效率的影响[J].中国管理科学,2010,18(5):49~57.
[34]程茂勇,赵红.市场势力对银行效率影响分析—来自我国商业银行的经验数据[J].数量经济技术经济研究,2011,(10):78~91.
[35]Bera AK,Sharma SC.Estimating Production Uncertainty in Stochastic Frontier Production Function Models[J].Journal of Productivity Analysis,1999,12(3):187~210.
[36]陈锋.我国商业银行流动性过剩问题探析[J].金融研究,2008,(10):198~206.
[2]詹姆士·R·巴茨,杰瑞德·卡普里奥,罗斯·莱文.反思银行监管[M].北京:中国金融出版社,2008.
[3]Van Hoose D.Theories of bank behavior under capital regulation[J].Journal of Banking and Finance,2007,31(12):3680~3697.
[4]吴玮.资本约束对商业银行资产配置行为的影响—基于175家商业银行数据的经验研究[J].金融研究,2011,(4):65~81.
[5]王擎,吴玮.资本监管与银行信贷扩张—基于中国银行业的实证研究[J].经济学动态,2012,(3):63~66.
[6]Ito T,Sasaki YN.Impacts of the Basle Capital Standard on Japanese Banks’Behavior[J].Journal of the Japanese and International Economies,2002,16(3):372~397.
[7]许友传.资本约束下的银行资本调整与风险行为[J].经济评论,2011,(1):79~86.
[8]Best S,Sprinzen S.Basel III Proposals Could Strengthen Banks’Liquidity,But May Have Unintended Consequences[R].BIS Working Paper,2010.
[9]Pausch T.Risk Sensitivity of Banks,Interbank Markets and the Effects of Liquidity Regulation[R].NBER Working Paper,2012,
[10]Neri M.The Unintended Consequences of the Basel III Liquidity Risk Regulation[R].NBER Working Paper,2012.
[11]Laeven L,Majnoni G.Loan Loss Provisioning and Economic Slowdowns:Too Much,Too Late?[J].Journal of Financial Intermediation,2003,12(2):178~197.
[12]Bouvatier V,Lepetit L.Banks’Procyclical Behavior:Does Provisioning Matter?[J].International Financial Markets,Institute and Money,2008,18(5):513~526.
[13]Shrieves RE,Dahl D.Discretionary accounting and the behavior of Japanese banks under financial duress[J].Journal of Banking and Finance,2003,27(7):1219~1243.
[14]段军山,邹新月,周伟卫.贷款行为、盈余管理与贷款损失准备的动态调整[J].金融论坛,2011,(5):31~36.
[15]Pasiouras F.International evidence on the impact of regulations and supervision on banks'technical efficiency:An application of two-stage data envelopment analysis[J].Review of Quantitative Finance and Accounting,2008,30(2):187~223.
[16]Pasiouras F,Tanna S,Zopounidis C.The impact of banking regulations on bank’s cost and profit efficiency:cross-country evidence[J].International Review of Financial Analysis,2009,18(5):294~302.
[17]Chortareas GE,Girardone C,Ventouri A.Bank supervision,regulation,and efficiency:Evidence from the European Union[J].Journal of Financial Stability,2012,8(4):292~302.
[18]Barth JR,Lin C,Ma Y,et al.Do bank regulation,supervision and monitoring enhance or impede bank efficiency?[J].Journal of Banking and Finance,2013,37(8):2879~2892.
[19]Ariff M,Can L.Cost and Profit Efficiency of Chinese Banks:A Non-parametric Analysis[J].China Economic Review,2008,19(2):260~273.
[20]赵永乐,王均坦.商业银行效率、影响因素及能量模型的解释效果[J].金融研究,2008,(3):58~69.
[21]孙秀峰,迟国泰.中国商业银行效率的内生影响因素研究与实证[J].预测,2010,29(2):5~13.
[22]Jiang CX,Yao SJ,Zhang ZY.The effects of governance changes on bank efficiency in China:A stochastic distance function approach[J].China Economic Review,2009,20(4):717~731.
[23]袁晓玲,张宝山.中国商业银行全要素生产率的影响因素研究—基于DEA模型的Malmquist指数分析[J].数量经济技术经济研究,2009,(4):93~116.
[24]张健华,王鹏.中国银行业广义Malmquist生产率指数研究[J].经济研究,2010,(8):128~140.
[25]Li Y,Wang MC.Capital Regulation,Monetary Policy and Asymmetric Effects of Commercial Bank’s Efficiency[J].China Finance Review International,2012,2(1):5~26.
[26]李勇,王满仓.资本监管、货币政策与商业银行效率非对称效应——基于面板门限回归模型的再检验[J].经济评论,2012,(2):116~126.
[27]Kumbhakar SC,Ghosh S,Mc Guckin JT.A Generalized Production Frontier Approach for Estimating Determinants of Inefficiency in U.S.Dairy Farms[J].Journal of Business and Economic Statistics,1991,9(3):279~286.
[28]Caudill SB,Ford JM.Biases in Frontier Estimation Due to Heteroscedasticity[J].Economics Letters,1993,41(1):17~20.
[29]Wang HJ.Heteroscedasticity and non-monotonic efficiency effects of a stochastic frontier model[J].Journal of Productivity Analysis,2002,18(3):241~253.
[30]Liu YY,Myers R.Model Selection in stochastic frontier analysis with an application to maize production in Kenya[J].Journal of Productivity Analysis,2009,31(1):33~46.
[31]Lai HP,Huang CJ.Likelihood ratio tests for model selection of stochastic frontier models[J].Journal of Productivity Analysis,2010,34(1):3~13.
[32]李怀珍.银行业动态拨备制度研究[J].金融监管研究,2012,(2):44~57.
[33]何蛟,傅强,潘璐.引入外资战略投资者对我国商业银行效率的影响[J].中国管理科学,2010,18(5):49~57.
[34]程茂勇,赵红.市场势力对银行效率影响分析—来自我国商业银行的经验数据[J].数量经济技术经济研究,2011,(10):78~91.
[35]Bera AK,Sharma SC.Estimating Production Uncertainty in Stochastic Frontier Production Function Models[J].Journal of Productivity Analysis,1999,12(3):187~210.
[36]陈锋.我国商业银行流动性过剩问题探析[J].金融研究,2008,(10):198~206.