中国商业银行的效率与风险研究
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摘要
21世纪以来,中国商业银行发生了翻天覆地的变化,在国际舞台上的地位进一步上升。特别是金融危机之后,由于中国商业银行受到的冲击较小,而成为全球学术界和金融界研究的焦点。目前,对中国商业银行的研究主要是分别从效率与风险两个角度进行,而提高效率和管理风险是商业银行需要同时追求的目标,因此,将中国商业银行的效率与风险结合起来研究,才能体现中国商业银行经营的真实状况,得到的结论才能为中国商业银行的发展提供有帮助的建议。本文在国际比较的基础上,通过对中国商业银行效率与风险问题的深入探讨,力图进一步构建和完善中国商业银行管理体系,为金融管理者制定决策提供可靠依据。
本文围绕中国商业银行的效率与风险进行了一系列的研究。首先,不仅比较我国不同类型商业银行的效率与风险,也比较中外银行业的效率与风险。接着,分析我国商业银行多元化经营的效率与风险。最后,探讨商业银行效率与风险的影响因素,并特别考察了我国大银行自身效率的变化对中小银行带来的影响。
为了比较国内外银行业效率和风险的变化,本文先利用杜邦分析法度量2006—2009年中国商业银行的效率与风险经营情况。然后利用基于风险投入的DEA模型测度国内外大型商业银行的各种效率,包括技术效率、纯技术效率、规模效率,以及全要素生产率。在投入产出指标选取上,与传统方法不同,本文采用利润法,引入风险作为投入变量。将基于风险投入的DEA模型估计的效率与未加入风险投入的DEA方法得出的结果进行比较。研究结果表明,四大国有银行在中国商业银行之中并不是效率最高,也不是风险最小的银行,而一些股份制银行和城市商业银行的整体经营状况要好于国有银行。在国际上,排名相近的大型商业银行之间的差距也越来越小。其中,中国国有银行的ROE水平与其他国家大型商业银行相差不大,而中国国有银行的风险经营水平仍然存在上升的空间。相对于其他国家,中国商业银行受到金融危机冲击的影响较小,其技术效率保持较高水平。中国商业银行在金融危机之后全要素生产率的减少原因主要是技术变化。
为了研究中国商业银行多元化经营的效率与风险,本文分析了我国商业银行多元化经营的发展阶段、现状及问题,并对我国商业银行多元化经营的效率与风险进行实证分析。多元化经营利用赫芬达尔方法构造的DIV变量来度量。通过实证研究多元化经营与利润指标之间的联系、多元化经营与风险调整后的利润指标之间的联系、不同类型的商业银行多元化经营与利润指标之间的联系、多元化经营对商业银行特征和战略选择的影响等发现,中国商业银行整体投资组合更加多元化能够带来更多的利润、非利息收入占比越多却带来的利润越少；持有股权越少、贷款越多的商业银行其利润越少；非利息收入占比越大的商业银行风险也越大。大型银行和中型银行多元化经营会减少收益,小型银行开展多元化的业务可增加收益。
为了研究我国商业银行在此次银行危机中经营效率与风险变动的影响因素,以及我国大银行自身效率的变化对中小银行带来的影响,本文从信息渠道和基本面角度分析大银行冲击机制,并从宏观因素、微观因素和大银行冲击三个方面实证分析了此次国际金融危机中我国商业银行受到的影响。大银行冲击变量用构造的GR指数来替代。研究结果表明,在金融危机期间,我国国有商业银行正而冲击减少了中小型商业银行风险和危机,银行的规模分布会影响银行经营的稳定。从微观角度看,股东权益比率、资产规模、股权回报率都对商业银行经营状况产生了证的影响。从宏观角度看,利率越高,商业银行经营越好,而GDP增长率越高,商业银行风险越大。
Since the 21st century, China's banking sector has undergone enormous changes and international status has risen further. Especially after the financial crisis, Chinese banks have been hit less, and become the world's academic and financial research focus. Currently, researches of China's banking sector always focus on efficiency and risk respectively, while improving efficiency and managing risk are goals that the commercial banks need to pursue at the same time. Therefore, the efficiency of China's banking sector need be combined with the risk, which can reflect the true state of China's banking business and get the helpful suggestions for the development of China's banking industry. On the basis of international comparison, this dissertation analyzes the issues of China's banking sector efficiency and risk deeply to further build and improve the management system of Chinese commercial banks and provide a reliable basis for financial managers' decision making.
This dissertation focuses on the efficiency and risk of Chinese commercial banks. First, we compare not only different types of efficiency and risk of commercial banks in China, but also home and abroad. Then, we analyze the impact of diversification on bank efficiency and risk. Finally, we analyze the impact factors of the efficiency and risk of commercial banks, particularly investigate whether China's big banks efficiency changes have effects on the small-medium banks.
To compare the changes of the efficiency and risk of domestic and international banking, firstly this dissertation uses DuPont analysis and analyzes the efficiency and risk of China's banking operations from 2006 to 2009.Then we use the DEA model based on risk input to measure kinds of efficiency, including technical efficiency, pure technical efficiency, scale efficiency, and total factor productivity. The profit method is employed to select the indicators, which is different from the traditional methods, considering risk as input variables. We compare the results between with risk and without risk. It shows that the four major state-owned commercial banks are neither the most efficient, nor the least risky banks in China's commercial banks, and some joint-stock banks and city commercial banks are even better than the state-owned banks in operating conditions. Internationally, the gaps of ranking between the big banks are getting smaller and smaller. The ROE levels of Chinese state-owned banks and the big banks in other countries are very close, and the risk level of Chinese state-owned banks still need to improve. The impact of China's banking sector is smaller than other countries caused by the financial crisis. Their technical efficiency maintains a high level. A clear downward trend in the growth rate of total factor productivity, and technical change is the driving force behind this decline.
This dissertation summarizes the efficiency and risk of diversification of Commercial Bank in China. We introduce the development stage and current situation of Chinese commercial banks, and make an empirical analysis on the efficiency and risk of diversification for commercial banks. The Herfindahl index constructed is used to measure the DIV variable for diversification. We research the links between diversification and profit targets, between diversification and risk-adjusted profit target, between the different types of bank diversification and profit targets, and between the diversification and banks characteristics and strategic choices. The results show that China's commercial banks diversify the overall portfolio and have more profit. The more the non-interest income, the less the profit; the less the equity the banks hold and the less the loan, the less the profit; the more the non-interest income, the greater the risk the banks hold. Big commercial banks and medium commercial banks reduce income because of diversification, but small commercial banks increase revenue.
In order to study the impact of efficiency and risk of China's banking industry in the banking crisis and the influence of efficiency changes of China's big banks on the small-medium banks, this dissertation analyzes the big banks shock mechanism from the view of information channels and fundamental point. We have an empirical research on impact of the banking crisis from three aspects of the macro and micro factors and the big banks shock factors. The GR index instead of the big banks factors. The results show that during the financial crisis, China's state-owned commercial banks have a positive impact on reducing risk and crisis of small banks, and the size distribution of the bank can affect the stability of the banking system. From the micro perspective, the equity ratio, asset size, return on equity can have a positive effect. From a macro perspective, the higher the interest rate, the better banks performance. The higher the GDP growth rate, the greater the risks the banks hold.
本文围绕中国商业银行的效率与风险进行了一系列的研究。首先,不仅比较我国不同类型商业银行的效率与风险,也比较中外银行业的效率与风险。接着,分析我国商业银行多元化经营的效率与风险。最后,探讨商业银行效率与风险的影响因素,并特别考察了我国大银行自身效率的变化对中小银行带来的影响。
为了比较国内外银行业效率和风险的变化,本文先利用杜邦分析法度量2006—2009年中国商业银行的效率与风险经营情况。然后利用基于风险投入的DEA模型测度国内外大型商业银行的各种效率,包括技术效率、纯技术效率、规模效率,以及全要素生产率。在投入产出指标选取上,与传统方法不同,本文采用利润法,引入风险作为投入变量。将基于风险投入的DEA模型估计的效率与未加入风险投入的DEA方法得出的结果进行比较。研究结果表明,四大国有银行在中国商业银行之中并不是效率最高,也不是风险最小的银行,而一些股份制银行和城市商业银行的整体经营状况要好于国有银行。在国际上,排名相近的大型商业银行之间的差距也越来越小。其中,中国国有银行的ROE水平与其他国家大型商业银行相差不大,而中国国有银行的风险经营水平仍然存在上升的空间。相对于其他国家,中国商业银行受到金融危机冲击的影响较小,其技术效率保持较高水平。中国商业银行在金融危机之后全要素生产率的减少原因主要是技术变化。
为了研究中国商业银行多元化经营的效率与风险,本文分析了我国商业银行多元化经营的发展阶段、现状及问题,并对我国商业银行多元化经营的效率与风险进行实证分析。多元化经营利用赫芬达尔方法构造的DIV变量来度量。通过实证研究多元化经营与利润指标之间的联系、多元化经营与风险调整后的利润指标之间的联系、不同类型的商业银行多元化经营与利润指标之间的联系、多元化经营对商业银行特征和战略选择的影响等发现,中国商业银行整体投资组合更加多元化能够带来更多的利润、非利息收入占比越多却带来的利润越少；持有股权越少、贷款越多的商业银行其利润越少；非利息收入占比越大的商业银行风险也越大。大型银行和中型银行多元化经营会减少收益,小型银行开展多元化的业务可增加收益。
为了研究我国商业银行在此次银行危机中经营效率与风险变动的影响因素,以及我国大银行自身效率的变化对中小银行带来的影响,本文从信息渠道和基本面角度分析大银行冲击机制,并从宏观因素、微观因素和大银行冲击三个方面实证分析了此次国际金融危机中我国商业银行受到的影响。大银行冲击变量用构造的GR指数来替代。研究结果表明,在金融危机期间,我国国有商业银行正而冲击减少了中小型商业银行风险和危机,银行的规模分布会影响银行经营的稳定。从微观角度看,股东权益比率、资产规模、股权回报率都对商业银行经营状况产生了证的影响。从宏观角度看,利率越高,商业银行经营越好,而GDP增长率越高,商业银行风险越大。
Since the 21st century, China's banking sector has undergone enormous changes and international status has risen further. Especially after the financial crisis, Chinese banks have been hit less, and become the world's academic and financial research focus. Currently, researches of China's banking sector always focus on efficiency and risk respectively, while improving efficiency and managing risk are goals that the commercial banks need to pursue at the same time. Therefore, the efficiency of China's banking sector need be combined with the risk, which can reflect the true state of China's banking business and get the helpful suggestions for the development of China's banking industry. On the basis of international comparison, this dissertation analyzes the issues of China's banking sector efficiency and risk deeply to further build and improve the management system of Chinese commercial banks and provide a reliable basis for financial managers' decision making.
This dissertation focuses on the efficiency and risk of Chinese commercial banks. First, we compare not only different types of efficiency and risk of commercial banks in China, but also home and abroad. Then, we analyze the impact of diversification on bank efficiency and risk. Finally, we analyze the impact factors of the efficiency and risk of commercial banks, particularly investigate whether China's big banks efficiency changes have effects on the small-medium banks.
To compare the changes of the efficiency and risk of domestic and international banking, firstly this dissertation uses DuPont analysis and analyzes the efficiency and risk of China's banking operations from 2006 to 2009.Then we use the DEA model based on risk input to measure kinds of efficiency, including technical efficiency, pure technical efficiency, scale efficiency, and total factor productivity. The profit method is employed to select the indicators, which is different from the traditional methods, considering risk as input variables. We compare the results between with risk and without risk. It shows that the four major state-owned commercial banks are neither the most efficient, nor the least risky banks in China's commercial banks, and some joint-stock banks and city commercial banks are even better than the state-owned banks in operating conditions. Internationally, the gaps of ranking between the big banks are getting smaller and smaller. The ROE levels of Chinese state-owned banks and the big banks in other countries are very close, and the risk level of Chinese state-owned banks still need to improve. The impact of China's banking sector is smaller than other countries caused by the financial crisis. Their technical efficiency maintains a high level. A clear downward trend in the growth rate of total factor productivity, and technical change is the driving force behind this decline.
This dissertation summarizes the efficiency and risk of diversification of Commercial Bank in China. We introduce the development stage and current situation of Chinese commercial banks, and make an empirical analysis on the efficiency and risk of diversification for commercial banks. The Herfindahl index constructed is used to measure the DIV variable for diversification. We research the links between diversification and profit targets, between diversification and risk-adjusted profit target, between the different types of bank diversification and profit targets, and between the diversification and banks characteristics and strategic choices. The results show that China's commercial banks diversify the overall portfolio and have more profit. The more the non-interest income, the less the profit; the less the equity the banks hold and the less the loan, the less the profit; the more the non-interest income, the greater the risk the banks hold. Big commercial banks and medium commercial banks reduce income because of diversification, but small commercial banks increase revenue.
In order to study the impact of efficiency and risk of China's banking industry in the banking crisis and the influence of efficiency changes of China's big banks on the small-medium banks, this dissertation analyzes the big banks shock mechanism from the view of information channels and fundamental point. We have an empirical research on impact of the banking crisis from three aspects of the macro and micro factors and the big banks shock factors. The GR index instead of the big banks factors. The results show that during the financial crisis, China's state-owned commercial banks have a positive impact on reducing risk and crisis of small banks, and the size distribution of the bank can affect the stability of the banking system. From the micro perspective, the equity ratio, asset size, return on equity can have a positive effect. From a macro perspective, the higher the interest rate, the better banks performance. The higher the GDP growth rate, the greater the risks the banks hold.
引文
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