流动性过剩下的银行信贷效率研究
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摘要
近来发生的美国次贷风暴,其“蝴蝶效应”引起全球金融市场剧烈震荡,严重影响各国资金流动性。国际货币基金组织(IMF)认为,因美国次级住房抵押贷款市场危机引发的信贷紧缩和金融市场动荡可能对全球经济持续增长构成威胁。
在西方国家受次级债的影响,出现流动性危机端倪的同时,我国却出现了明显的流动性过剩征兆。尤其是我国商业银行已经出现严重的流动性过剩问题,商业银行存贷款差额逐年增大,银行流动货币已超过了银行正常的需求。
我国出现这种“货币悖论”现象是多种因素综合作用的结果,不仅有外汇占款引发基础货币过多投放的外生因素,还存在我国经济金融结构失衡的内生因素,而根植于经济结构的信贷失衡是导致流动性过剩的重要内生原因之一。银行是我国信贷体系的主体,其配置资源的效率对我国经济的发展起到至关重要的作用。目前我国信贷市场效率低下的问题已经成为阻碍经济发展的“瓶颈”。
因此,本文主要在对银行流动性过剩情况下分析商业银行的信贷效率。国内关于信贷效率的研究主要采用理论分析,本文在效率与银行效率实证研究成果的基础上,将信贷效率量化实证分析银行的信贷效率情况。利用一般性的随机边界效率模型和本文提出的半参数随机边界效率模型探究商业银行信贷使效率现存的一些问题。
本文研究的技术路线为,在界定相应的流动性、效率、银行信贷效率等基本概念和我国商业银行流动性现状分析的基础上,借鉴已有研究成果中合理的内核,对13家商业银行的资金使用的成本效率和收益效率两个方面进行了信贷效率的实证分析。实证分析过程分为两步:采用规范的SFA效率分析。实证分析结果显示SFA效率分析存在着不足;进而放宽假设条件,进行半参数SFA效率分析,得出一些有特色的结论。
文章正文共分为六章:
第一章粗略的提出本文的研究目的、意义以及文章的基本构架。
第二章介绍了银行流动性的概念,研究商业银行流动性过剩的原因。从我国银行现状来看,我国商业银行存贷款差额逐年增大,银行没有贷出去的货币超过了银行正常的需求。根据人民银行定义流动性过剩表现为金融机构超储率持续处于高位的情形,这说明我国商业银行已经存在严重的流动性过剩问题。从流动性过剩产生的根源来分析,是货币没有渠道投资而存放银行从而起引起银行资金过多增长。由于银行竞争并不充分,利率仍被管制,信誉较低的客户银行一般不再愿意提供贷款支持,资金运用品种单一,因此当存款大幅度增长时,银行流动性过剩就在所难免。故而商业银行信贷效率是银行流动性过剩的根源所在。
第三章关于银行效率的文献回顾,主要针对前文的分析,介绍效率以及银行信贷效率的定义及发展过程,本文定义的银行信贷效率是以投入产出比来衡量,表示企业在既定的投入水平条件下实现了最大的产出,或者在既定的产出水平下将成本控制在最小。
第四章是在明确效率的定义下,分析了银行效率的主要计量方法分为参数方法和非参数方法。参数方法主要有随机边界效率模型,非参数方法主要是数据包络模型。本文在研究两类模型的基础上选择了SFA模型分析13家商业银行信贷的成本和收益模型,利用中介法定义银行信贷的投入产出变量,但是模型的拟合效果不高模型设定存在问题。
第五章针对SFA模型存在的不足,本文放宽模型的假设条件,提出了半参数随机边界效率模型分析银行的信贷效率。设定模型之前,首先通过因子分析方法分析银行存在的造成信贷非效率的综合因子,将因子作为变量带入半参数模型的非参数部分,再在模型中引入风险控制变量,分析有无信贷风险的情况下银行信贷效率模型的变动及拟合情况。
第六章银行信贷效率分析利用半参数随机前沿效率模型得到的非效率值,根据计算效率值的方法得到了本文在考虑信贷风险下的效率值和不考虑风险下的效率值,并分析在两种情况下银行成本效率和收益效率的变动情况。
最后根据前文的研究总结了本文的研究结果并分析本文的创新与不足。本文的主要可以得到以下几个方面的结论:
1、我国银行业总体规模还处于收益递增的阶段
由随机前沿效率模型(SFA)和半参数模型都得到得到存款对利息支出是一种负向的影响,存款的增加,会造成利息支出的减少,同时营业成本的增加带来银行收入的增加,说明银行业还处于规模收益增加的阶段,扩大规模既会带来银行成本的增加,也会带来银行收益的增加。而成本模型得到同样类似的结论,这说明我国银行还处在规模收益递增的阶段,规模的扩大有助于银行效率的提高收益的增加。
2、商业银行的金融创新能力不足
本文利用因子分析法探讨造成银行信贷非效率的因素的过程中,发现银行的金融创新是造成银行非效率的因素之一。银行的金融创新并没有给银行带来收益,反而影响了资金使用的效率。同时在分析银行非效率影响因素时发现银行的市场占有率也是造成非效率的原因,而不同于理论上的市场占有率越高越好。太高了反而使得银行效率降低。
3、信贷风险对银行成本效率没有明显的影响
坏账比例对成本效率模型的影响很小,控制风险情况下得到的系数值与不控制风险的指数值几乎是一致的,只有很少的变量存在差异。而模型的拟合优度都是在1%的水平下显著,说明模型是拟合的很好的。系数差距不大不是因为拟合优度的问题产生的,银行的信贷风险对银行的成本支出影响比较小。
4、银行贷款投放和债券投资的管理能力不足
考虑风险和不考虑风险的两种情况下得到的关于贷款总额的系数都显示银行贷款管理能力的低下。银行贷款的增加会减少银行的利息收入,虽然在控制风险的情况下这种影响很小,但是却充分显示了银行信贷管理能力的薄弱。债券投资在不考虑风险的情况下,增加一个百分比的债券投资,会增加10.2个百分比的利息收入,而在考虑风险下,影响由10%减少到2%。因此不考虑银行风险的情况下,夸大了银行的债券投资对收入的影响,银行债券投资的能力同样不足。
5、四大商业银行对风险的敏感程度很低而且收益效率反常
四大商业银行尤其是农业银行在控制成本时对风险的敏感程度很低。尤其在2006年的变动比例为0.018377%,控制风险与不控制风险得到的结果几乎是一致的。四大商业银行在信贷投放过程中,因国有性质在贷款过程中不惜成本效率缺失。而且四大银行的效率在控制风险后提高了,本文无法解释姑且认为是其经营运作并没有市场化,导致出现了与其他商业银行不一致的反常变动。
纵观全文,本文有四点特色之处:
1、本文首先从银行中介法的角度定义银行的投入产出。以往的研究绝大多数都是从生产法的角度研究银行效率,而本文主要研究信贷转化的技术效率,因此认为银行在信贷转化中应当充当中介的角色,故本文采用中介法定义投入产出变量作为研究的出发点。
2、因为参数随机边界效率模型有很强的假设,而拟合情况也不理想,本文探讨性的提出了半参数随机边界效率模型。对非效率误差项以非参数的形式代替了截断正态分布的假定,同时放宽了两类误差项独立的假定。
3、没有采用先测算银行的效率和非效率,再用计量方法分析造成银行非效率的因素的银行效率研究范式。本文先是分析了影响银行非效率的因素,使用因子分析法从众多因素中提取综合影响因子,并放在效率模型中作为非参数部分的变量。这样综合分析,得到银行效率的结果要准确一些。
4、同时采用半参数随机边界效率模型实证研究时,本文考虑到实际情况,进一步在模型中引入了信贷风险因素。通过对控制风险的模型和不控制风险的模型之间的比较,研究风险因素对银行信贷效率的影响。
The recent meeting of the U.S. subprime lending crisis, their "butterfly effect" caused severe turbulence in global financial markets, and severely liquidity matters of the countries. International Monetary Fund (IMF) believes that in the United States as a result of subprime mortgage market crisis triggered the credit crunch and financial market turmoil in the global economy,which could pose a threat to sustained growth.
at the same time the West impact the emerging signs of the liquidity crisis by the subprime lending crisi, our country turn on an obvious sign of excess liquidity. In particular the Commercial Bank of China has made serious problem of excess liquidity, commercial banks deposit and loan balance increased year by year, the flow of money have been more than the normal needs.
The phenomenon of the "monetary paradox" in china caused by a variety of factors, not only the exogenous factors that foreign exchange lead to too much money invested , but the endogenous factors which is still imbalance in China's economic and financial structure , while the credit imbalance which rooted in the The economic structure is an important endogenous led to excess liquidity. Bank of China's credit system has played a crucial role in the subject of its own resources and the efficiency of China's economic development. China's credit market inefficiencies has become a "bottleneck" impeding economic development.
As a result, this article mainly analysis of the efficiency of commercial bank credit in the excess liquidity in the banking case. Domestic credit on the efficiency analysis mainly use the theoretical analysis, but this article based on empirical analysis to quantify the efficiency of the bank's credit situation. The random use of the general efficiency of the border and the proposed model of semiparameter model to explore the efficiency of border commercial bank credit so that the efficiency of the existing problems, combined with 13 data of banks, credit analysis of its efficiency, and consider the analysis of credit risk, as well as considering Credit risk efficiency of the movements.
The body of the article is divided into six chapters:
The first chapters is bring forward the main body of a book go into purpose in rough , significance and the article basic construct a rack.
The second chapter is introduces the concept of bank liquidity, the study of excess liquidity of commercial banks. From the Bank of China's current situation, China's commercial banks deposit and loan balance increased year by year, the banks do not loan out the money more than the normal bank. According to the definition of the People's Bank of excess liquidity to financial institutions, ultra-performance storage at a high rate of cases, indicating China's commercial banks have serious problem of excess liquidity. Excess liquidity from the source to analysis, monetary and investment channels has not caused the bank deposit which in turn has caused excessive growth in bank funds. As the bank is not full competition, interest rates still controls the lower the credibility of the bank customers in general are no longer willing to provide loans to support the use of funds of a single species, so when the deposit growth, banks on the inevitable excess liquidity. Therefore, the efficiency of commercial bank credit is the bank's liquidity surplus roots of the problem.
The third chapter is based on the earlier analysis, as well as the efficiency of bank credit and the definition of the efficiency of the development process, the paper's definition of bank credit is based on the efficiency of input-output ratio to measure, said in an established investment levels to achieve the greatest production Out, or the established level of output under the control of costs to a minimum.
Chapter 4 is give a clear definition of efficiency, the analysis of the efficiency of the bank's main method of measurement methods and parameters are divided into non-parametric methods. Method parameters are stochastic frontier model of efficiency, non-parametric method is DEA model. In this paper, two types of models to choose on the basis of the SFA model analysis of 13 commercial banks, credit costs and benefits of the model, the use of bank credit intermediary law definition of input and output variables, but the results do not fit the model of high-set model problems.
Chapter 5 is according to the SFA model for shortcomings in this paper to relax the model assumptions, a semi-random parameter model of efficiency in cutting-edge analysis of the efficiency of the bank's credit. Before setting model, first of all through the analysis of the factor analysis of bank credit caused by the presence of non-consolidated efficiency factor, as a variable factor into the semi-parameter model of non-parametric part of the model in the re-introduction of risk control variables, the availability of credit risk analysis Of the Bank of Credit and changes in the efficiency of the model fit the situation.
Chapter 6 is using a random semiparametric the forefront of efficiency model to be non-value efficiency, according to the method of calculating the value of the efficiency of this article has been considering the credit risk of the value of efficiency and not risk the efficiency of the value and analysis in both cases, banks Efficiency gains and cost-effective changes.
According to the text before the end of this article summarizes the research findings and analysis of this article and the lack of innovation.
1, first of all in this article from the perspective of the banking intermediary law definition of the bank's input-output. Most previous studies from the production efficiency of the bank's point of view, this article and research into the technical efficiency of the credit, so that the Bank of Credit transforming should act as an intermediary role in this paper, it is an intermediary law definition of input and output variables As the starting point.
2, because the efficiency of the model parameter random border have a very strong assumption, and the fit is not an ideal situation, this paper made of semi-random parameter model of the efficiency of the border. Non-efficiency of a non-error parameter in the form of a cut-off instead of the normal distribution assumption, at the same time the relaxation of the two types of errors assumed independent.
3, no first use of measurement of the efficiency of banks and non-efficiency of the method used to analyze the efficiency of the bank's non-factor in the efficiency of the banking paradigm. First, this article analyzes the impact of non-bank efficiency, the use of factor analysis of the many factors extracted from the combined effects of factors, and on the efficiency of the model parameters as part of the variable. This comprehensive analysis of the results of the efficiency of the bank to be accurate to some.
4, at the same time using a random semiparametric model of efficiency border empirical research, this paper take into account the actual situation, the model introduced in the credit risk factors. Through the model of risk control and risk control of the comparison between model to study the risk factors for the efficiency of bank credit.
在西方国家受次级债的影响,出现流动性危机端倪的同时,我国却出现了明显的流动性过剩征兆。尤其是我国商业银行已经出现严重的流动性过剩问题,商业银行存贷款差额逐年增大,银行流动货币已超过了银行正常的需求。
我国出现这种“货币悖论”现象是多种因素综合作用的结果,不仅有外汇占款引发基础货币过多投放的外生因素,还存在我国经济金融结构失衡的内生因素,而根植于经济结构的信贷失衡是导致流动性过剩的重要内生原因之一。银行是我国信贷体系的主体,其配置资源的效率对我国经济的发展起到至关重要的作用。目前我国信贷市场效率低下的问题已经成为阻碍经济发展的“瓶颈”。
因此,本文主要在对银行流动性过剩情况下分析商业银行的信贷效率。国内关于信贷效率的研究主要采用理论分析,本文在效率与银行效率实证研究成果的基础上,将信贷效率量化实证分析银行的信贷效率情况。利用一般性的随机边界效率模型和本文提出的半参数随机边界效率模型探究商业银行信贷使效率现存的一些问题。
本文研究的技术路线为,在界定相应的流动性、效率、银行信贷效率等基本概念和我国商业银行流动性现状分析的基础上,借鉴已有研究成果中合理的内核,对13家商业银行的资金使用的成本效率和收益效率两个方面进行了信贷效率的实证分析。实证分析过程分为两步:采用规范的SFA效率分析。实证分析结果显示SFA效率分析存在着不足;进而放宽假设条件,进行半参数SFA效率分析,得出一些有特色的结论。
文章正文共分为六章:
第一章粗略的提出本文的研究目的、意义以及文章的基本构架。
第二章介绍了银行流动性的概念,研究商业银行流动性过剩的原因。从我国银行现状来看,我国商业银行存贷款差额逐年增大,银行没有贷出去的货币超过了银行正常的需求。根据人民银行定义流动性过剩表现为金融机构超储率持续处于高位的情形,这说明我国商业银行已经存在严重的流动性过剩问题。从流动性过剩产生的根源来分析,是货币没有渠道投资而存放银行从而起引起银行资金过多增长。由于银行竞争并不充分,利率仍被管制,信誉较低的客户银行一般不再愿意提供贷款支持,资金运用品种单一,因此当存款大幅度增长时,银行流动性过剩就在所难免。故而商业银行信贷效率是银行流动性过剩的根源所在。
第三章关于银行效率的文献回顾,主要针对前文的分析,介绍效率以及银行信贷效率的定义及发展过程,本文定义的银行信贷效率是以投入产出比来衡量,表示企业在既定的投入水平条件下实现了最大的产出,或者在既定的产出水平下将成本控制在最小。
第四章是在明确效率的定义下,分析了银行效率的主要计量方法分为参数方法和非参数方法。参数方法主要有随机边界效率模型,非参数方法主要是数据包络模型。本文在研究两类模型的基础上选择了SFA模型分析13家商业银行信贷的成本和收益模型,利用中介法定义银行信贷的投入产出变量,但是模型的拟合效果不高模型设定存在问题。
第五章针对SFA模型存在的不足,本文放宽模型的假设条件,提出了半参数随机边界效率模型分析银行的信贷效率。设定模型之前,首先通过因子分析方法分析银行存在的造成信贷非效率的综合因子,将因子作为变量带入半参数模型的非参数部分,再在模型中引入风险控制变量,分析有无信贷风险的情况下银行信贷效率模型的变动及拟合情况。
第六章银行信贷效率分析利用半参数随机前沿效率模型得到的非效率值,根据计算效率值的方法得到了本文在考虑信贷风险下的效率值和不考虑风险下的效率值,并分析在两种情况下银行成本效率和收益效率的变动情况。
最后根据前文的研究总结了本文的研究结果并分析本文的创新与不足。本文的主要可以得到以下几个方面的结论:
1、我国银行业总体规模还处于收益递增的阶段
由随机前沿效率模型(SFA)和半参数模型都得到得到存款对利息支出是一种负向的影响,存款的增加,会造成利息支出的减少,同时营业成本的增加带来银行收入的增加,说明银行业还处于规模收益增加的阶段,扩大规模既会带来银行成本的增加,也会带来银行收益的增加。而成本模型得到同样类似的结论,这说明我国银行还处在规模收益递增的阶段,规模的扩大有助于银行效率的提高收益的增加。
2、商业银行的金融创新能力不足
本文利用因子分析法探讨造成银行信贷非效率的因素的过程中,发现银行的金融创新是造成银行非效率的因素之一。银行的金融创新并没有给银行带来收益,反而影响了资金使用的效率。同时在分析银行非效率影响因素时发现银行的市场占有率也是造成非效率的原因,而不同于理论上的市场占有率越高越好。太高了反而使得银行效率降低。
3、信贷风险对银行成本效率没有明显的影响
坏账比例对成本效率模型的影响很小,控制风险情况下得到的系数值与不控制风险的指数值几乎是一致的,只有很少的变量存在差异。而模型的拟合优度都是在1%的水平下显著,说明模型是拟合的很好的。系数差距不大不是因为拟合优度的问题产生的,银行的信贷风险对银行的成本支出影响比较小。
4、银行贷款投放和债券投资的管理能力不足
考虑风险和不考虑风险的两种情况下得到的关于贷款总额的系数都显示银行贷款管理能力的低下。银行贷款的增加会减少银行的利息收入,虽然在控制风险的情况下这种影响很小,但是却充分显示了银行信贷管理能力的薄弱。债券投资在不考虑风险的情况下,增加一个百分比的债券投资,会增加10.2个百分比的利息收入,而在考虑风险下,影响由10%减少到2%。因此不考虑银行风险的情况下,夸大了银行的债券投资对收入的影响,银行债券投资的能力同样不足。
5、四大商业银行对风险的敏感程度很低而且收益效率反常
四大商业银行尤其是农业银行在控制成本时对风险的敏感程度很低。尤其在2006年的变动比例为0.018377%,控制风险与不控制风险得到的结果几乎是一致的。四大商业银行在信贷投放过程中,因国有性质在贷款过程中不惜成本效率缺失。而且四大银行的效率在控制风险后提高了,本文无法解释姑且认为是其经营运作并没有市场化,导致出现了与其他商业银行不一致的反常变动。
纵观全文,本文有四点特色之处:
1、本文首先从银行中介法的角度定义银行的投入产出。以往的研究绝大多数都是从生产法的角度研究银行效率,而本文主要研究信贷转化的技术效率,因此认为银行在信贷转化中应当充当中介的角色,故本文采用中介法定义投入产出变量作为研究的出发点。
2、因为参数随机边界效率模型有很强的假设,而拟合情况也不理想,本文探讨性的提出了半参数随机边界效率模型。对非效率误差项以非参数的形式代替了截断正态分布的假定,同时放宽了两类误差项独立的假定。
3、没有采用先测算银行的效率和非效率,再用计量方法分析造成银行非效率的因素的银行效率研究范式。本文先是分析了影响银行非效率的因素,使用因子分析法从众多因素中提取综合影响因子,并放在效率模型中作为非参数部分的变量。这样综合分析,得到银行效率的结果要准确一些。
4、同时采用半参数随机边界效率模型实证研究时,本文考虑到实际情况,进一步在模型中引入了信贷风险因素。通过对控制风险的模型和不控制风险的模型之间的比较,研究风险因素对银行信贷效率的影响。
The recent meeting of the U.S. subprime lending crisis, their "butterfly effect" caused severe turbulence in global financial markets, and severely liquidity matters of the countries. International Monetary Fund (IMF) believes that in the United States as a result of subprime mortgage market crisis triggered the credit crunch and financial market turmoil in the global economy,which could pose a threat to sustained growth.
at the same time the West impact the emerging signs of the liquidity crisis by the subprime lending crisi, our country turn on an obvious sign of excess liquidity. In particular the Commercial Bank of China has made serious problem of excess liquidity, commercial banks deposit and loan balance increased year by year, the flow of money have been more than the normal needs.
The phenomenon of the "monetary paradox" in china caused by a variety of factors, not only the exogenous factors that foreign exchange lead to too much money invested , but the endogenous factors which is still imbalance in China's economic and financial structure , while the credit imbalance which rooted in the The economic structure is an important endogenous led to excess liquidity. Bank of China's credit system has played a crucial role in the subject of its own resources and the efficiency of China's economic development. China's credit market inefficiencies has become a "bottleneck" impeding economic development.
As a result, this article mainly analysis of the efficiency of commercial bank credit in the excess liquidity in the banking case. Domestic credit on the efficiency analysis mainly use the theoretical analysis, but this article based on empirical analysis to quantify the efficiency of the bank's credit situation. The random use of the general efficiency of the border and the proposed model of semiparameter model to explore the efficiency of border commercial bank credit so that the efficiency of the existing problems, combined with 13 data of banks, credit analysis of its efficiency, and consider the analysis of credit risk, as well as considering Credit risk efficiency of the movements.
The body of the article is divided into six chapters:
The first chapters is bring forward the main body of a book go into purpose in rough , significance and the article basic construct a rack.
The second chapter is introduces the concept of bank liquidity, the study of excess liquidity of commercial banks. From the Bank of China's current situation, China's commercial banks deposit and loan balance increased year by year, the banks do not loan out the money more than the normal bank. According to the definition of the People's Bank of excess liquidity to financial institutions, ultra-performance storage at a high rate of cases, indicating China's commercial banks have serious problem of excess liquidity. Excess liquidity from the source to analysis, monetary and investment channels has not caused the bank deposit which in turn has caused excessive growth in bank funds. As the bank is not full competition, interest rates still controls the lower the credibility of the bank customers in general are no longer willing to provide loans to support the use of funds of a single species, so when the deposit growth, banks on the inevitable excess liquidity. Therefore, the efficiency of commercial bank credit is the bank's liquidity surplus roots of the problem.
The third chapter is based on the earlier analysis, as well as the efficiency of bank credit and the definition of the efficiency of the development process, the paper's definition of bank credit is based on the efficiency of input-output ratio to measure, said in an established investment levels to achieve the greatest production Out, or the established level of output under the control of costs to a minimum.
Chapter 4 is give a clear definition of efficiency, the analysis of the efficiency of the bank's main method of measurement methods and parameters are divided into non-parametric methods. Method parameters are stochastic frontier model of efficiency, non-parametric method is DEA model. In this paper, two types of models to choose on the basis of the SFA model analysis of 13 commercial banks, credit costs and benefits of the model, the use of bank credit intermediary law definition of input and output variables, but the results do not fit the model of high-set model problems.
Chapter 5 is according to the SFA model for shortcomings in this paper to relax the model assumptions, a semi-random parameter model of efficiency in cutting-edge analysis of the efficiency of the bank's credit. Before setting model, first of all through the analysis of the factor analysis of bank credit caused by the presence of non-consolidated efficiency factor, as a variable factor into the semi-parameter model of non-parametric part of the model in the re-introduction of risk control variables, the availability of credit risk analysis Of the Bank of Credit and changes in the efficiency of the model fit the situation.
Chapter 6 is using a random semiparametric the forefront of efficiency model to be non-value efficiency, according to the method of calculating the value of the efficiency of this article has been considering the credit risk of the value of efficiency and not risk the efficiency of the value and analysis in both cases, banks Efficiency gains and cost-effective changes.
According to the text before the end of this article summarizes the research findings and analysis of this article and the lack of innovation.
1, first of all in this article from the perspective of the banking intermediary law definition of the bank's input-output. Most previous studies from the production efficiency of the bank's point of view, this article and research into the technical efficiency of the credit, so that the Bank of Credit transforming should act as an intermediary role in this paper, it is an intermediary law definition of input and output variables As the starting point.
2, because the efficiency of the model parameter random border have a very strong assumption, and the fit is not an ideal situation, this paper made of semi-random parameter model of the efficiency of the border. Non-efficiency of a non-error parameter in the form of a cut-off instead of the normal distribution assumption, at the same time the relaxation of the two types of errors assumed independent.
3, no first use of measurement of the efficiency of banks and non-efficiency of the method used to analyze the efficiency of the bank's non-factor in the efficiency of the banking paradigm. First, this article analyzes the impact of non-bank efficiency, the use of factor analysis of the many factors extracted from the combined effects of factors, and on the efficiency of the model parameters as part of the variable. This comprehensive analysis of the results of the efficiency of the bank to be accurate to some.
4, at the same time using a random semiparametric model of efficiency border empirical research, this paper take into account the actual situation, the model introduced in the credit risk factors. Through the model of risk control and risk control of the comparison between model to study the risk factors for the efficiency of bank credit.
引文
①参见:杜程《关于流动性过剩的研究与分析》,上海社科院,2007,第10页
①同上
②参见:杜程《关于流动性过剩的研究与分析》,上海社科院,2007,第10页
③参见:王元龙《流动性过剩与商业银行抉择》,武汉金融2007年第11期,第4页
①参见:王建《我国货币流动性之谜》,中国金融2007年第6期,第27页
①参见:刘锡良、董青马《商业银行流动性过剩再认识》,财经科学2007年第2期
①参见:徐传湛、齐天树《中国商业银行x-效率实证研究》,经济研究2007年第3期
①参见:徐传湛、齐天树《中国商业银行x-效率实证研究》,经济研究2007年第3期
①参见:Berger and Humphrey(1997)、Berger and Mester (1997)、Dhawan and Jochumzen(1999)以及姚树洁等(2004)、吴福象(2005)中的总结和讨论
②参见:姚树洁等《中国银行业效率的实证分析》,经济研究2004年第8期
①参见:吴福象《参数与非参数前沿方法在生产率效率测度中的应用》,数理统计与管理2005年第5期
1.杜程:《关于我国流动性过剩的理论与分析》,上海社会科学院经济研究所研究生毕业论文,2007
2.黄国华:《当前商业银行信贷管理若干问题探讨》,《经济研究导刊》,2008年第四期,64-65
3.刘锡良、董青马:《商业银行流动性过剩再认识》,《财经科学》,2007年第2期
4.刘岩:《如何提高我国商业银行信贷效率》,《辽宁工学院学报》,2004年第6卷第4期
5.齐天树:《中国商业银行x效率研究》,吉林大学经济学院博士论文,2007
6.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年第3期,88-96页
7.王建:《我国货币流动性之谜》,《中国金融》,2007年第6期,第27页
8.王元龙:《流动性过剩与商业银行抉择》,《武汉金融》,2007年第11期,第4页
9.吴栋、周建平:《基于SFA的商业银行股权结构选择的实证研究》,《金融研究》,2007年第1期,47-60页
10.吴福象:《参数与非参数前沿方法在生产率效率测度中的应用》,《数理统计与管理》,2005年第5期,50-55页。
11.肖洪广:《国有商业银行信贷效率研究》,华南师范大学经济管理学院博士论文,2006
12.徐传谌、齐树天:《中国商业银行X-效率实证研究》,《经济研究》,2007年第3期,106-116页。
13.姚树洁、冯根福、姜春霞:《中国银行业效率的实证分析》,《经济研究》,2004年第8期,4-15页。
14.叶阿忠:《非参数计量经济学》,南开大学出版社,天津,2005
15.朱南、卓贤、董屹:《关于我国国有商业银行效率的实证分析与改革策略》,《管理世界》,2004年第2期,18-26页。
16.中国金融年鉴2000年-2007年
17.中国人民银行南京分行营业管理部课题组:《高度关注流动性过剩下的信贷效率失衡》,2008年2期
18.Aigner , D. , Lovell , C. A. K. and Schmidt , P. ,1977 ,“Formulation and Estimation of Stochastic frontier Production Models”, Journal ofEconometrics , Vol . 6 , pp. 21—37.
19.Battese , G. E. and Coelli , T. J . ,1995 ,“A Model for Technical Inefficiency Effects in a Stochastic Frontier Production Function for PanelDate”, Empirical Economics , Vol . 120 , pp. 325—332.
20.Bauer , P.W. , Berger , A. N. and Humphrey , D.B. ,1993 ,“Efficiency and Productive Growth in US Banking”, Oxford University Press , NewYork.
21.Berger A. N. and Humphrey , D. B. ,1997.“Efficiency of Financial Institutions : International Survey and Directions for Future Research”,
22.Coelli , T. , 1992 ,“A Computer Programfor Frontier Production Function Estimation”: Frontier , Version 2. 0. Economics Letters , Vol . 39 ,pp. 29—32.
23.Coelli , T. , 1996 ,“A Guide to Frontier Version 4. 1 : A computer Programfor Stochastic Frontier Production and Cost Function Estimation”,University of New England : Centre for Efficiency and Productivity Analysis Working Paper.
24.Fan, Yanqin; Li, Qi; Weersink, Alfons,Semiparametric estimation of stochastic production frontier models,Journal of Business & Economic Statistics; Oct 1996,pg.460
25.Ferrier , G. D. ,and Lovell ,C. A. K. ,1990 ,“Measuring Cost Efficiency in Banking : Econometric and Linear Programming Evidence”, Journal of Econometric , Vol . 46 , pp. 229—245.
26.Lovell , C. A. K. ,1993 ,“Production Frontiers and Productive Efficiency”, in Fried , H. O. , Lovell , C. A. K. and Schmidt , S. S.(eds) , The Measurement of Productive Efficiency : Techniques and Applications , Oxford University Press , New York.
①同上
②参见:杜程《关于流动性过剩的研究与分析》,上海社科院,2007,第10页
③参见:王元龙《流动性过剩与商业银行抉择》,武汉金融2007年第11期,第4页
①参见:王建《我国货币流动性之谜》,中国金融2007年第6期,第27页
①参见:刘锡良、董青马《商业银行流动性过剩再认识》,财经科学2007年第2期
①参见:徐传湛、齐天树《中国商业银行x-效率实证研究》,经济研究2007年第3期
①参见:徐传湛、齐天树《中国商业银行x-效率实证研究》,经济研究2007年第3期
①参见:Berger and Humphrey(1997)、Berger and Mester (1997)、Dhawan and Jochumzen(1999)以及姚树洁等(2004)、吴福象(2005)中的总结和讨论
②参见:姚树洁等《中国银行业效率的实证分析》,经济研究2004年第8期
①参见:吴福象《参数与非参数前沿方法在生产率效率测度中的应用》,数理统计与管理2005年第5期
1.杜程:《关于我国流动性过剩的理论与分析》,上海社会科学院经济研究所研究生毕业论文,2007
2.黄国华:《当前商业银行信贷管理若干问题探讨》,《经济研究导刊》,2008年第四期,64-65
3.刘锡良、董青马:《商业银行流动性过剩再认识》,《财经科学》,2007年第2期
4.刘岩:《如何提高我国商业银行信贷效率》,《辽宁工学院学报》,2004年第6卷第4期
5.齐天树:《中国商业银行x效率研究》,吉林大学经济学院博士论文,2007
6.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年第3期,88-96页
7.王建:《我国货币流动性之谜》,《中国金融》,2007年第6期,第27页
8.王元龙:《流动性过剩与商业银行抉择》,《武汉金融》,2007年第11期,第4页
9.吴栋、周建平:《基于SFA的商业银行股权结构选择的实证研究》,《金融研究》,2007年第1期,47-60页
10.吴福象:《参数与非参数前沿方法在生产率效率测度中的应用》,《数理统计与管理》,2005年第5期,50-55页。
11.肖洪广:《国有商业银行信贷效率研究》,华南师范大学经济管理学院博士论文,2006
12.徐传谌、齐树天:《中国商业银行X-效率实证研究》,《经济研究》,2007年第3期,106-116页。
13.姚树洁、冯根福、姜春霞:《中国银行业效率的实证分析》,《经济研究》,2004年第8期,4-15页。
14.叶阿忠:《非参数计量经济学》,南开大学出版社,天津,2005
15.朱南、卓贤、董屹:《关于我国国有商业银行效率的实证分析与改革策略》,《管理世界》,2004年第2期,18-26页。
16.中国金融年鉴2000年-2007年
17.中国人民银行南京分行营业管理部课题组:《高度关注流动性过剩下的信贷效率失衡》,2008年2期
18.Aigner , D. , Lovell , C. A. K. and Schmidt , P. ,1977 ,“Formulation and Estimation of Stochastic frontier Production Models”, Journal ofEconometrics , Vol . 6 , pp. 21—37.
19.Battese , G. E. and Coelli , T. J . ,1995 ,“A Model for Technical Inefficiency Effects in a Stochastic Frontier Production Function for PanelDate”, Empirical Economics , Vol . 120 , pp. 325—332.
20.Bauer , P.W. , Berger , A. N. and Humphrey , D.B. ,1993 ,“Efficiency and Productive Growth in US Banking”, Oxford University Press , NewYork.
21.Berger A. N. and Humphrey , D. B. ,1997.“Efficiency of Financial Institutions : International Survey and Directions for Future Research”,
22.Coelli , T. , 1992 ,“A Computer Programfor Frontier Production Function Estimation”: Frontier , Version 2. 0. Economics Letters , Vol . 39 ,pp. 29—32.
23.Coelli , T. , 1996 ,“A Guide to Frontier Version 4. 1 : A computer Programfor Stochastic Frontier Production and Cost Function Estimation”,University of New England : Centre for Efficiency and Productivity Analysis Working Paper.
24.Fan, Yanqin; Li, Qi; Weersink, Alfons,Semiparametric estimation of stochastic production frontier models,Journal of Business & Economic Statistics; Oct 1996,pg.460
25.Ferrier , G. D. ,and Lovell ,C. A. K. ,1990 ,“Measuring Cost Efficiency in Banking : Econometric and Linear Programming Evidence”, Journal of Econometric , Vol . 46 , pp. 229—245.
26.Lovell , C. A. K. ,1993 ,“Production Frontiers and Productive Efficiency”, in Fried , H. O. , Lovell , C. A. K. and Schmidt , S. S.(eds) , The Measurement of Productive Efficiency : Techniques and Applications , Oxford University Press , New York.