中国银行业稳定_效率及其关系研究

20084JOURNALOFRENMINUNIVERSITYOFCHINANo42008中国银行业稳定效率及其关系研究[]各国金融自由化的历程表明,银行业的开放在解除金融压抑,给实施国家带来经济增长和银行体系效率提高的同时,往往伴随着金融体系的不稳定性增强对中国银行业改革开放的实证分析表明,银行业稳定与效率相辅相成,互相促进,两者呈明显的正相关关系在总结中国银行业稳定与效率双赢的成功模式和机制的基础上,为中国银行业全面开放可能面临的稳定与效率的矛盾提出政策建议[]中国银行业;稳定;效率[]黄隽:经济学博士,中国人民大学经济学院副教授(北京100872)19957,,,,,1996,,,,,,,,,2001,,,,,,2006,,2007423,,2090,,,,,,,2020,181133[1],82,,??,,,,,(AllenandGale),,;,[2][3](Hellman),[4],(),[5],2090,,,[6][7]X,X(Leibenstein)[8],,X,(Frei)X:,[9](P259-311)X[10][11],,(GortonandWinton),[12],,,10,,1,,,(DeNicolo)[13](LaevenandLevine)[14],,()(),P(-E)=P(r-K)=-k-f(r)dr(1),E(),K=/();,r/(,ReturnonAssets,ROA),f(r)2r,2,,P(r-K)2(+K)2=1Z2(2)83Z=+EA(3),,AZ,(2),Z,,,,Z,,Z,P(r-K)=-z-12e-r22dr(4)(5)log,exp(-u)u,exp(-u)1-u,t=1nni=1ri,t=rt,2t=1nni=1(ri,t-rt)2,,ri,tittt,,ROA,,,,,2(,DataEnvelopmentAnalysis,DEA),(StochasticFrontierApproach,SFA)SFA(AignerLovellandSchmidt)[15](MeeusenandVandenBroeck)[16],:lny=0+3i=1ilnxi+3i=13j=1ijlnxilnxj+(5),y;x1x2x3,,:=v=u(6)uv,v,u0,,:(1),u(0+),u,u~|N(0,2u)|(2),v,0,v(5),(Olson)nLn[17]Ln=ln2-ln(2)2-2n22+ln1-Fn(7)2=2u+2v,=uv,FnLn,,un[18]E(un|n)=1+2fn1-Fn-n(8),funEn=1-un,,tuuav,tEav,tt,Eav,t=1-uav,t,,1,,()u(5)Wald(5)=0,Wald84(t)=/std(),Wald,(5),x2(5)u8%318,,90%,1(3),1:119962006Z/(%)K(%)ROA(%)199676411164109819978501056010831998103608160406619991360049490040200014840434680342001148104043303220022070034401021200318070383740232004125804433403020051403045360029200616180514180291:(1),(2)[19]U2003,,(3)ROA,(4)2004,,,,,,(1)120032007:2007:199630,,8137%[20]1997,,,80%,,,,2007162,157[21],,85,,2,2:2199620050123111213222333247002074002-013019013-006-011-001033452048015012014001001002001001002003105t519***015594***014-1866***3256***622***-651***-2333***-0971308***429***Loglikelihood4170LikelihoodRatioStat2825***:***1%=0,t,,3:319962005199619971998199920002001200220032004200506907106970698074074078080086082,10,:(1),,,(2),,,2007,4467;167%;09%[22],(629%)(274%)(94%)(3),,;,,;,,3,,lnW=0+1lnZ+(9),W,Z,19962005,44:Et-Z012607186119*C()-061838-343483***:****10%1%,,,,,,,,86:(1),:,,,,,,,,,,,,(2),,,,,,,,,2006,,,,,,,,,,,,,(,80%),,,,,,,,[1]Lindgren,C,GarciaGandMSaalBankSoundnessandMacroeconomicPolicyIMF,WorkingPaper,1996[2]Allen,FandDGaleComparingFinancialSystemsCambridge,MA:MITPress,2000[3]Allen,FandDGaleCompetitionandFinancialStability,JournalofMoney,CreditandBanking,2004,36(3):453-480[4]Hellman,FT,Murdock,CKandEJStiglitzLiberalization,MoralHazardinBankingandPrudentialRegulation:AreCapitalRequirementEnough?,AmericanEconomicReview,2000,90(1):147-165[5]Beck,T,Demirg-Kunt,AandRLevineBankConcentrationandFragility:ImpactandMechanicsBrownUniversityofDepartmentofEconomics,NationalBureauofEconomicResearch,WorkingPaper,Now11500,2005[6]Allen,FandDGaleFinancialContagion,JournalofPoliticalEconomy,2000,108(1):1-33[7]Elsinger,H,Lehar,AandMSummerRiskAssessmentforBankingSystemsOesterreichischeNationalBank,WorkingpaperNo79,200287[8]HLeibensteinAllocativeEfficiencyVSX-Efficiency,AmericanEconomicReview,1966,56(3):392-415[9]Frei,Harker,HunterInsidetheBlackBox:WhatMakesaBankEfficient?PerformanceofFinancialIn-stitutions-Efficiency,Innovation,RegulationCambridgeUniversityPress,2000[10]Berger,AandDHumphreyEfficiencyofFinancialInstitutions:InternationalSurveyandDirectionsforFutureResearch,EuropeanJournalofOperationalResearch,1997,98(4):175-212[11],:,,2007(7)[12]GortonGandAWintonBankinginTransitionEconomics:DoesEfficiencyRequireInstability?,Jour-nalofMoney,CreditandBanking,1998,30(3)[13]GDeNicoloSize,CharterValueandRiskinBanking:AnInternationalPerspectiveBoardofGovernorsoftheFederalReserveSystem(US),InternationalFinanceDiscussionPapers,No689,2000[14]Laeven,LandRLevineCorporateGovernance,Regulation,andBankRiskTakingWorldBankMime-o,2006[15]Aigner,D,KLovellandPSchmidtFormulationandEstimationofStochasticFrontierProductionMod-els,JournalofEconometrics,1997,6:21-37[16]Meeusen,WandVanDenBroeckEfficiencyEstimationfromCobb-DouglasProductionFunctionwithComposedError,InternationalEconomicsReview,1977,18(2):435-444[17]Olson,J,PSchmedtandWDonaldAMonteCarloStudyofEstimatorsofStochasticFrontierProduc-tionFunctions,JournalofEconometrics,1980,13:67-82[18]Jondrow,J,KLovell,IMaterovandPSchmidtOntheEstimationofTechnicalInefficiencyintheSto-chasticFrontierProductionFunctionModel,JournalofEconometrics,1982,19(2/3):233-238[19][22]2007,[20]:,1997,[21]2007162,,(SchoolofEconomics,RenminUniversityofChina,Beijing100872)Abstract:Thefinancialliberalizationprocedureshowsthatmanydevelopingcountriesreleasedvariousregulationsontheirbankingsystems,whichbroughtaboutthenationaleconomicgrowthandim-provedtheefficiencyofthebanking,yetmadethefinancialsystemmoreandmoreinstableThepaperstudiesthereformofChinesebankinginthelast10yearsTheempiricalresultssuggestthatthereisasignificantpositiverelationshipbetweenefficiencyandstabilityThisinformsthatreformsinChinasimultaneouslyimprovetheefficiencyandstabilityBasedonsummingupst