我国银行业经营绩效评价及其影响因素研究

重庆大学硕士学位论文我国银行业经营绩效评价及其影响因素研究姓名：胡东申请学位级别：硕士专业：金融学指导教师：蒲勇健2010-05I2003Fried,Lovell,SchmidtandYaisawarng2002DEA200813SFADEATobitDEATobitIIABSTRACTSince2003,China'sdeepeningofjoint-stockreformofstate-ownedbanks,WhetherChina'sbankingindustryassets,assetquality,profitability,orabilitytowithstandrisks,areinthebestperiodinhistory.However,withthelarge-scaleentryofforeignbanks,moreintensemarketcompetition,andthebankdepositandlendingspreadsshrinkingeachyear,China'sbankingindustryfacescompetitivepressureisalsogrowing.Forthebanks,strengthenthecompetitiveedgeistheway,becausethecompetitivenessisthekeytobankingindustry'ssurvivalanddevelopment.Therefore,thispaperselectsthebank'soperatingperformanceasresearchobjects.ByanalyzingtheoperatingperformanceofChina'sbankingindustry,wecananalyzethestatusquoofChina'sbankingsectorandevaluatethelevelsofefficiencyofChina'sbankingindustryafterexperiencingpost-reform.Andthroughtheanalysisoffactorsaffectingbusinessperformance,wecanillustratethewaytoimprovetheChina'sbankingindustry.Thispaperreviewsavarietyofbankingefficiencyevaluationmethodsatfirst,andcombinedwithChina'sspecificconditions,selectsthethree-stageDEAmodelproposedbyFried,Lovell,SchmidtandYaisawarng(2002)forempiricalstudiesoftheoperatingperformanceofChina'sbankingindustry.WeselectChina's13state-ownedandjoint-stockbanksin2008asaresearchsample,andselectthepropertyrightsstructure,lengthandbranchnumberastheenvironmentvariables.ThroughtheadjustmentofSFAmodelinthesecondphase,thenwere-usetheDEAmodeltocalculatethetruevalueofthesamplebanks.Comparingtheefficiencyofvaluebeforeandafteradjustment,wecangetthefollowingconclusions:sampleBankoveralltechnicalareInvalid,puretechnicalefficiencyofmostsamplesarestableandclosetoeffective;afteradjustment,state-ownedbankshaveasubstantialincreaseinscaleefficiencyandgenerallyhigherthanthejoint-stockbanks.Butitspuretechnicalefficiencyislowerthanthejoint-stockbanks,resultingintheoveralltechnicalefficiencyofstate-ownedbankslessthanthejoint-stockbanks.Thispaperselectsthevalueofefficiencyasthedependentvariable,andselectthecapitaladequacyratio,non-performingloanrate,deposit-loanratio,intermediarybusinessratio,returnonassets,humanresourcesratioandforeigncapitalsharesofholdingsasinfluencingfactors,makeuseoftheTobitmodeltoanalyzetheaffectingsizeofthefactors.ThestudyIIIfound:reducingnon-performingloanrate,raisingtheircapitaladequacyratio,deposit-loanratio,intermediarybusinessratio,returnonassets,humanresourcesratioandforeigncapitalsharesofholdingscanenhancetheefficiencyofbanks.Fromasignificantpointofview,thecapitaladequacyratio,thedeposit-loanratioofbanks,intermediarybusinessratioandforeigncapitalsharesofholdingsdidnotpasstheimpacttestofsignificance,indicatingthatimprovingthesefactorshasnosignificanteffectforefficiencyimprovement.Finally,thepapersummarizedtheresearchresults.Andbasedonempiricalstudiesconclusions,fromthepropertyrightsreformofstate-ownedbanks,creditfundmanagement,thedevelopmentofintermediarybusiness,personnelsystemforconstructionandintroducingtheabroadstrategyinvestorsweputforwardproposalstoenhanceoperatingperformanceofChina'sbanking.KeywordsBankingEfficiency,Three-stageDEAmodel,TobitRegression,EnvironmentVariables1111.19019899%11%2003“”20061211121.21.2.12050UAlhadeff1954/21019381950BellandMurphy1968238Benston,Hanweck,Humphrey1982Clark198810HunterTimme(1986)42125207080Cebenoyan(1990)Box-CoxBerger1993Optimalscopeefficiency2080X-X-Leibenstein,19662090X-Bergeretal.1993X-20%13Young(1998)101.2.290102008DEA1319982005XDEAXX92008DEA200120062006DEA9451997-20012006DEA142000200414;;1420052005DEA151993-2002PanelData“”“”:“”::;2005DEA1966-200320051220012002;;:2004DEA“”20002001142004DEA1994-2001TobitROA200411%-18%152003DEAMalmquist10:1.3DEA1.4DEATobitDEATobit162722.1Daft1982“OrganizationTheoryandDesign”efficiencyeffectivenessDaft2.2EconometricApproachParametricDataEnvelopAnalysisDEA2.2.1ShermanandGold1985ROAROE282.2.22.2.3DEA2.3DEA0110DEADEAFriedandLovell1996DEAFriedetal.1999DEAFriedetal.2002DEA2.3.1DEABankerandMorey1986a,1986bDEABankerandMorey1986a,1986bnon-discretionaryenvironmentalvariablesquasi-inputs29categoricalenvironmentalvariablescomparisonset=1Friedetal,2002;Pastor,20022.3.2DEATimmer1971DEAOLSTobitnon-linearlogisticregressionFriedetal.,1999;Pastor,2002DEAslackvariablesFriedetal.,1999OLS0,1]Pastor,2002Timmer1971Friedetal.1993radialnon-radialslackssurplusesMaCartyandYaisawarng1993Bhattacharyyaetal.1997Friedetal.,1999;Friedetal.,20022102.3.3FriedandLovell1996DEADEADEADMUSFA1DEADMUDEAPastor,2002Pastor2002FriedandLovell1996DEA19881994DEADEADEASFAslacksDEADEATobitnon-linearlogistic2.3.4Fried,Schmidt,andYaisawarng1999DEAFried,Schmidt,andYaisawarng1999DEADEADEA-DEAradialinputslacknon-radialinputslack-DEAradialoutputsurplusnon-radialoutputsurplusdependentvariablesindependentvariables211DMUOLSSURTobitDMUslacksurplusDEADEAFriedandLovell1996Fried,Schmidt,andYaisawarng1999DEAFriedetal.2002DEA2.3.5Fried,Lovell,SchmidtandYaisawarng2002DEAFried,Lovell,SchmidtandYaisawarng2002DEADMUslacksDMUDMUSFADMUDEA2008Friedetal.2002DEA