| 系统性风险约束下的商业银行成本、利润效率比较研究 |
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| 引用本文： | 刘孟飞,王军.系统性风险约束下的商业银行成本、利润效率比较研究[J].中国管理科学,2015,23(12):27-34. |
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| 作者姓名： | 刘孟飞 王军 |
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| 作者单位： | 1. 西安交通大学经济与金融学院, 陕西 西安 710061;
2. 中国人民银行广州分行, 广东 广州 510120 |
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| 基金项目： | 国家社会科学基金资助项目(15BJL024);中国博士后科学基金资助项目(2014M562382,2015T81009) |
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| 摘 要： | 本文基于16家中国上市银行2006~2012年的非平衡面板数据,运用随机边界分析方法,对系统性风险约束下的银行成本、利润效率及其无效率效应进行了比较研究。结果发现:中国银行业的风险主要来源于系统性风险;不考虑风险因素将导致效率值的明显低估;在成本、利润效率模型中,系统性风险越高,其所造成的无效率效应越大。加强风险管理,防止系统性风险的爆发,有利于商业银行效率的提高。
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| 关 键 词： | 系统性风险 商业银行 成本效率 利润效率 比较研究 |
| 收稿时间： | 2013-10-23 |
| 修稿时间： | 2014-09-18 |
Comparative Research on the Cost and Profit efficiency of Commercial Banks under Systemic Risk Constraints |
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| LIU Meng-fei,WANG Jun.Comparative Research on the Cost and Profit efficiency of Commercial Banks under Systemic Risk Constraints[J].Chinese Journal of Management Science,2015,23(12):27-34. |
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| Authors: | LIU Meng-fei WANG Jun |
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| Institution: | 1. School of Finance and Economics, Xi'an Jiaotong University, Xi'an 710061, China;
2. Guangzhou Branch, the People's Bank of China, Guangzhou 510120, China |
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| Abstract: | In this paper, the unbalanced panel data of 16 listed banks in China from 2006 to 2012 was used. Firstly, systemic risk and non-systemic risk were decomposed through the risk estimate of the three-factor model. Then by constructing a stochastic frontier cost function, the cost and profit efficiency of listed banks was estimated under systemic risk constraint, and the conclusion of risk and risk-free models was compared. It was found that ignoring risk factors will lead to efficiency values underestimated. In both cost and profit efficiency models the inefficiency effect of systemic risk is significantly positive, which means that higher risk causes more inefficiency effects. To strengthen risk management and prevent large fluctuations of systemic risk is conducive to improvement of commercial banks' efficiency. |
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| Keywords: | systemic risk commercial banks cost efficiency profit efficiency comparative research |
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