我国银行业效率与外部环境因素关系.doc

我国银行业效率与外部环境因素关系基于dea两阶段法模型的实证分析the relationship between china banking efficiency and external environment factors: based on dea two-stage model empirical analysis内容摘要自1994年我国加快建立市场经济体制改革以来，我国银行业经营所面临的外部环境发生了很大的变化。这些外部环境因素主要分为三大方面：一是我国银行体系改革制度变迁如立法改革、股份制改革、信贷政策、金融开放等；二是技术进步如信息技术、网络技术等在银行业的运用；三是一些主要宏观经济运行变量如经济周期、管制利率下利差变化等。本文在银行业效率与外部环境因素理论分析的基础上，运用dea及财务指标模型对两者关系进行实证研究。具体操作上，本文选取1996-2004年9年14家主要商业银行数据，采取两阶段法(two-stage method)，即首先运用dea模型评估国内各主要商业银行的技术效率值，然后再运用面板数据ols、gmm等计量模型来检验银行效率值与反映银行效率的一些经营指标和反映外部环境因素变动的替代指标如财政赤字/gdp、扩大银行竞争、扩大对私人部门信贷、管制利率下净利差、网上银行等之间的相关关系。我们初步发现1996-2004年我国银行业效率呈现波动上升的过程，2004年全要素生产率较1996 年平均提高了约27.69%，其中外部环境因素与银行自身因素对全要素生产率贡献度比达到7：3，说明在我们所考察的样本期间，外部环境因素对银行业效率变化起着主导作用。另外，实证表明银行业效率与允许外资银行进入、加大银行业竞争、扩大财政赤字、利差扩大、技术进步呈显著正相关，而与扩大对私人部门信贷存在负向关系，当然这也有待于进一步检验。关键词： 银行业效率；外部环境；dea模型3abstractafter the market economic reform in 1994, the external environments of china commercial bank have been changed a lot, including three primary aspects: china banking institutional transition、banking technical progress、main macroeconomic variables.based on the theoretical analysis of banking efficiency and external environments, this paper uses the panel data of 14 commercial banks over the period 1996 to 2004, and takes two-stage method to examine the relationship between china banking efficiency and external environment factors. first, we use data envelopment analysis(dea) model to measure the 14 china banking efficiency, the second use the econometric model to examine the relationship between banking efficiency and various bank-specific characteristics such as roe and environmental factors such as fiscal deficits、bank competition and so on.we find that china banking efficiency was improved but fluctuant in 1996-2004, the total factor productivity (tfp) of banking in 2004 has been improved nearly 27.69% relative to those of 1994, where the contribution of external environment factors versus banking internal factors is 7 versus 3, we can find that most of the tfp growth contributed by external environment factors. we also find positive relationships between gdp growth rate、banking competition、foreign bank coming、fiscal deficits、net interest gap and banking efficiency, but negative relationships between private credit、asian finance crisis and banking efficiency