经过风险调整的商业银行利润效率评价研究——基于随机利润边界方法

A Research On Risk-adjust Profit Efficiency of Commercial Banks Based on Stochastic Profit Efficiency Frontier Approach

本文从以下两方面对现有商业银行效率评价研究予以改进:(1)采用超越对数利润函数而非成本函数模型,突破商业银行成本规模对成本函数的约束,并更好体现商业银行追求利润最大化或股东回报最大化目标(2)将风险因素作为影响商业银行利润效率重要变量纳入超越对数利润函数,反映商业银行所面临的风险对其利润效率的影响。本文结论:商业银行经营风险对边际利润具有显著负影响;从经过风险调整的利润效率比较看,国有银行呈现出上升——下降——再上升的变动轨迹,而股份制商业银行平均利润效率则呈现明显波动下降的特征,国有商业银行利润效率整体上优于股份制商业银行。

This paper gives improved methods in the research on efficiency evaluation of commercial banks： （1） Uses Stochastic Profit Efficiency Frontier function other than cost function, so as to effectively avoid the restriction of cost scale of banks on cost function and to accord with the aim of profit - gaining of commercial banks. （2）This paper brings a risk variable into a translog profit function to show how risk affects on the profit efficiencies of commercial banks. The conclusions draw from the paper are that the risk of commercial banks have prominent affect on their marginal profit, and the risk - adjusted profit efficiency in state - owned banks experienced a up - down - up development but a obvious fluctuant decline in joint - equity banks, the riskadjusted profit efficiency is better in state - owned banks than in joint - equity banks.