风险约束下的中国上市银行效率问题研究

Research on the Efficiency Problem of China's Listed Banks under Systemic Risk Constraints

本文采用2007年1月～2011年12月中国16家上市银行面板数据,首先,通过三因素风险估计模型对系统性风险和非系统性风险进行分解;然后,通过构建随机边界成本函数,将风险因素引入银行效率的测算模型,利用单阶段估计技术,对风险、治理结构、市场结构等影响因素进行分析,并对风险约束模型和无风险模型进行比较。研究发现,不考虑风险因素将导致无效率值的明显高估;在所有模型中,大型商业银行均显示出较强的成本优势。

This paper uses the panel data of 16 listed banks in China from Jan- uary 2007 to December 2011. Firstly, we decompose systemic risk and non-sys- temic risk through the risk estimate of the three-factor model. Then by construc- ting a stochastic frontier cost function, we introduce the risk factor into the bank efficiency estimation model. Finally, employing an one-step analysis approach, we analyze various influencing factors including risk, ownership, governance structure, market structure, and systematicly compare the conclusion of risk models and risk-free model. The results show that including risk factors lead to in- efficient values overestimated, in all strong cost advantage. models, the large commercial banks show a