我国商业银行长期效率的动态分析

A Dynamic Analysis about Long-run Efficiency of China Commercial Banks

本文基于动态随机成本前沿模型,运用广义矩估计法估算国内主要商业银行的长短期成本效率及其效率调整速度,考察国内银行业长期效率的动态变化情况。研究结果显示,1995-2008年我国商业银行的成本效率调整速度平均为0.82,即每期只能改善前期无效率的82%。国有银行的短期成本效率略高于股份制商业银行,原因可能是国有银行前期大量不良贷款对其短期成本效率具有膨胀效应。股份制商业银行的长期成本效率高于国有银行,主要得益于其较快的效率调整速度。

The main purpose of this research is to make empirical analysis about the dynamic changes in the long-run efficiency of China＇ s banking sector. It applies Generalized Method of Moments （ GMM ） to estimate the cost efficiency of the major domestic commercial banks, and its change to speed of its adjustment. The results show that the speed of adjustment of cost efficiency of commercial banks is 0.82. Therefore, compared to state-owned commercial banks, the long-run cost efficiency of joint-stock commercial banks tend to be higher. The short-term cost efficiency of state-owned banks is slightly higher than joint-stock banks. The reason may be that there are a large number of bad loans in the state-owned commercial banks in early days, which led to an expansion effect in their cost efficiency, resulting in the short-term cost efficiency unrealistically high. The long-run cost efficiency of joint-stock commercial banks is higher than state-owned commercial banks, which is for that higher speed of its adjustment