中国商业银行的风险承担与效率——货币政策视角

Risk and Efficiency for Chinese Commercial Banks:From the Perspective of Monetary Policy

本文利用无效率项非单调变化且存在异方差的随机前沿模型测算了我国商业银行1994-2013年的效率,并从货币政策的角度,分析了我国银行风险承担与效率的关系。如果把没有扣除不良贷款的总贷款作为产出,会系统性高估成本效率、低估利润效率;如果不考虑资本投入,成本效率和利润效率均会被高估;年均成本效率和利润效率的走势基本一致,且与我国银行制度改革、宏观经济周期波动较为吻合。我国不仅存在银行风险承担渠道,而且具有连续性和顺周期性;货币政策不仅直接影响银行风险承担与效率,而且通过风险承担渠道间接影响效率。我国银行风险承担对效率的影响并非单调,而是存在倒u型关系,从提升银行效率的角度来看,存在最优的风险承担。风险承担的增加有利于利润效率的提升,同时利润效率的提升反过来促使银行承担更多的风险。

This paper estimates bank efficiency using a stochastic frontier model accommodating non- monotonicity and heteroscedasticity of inefficiency, and investigates the relationship between bank risk and efficiency from the perspective of monetary policy in a sample of Chinese commercial banks from 1994 to 2013. If bank output is measured by totat loan without deducting non-performing loan, cost efficiency will be systematically overestimated while profit efficiency will be underestimated. If ignoring capital investment, both cost and profit efficiencies will be overestimated. Annual moves of cost efficiency and profit efficiency are similar and consistent with Chinese banking revolutions and business cycles. Chinese commercial banks have risk channels, and that continuous and pro-cyclical. Monetary policy not only affects bank risk and efficiency directly, but also indirectly fidluences bank efficiency through risk channels. The effect of bank risk on bank efficiency is non-monotonic and shows an invested U-shape, which resuhs in the existence of the optimal risk with respect to bank efficiency improvement. Profit efficiency rises in response to the increase in bank risk and higher profit efficiency leads to greater risk.