基于数据包络分析方法的上市银行盈利效率研究

银行是我国金融市场的主导力量。银行的一举一动对金融市场,乃至整体经济运行均有重要的影响。特别是在经济进入新常态,金融深化改革的新环境下,研究银行的效率,既是银行发展的内在需要,也是宏观经济的必然需求。本文基于银行所有者的角度,以资本金和不良贷款作为投入,利息收入和非利息收入作为产出,测算2015年16家上市银行的盈利效率,结果表明:上市银行盈利的纯技术效率普遍较高,规模效率受规模因素影响较显著;国有商业银行的规模效率低,导致其技术效率偏低。对于大型银行,规模已经成为影响盈利技术效率的重要因素之一。     

银行间债券市场的外部效率:基于商业银行的视角

以参与我国银行间债券市场的商业银行为研究对象,运用面板数据模型检验银行间债券市场的外部效率对于商业银行经营绩效的影响.实证结果表明:我国银行间债券市场的发展对于商业银行的盈利能力和流动性管理水平均有较强的外部正效率,而对于商业银行传统盈利模式和风险管理则具有负面影响.建议商业银行应利用银行间债券市场的外部正效率提高其资产负债管理水平,通过提升自身经营管理水平来降低银行间债券市场外部负效率对自身的影响;此外监管当局还应该降低小型金融机构进入银行间债券市场的门槛,以发挥该市场外部正效率对化解区域金融风险的作用.     

基于主成分-SFA的银行投入产出效率评价模型及实证

通过测算贷款、存款等投入要素对净利息收入的贡献,评价商业银行的投入产出效率,对银行的资本运营和监管机构的银行资本监管具有重要意义.原始投入变量过多和变量之间的高度相关都会对评价模型的估计和检验产生影响.创新和特色在于:一是通过提取互不相关的2个主成分,反映6个原始投入变量95%以上的信息.建立基于主成分的SFA模型,克服变量过多和变量高度相关对模型参数估计和检验的影响,解决原始投入变量高度相关导致的系数检验不显著和符号不正确问题.二是利用主成分回归,将主成分与投入变量的关系表达式代入基于主成分的SFA模型,进而确定投入变量的权重系数,建立银行的投入产出模型,反映6个投入变量对净利息收入的影响规律.实证研究结果表明:一是利用主成分建立的SFA模型系数检验显著,技术效率随时间增加.二是利息支出、贷款余额、总资产、存款总额、固定资产和员工人数产出弹性分别为0.287,0.272,0.254,0.086,0.072和0.053.因此影响银行净利息收入的主要因素为利息支出、贷款余额、总资产.存款总额、固定资产和员工人数对净利息收入的影响较小.三是18家商业银行的规模系数为1.025,银行的净利息收入表现出规模经济特征.     

Dynamic effects in inefficiency: Evidence from the Colombian banking sector

Firms face a continuous process of technological and environmental changes that requires them to make managerial decisions in a dynamic context. However, costs and constraints prevent firms from making instant adjustments towards optimal conditions and may cause inefficiency to persist in time. We propose a dynamic inefficiency specification that captures differences in the adjustment costs among firms and non-persistent effects of inefficiency heterogeneity. The model is fitted to a ten year sample of Colombian banks. The new specification improves model fit and have effects on efficiency estimations. Overall, Colombian banks present high inefficiency persistence but important differences between institutions are found. In particular, merged banks present low adjustment costs that allow them to recover rapidly efficiency losses derived from merging processes.     

The sources of productivity change in Spanish banking

In this paper we examine the pattern of productivity change in Spanish banking over the period 1986–1993. Two sectors dominate Spanish banking, commercial banks and the faster-growing savings banks. We begin by examining productivity change separately within each sector. However since the two sectors are gradually becoming more competitive, we continue by merging the two sectors, and by examining productivity change in the industry. The merging procedure follows a methodology originally proposed by Charnes, Cooper and Rhodes (1981), in which intra-sectoral managerial inefficiency is eliminated prior to merging. This procedure allows us to distinguish differences in managerial efficiency within each sector from differences in the institutional efficiency of the two sectors. It also enables us to decompose potential productivity change into institutional efficiency change, technical change, and the impact of scale economies. We find the commercial banks to have had a slightly lower rate of productivity growth, but a slightly higher rate of potential productivity growth. We attribute this phenomenon to differences in both managerial efficiency and institutional efficiency, to differences in the rate of technical progress, and to the adverse impact of diseconomies of scale in the commercial banking sector.     

Determinants of bank efficiency: The case of Brazil

This paper analyzes the efficiency of the Brazilian banking sector over the post-privatization period of 2000–2007. We employ a Bayesian stochastic frontier approach, which provides exact efficiency estimates and confidence intervals and thus, allows an accurate comparison across institutions and bank groups. The results suggest that large banks are the most cost and profit efficient, supporting the concentration process observed in recent years. Foreign banks have achieved a good performance through either the establishment of new affiliates and the acquisition of local banks. The remaining public banks have had improvements in cost efficiency, but are relatively profit inefficient. Finally, we observe a positive impact of capitalization on efficiency.     

Assessing performance factors in the UK banking sector: A multicriteria methodology

Further consolidation takes place not only among UK banks but also across borders, since some banks see size as a key factor in remaining competitive in international markets. Therefore, it is interesting to investigate the effectiveness and performance of UK banks. Based on their assets, banks are distinguished into small and large ones and a classification of UK banks in a multivariate environment for the period 1998–2002 takes place. The PAIRCLAS multicriteria methodology is employed to investigate the performance of UK small and large banks over multiple criteria, such as asset quality, capital adequacy, liquidity and efficiency/profitability. A comparison with discriminant analysis (DA) and logistic regression (LR) facilitates the investigation of the relative performance of PAIRCLAS against them. The results of the study determine the key factors that specify the classification of a bank as small or large and provide us with the responsible banking decision makers for future readjustments.     

Distribution of cost and profit efficiency: Evidence from Indian banking

This paper uses the nonparametric DEA methodology to estimate cost and profit efficiency of Indian banks during the post-reform period. The results show considerable variation in average levels of profit efficiency across various ownership categories of banks. In general, state owned banks are found to be more efficient than their private counter parts. Further, efficiency tends to be low among the small banks (assets up to Rs. 50 billion), indicating that at the existing scale of operations, these banks are operating far below the efficient frontier. We also examine the distribution of efficiency using nonparametric kernel density estimates. The analysis reveals a rightward-shift of the efficiency distribution over the years. A major part of this shift comes from the state owned banks. Based on the conditional distribution, the study finds strong evidence of ownership explaining the efficiency differential of banks. Additionally, bank size and product-mix are also found to be important, although to a lesser extent.     

Bank productivity and performance groups: A decomposition approach based upon the Luenberger productivity indicator

The purpose of this paper is twofold. First, in the framework of the strategic groups’ literature, it analyZes changes in productivity and efficiency of Spanish private and savings banks over an eight-year period (1998-2006). Second, by adapting the decomposition of the Malmquist productivity indices suggested by Färe et al. (1994), it proposes similar components decomposing the Luenberger productivity indicator. Initially, productivity is decomposed into technological and efficiency changes. Thereafter, this efficiency change is decomposed into pure efficiency, scale and congestion changes. Empirical results demonstrate that productivity improvements are partially due to technological innovation. Furthermore, it is shown how the competition between private and savings banks develops in terms of the analyzed productivity and efficiency components. While private banks enjoy better efficiency change, savings banks contribute more to technological progress. Consequently, the Luenberger components are used as cluster analysis inputs. Thus, economic interpretations of the resulting performance groups are made via key differences in productivity components. Finally, following the strategic groups’ literature, supplementary insights are gained by linking these performance groups with banking ratios.     

Prediction of commercial bank failure via multivariate statistical analysis of financial structures: The Turkish case

The objective of this paper is to propose a methodological framework for constructing the integrated early warning system (IEWS) that can be used as a decision support tool in bank examination and supervision process for detection of banks, which are experiencing serious problems. Sample and variable set of the study contains 40 privately owned Turkish commercial banks (21 banks failed during the period 1997–2003) and their financial ratios. Well known multivariate statistical technique (principal component analysis), was used to explore the basic financial characteristics of the banks, and discriminant, logit and probit models were estimated based on these characteristics to construct IEWS. Also, importance of early warning systems in bank examination was evaluated with respect to cost of failure. Results of the study show that, if IEWS was effectively employed in bank supervision, it can be possible to avoid from the bank restructuring costs at a significant amount of rate in the long run.     

国有商业银行企业不良贷款的主因子分析

论文首先在银行企业不良贷款成因的研究成果进行回顾梳理基础上,从探究现行发展环境下,影响企业不良贷款的主要原因的角度,通过对国有商业银行贷款部的中高层访谈问卷调查,运用探索性因子分析模型,对不良贷款主成因进行萃取和诠释,最后构建银行业不良贷款的成因层次构面,以支持国有商业银行授信决策之依据。     

Evolution of bank efficiency in Brazil: A DEA approach

This paper investigates cost, technical and allocative efficiencies for Brazilian banks in the recent period (2000–2007). We use Data Envelopment Analysis (DEA) to compute efficiency scores. Brazilian banks were found to have low levels of economic (cost) efficiency compared to banks in Europe and in the US. For the period with high macroeconomic volatility (2000–2002) the economic inefficiency in Brazilian banks can be attributed mainly to technical inefficiency rather than allocative inefficiency. State-owned banks are significantly more cost efficient than foreign, private domestic and private with foreign participation. There is no evidence of differences in economic efficiency due to type of activity and bank size. These results may provide some useful guidance for financial regulators and bank managers.     

基于信用风险修正的多阶段银行资产组合优化模型

从资产组合管理角度出发,用信用风险修正的方法对企业信用等级阈值进行修正,同时考虑商业银行持续经营的特点,将修正后的信用风险引入到多阶段的模型当中去,建立一个基于信用风险修正的多阶段银行资产组合优化模型.针对该模型的特点,给出了把Monte Carlo模拟的动态算法和改进粒子群的多阶段算法相结合求解方法.数值试验表明所建...     

Effects of heterogeneity on bank efficiency scores

Bank efficiency estimates often serve as a proxy of managerial skill since they quantify sub-optimal production choices. But such deviations can also be due to omitted systematic differences among banks. In this study, we examine the effects of heterogeneity on bank efficiency scores. We compare different specifications of a stochastic cost and alternative profit frontier model with a baseline specification. After conducting a specification test, we discuss heterogeneity effects on efficiency levels, ranks and the tails of the efficiency distribution. We find that heterogeneity controls influence both banks’ optimal costs and profits and their ability to be efficient. Differences in efficiency scores are important for more than only methodological reasons. First, different ways of accounting for heterogeneity result in estimates of foregone profits and additional costs that are significantly different from what we infer from our general specification. Second, banks are significantly re-ranked when their efficiency is estimated with a specification other than the preferred, general specification. Third, the general specification gives the most reliable estimates of the probability of distress, although differences to the other specifications are low.     

Sensitivity analysis of efficiency and Malmquist productivity indices: An application to Spanish savings banks

Hypothesis testing and statistical precision in the context of non-parametric efficiency and productivity measurement have been investigated since the early 1990s. Recent contributions focus on this matter through the use of resampling methods—i.e., bootstrapping techniques. However, empirical evidence is still practically non-existent. This gap is more noticeable in the case of banking efficiency studies, where the literature is immense. In this work, we explore productivity growth and productive efficiency for Spanish savings banks over the (initial) post-deregulation period 1992–1998 using Data Envelopment Analysis (DEA) and bootstrapping techniques. Results show that productivity growth has occurred, mainly due to improvement in production possibilities, and that mean efficiency has remained fairly constant over time. The bootstrap analysis yields further evidence, as for many firms productivity growth, or decline, is not statistically significant. With regard to efficiency measurement, the bootstrap reveals that the disparities in the original efficiency scores of some firms are lessened to a great extent.     

Unveiling endogeneity between competition and efficiency in Chinese banks: a two-stage network DEA and regression analysis

Although there is a growing number of research articles investigating the performance in the banking industry, research on Chinese banking efficiency is rather focused on discussing rankings to the detriment of unveiling its productive structure in light of banking competition. This issue is of utmost importance considering the relevant transformations in the Chinese economy over the last decades. This is a development of a two-stage network production process (production and intermediation approaches in banking, respectively) to evaluate the efficiency level of Chinese commercial banks. In the second stage regression analysis, an integrated Multi-Layer Perceptron/Hidden Markov model is used for the first time to unveil endogeneity among banking competition, contextual variables, and efficiency levels of the production and intermediation approaches in banking. The competitive condition in the Chinese banking industry is measured by Panar–Rosse H-statistic and Lerner index under the Ordinary Least Square regression. Findings reveal that productive efficiency appears to be positively impacted by competition and market power. Second, credit risk analysis in older local banks, which focus the province level, would possibly be the fact that jeopardizes the productive efficiency levels of the entire banking industry in China. Thirdly, it is found that a perfect banking competition structure at the province level and a reduced market power of local banks are drivers of a sound banking system. Finally, our findings suggest that concentration of credit in a few banks leads to an increase in bank productivity.

     

基于利率市场化的银行贷款竞争导向定价策略研究

本文着重对两个银行之间竞争导向定价策略博弈行为进行了分析，认为在利率管制条件下，银行难以运用利率杠杆在信贷市场进行有效竞争；利率市场化之后，监管者不再对利率进行约束，银行信贷竞争的广度和深度都会随之加大。因此价格竞争将是银行信贷市场竞争的常态。     

商业银行分支机构效率评价的参数与非参数方法比较研究

本文根据某商业银行反映效率的真实数据,分别采用因子分析、聚类和线性回归、DEA分析三种方法,计算了银行分支机构的效率,并对效率评价的参数与非参数方法进行了差异比较。进而,本文用历史数据对效率影响因素分析方法的有效性进行了实证检验。     

A new distance metric on strings computable in linear time

We describe a new metric for sequence comparison that emphasizes global similarity over sequential matching at the local level. It has the advantage over the Levenshtein metric that strings of lengths n and m can be compared in time proportional to n + m instead of nm. Various mathematical properties of the metric are established.     

考虑银行破产外部效应的存款保险定价模型

运用存款保险的期望损失定价方法和Shapley值法,建立了考虑银行违约/破产外部效应的存款保险定价模型。模型中度量的破产成本不仅考虑了银行破产清算过程中其自身资产价值的损失,还考虑了银行违约/破产的负外部效应——可能增加其他银行的破产损失,据此确定的存款保险保费反映了各银行对系统总破产成本的边际贡献。为验证模型效果,构造了三种情景进行模拟分析,结果表明:存款保险保费与银行系统对破产银行资产的收购能力负相关,且负相关程度随经济形势的恶化而加剧;保费与整个银行系统参保银行数目之间也呈负相关关系。