银行效率与不良贷款冲击效应的实证研究——基于SFA测度分析的应用  

Empirical Analysis on the Knock-on Effects of Nonperforming Loans to Chinese Commercial ——Banks’Efficiency Based on SFA Method

作　　者：徐辉[1] 李健[2] 钟惠波[2] 

机构地区：[1]北京理工大学管理与经济学院 [2]北京理工大学人文学院

出　　处：《金融评论》2012年第3期29-40,123-124,共12页Chinese Review of Financial Studies

基　　金：国家自然科学基金项目(70973010);教育部人文社科项目(10YJC790402);北京理工大学博士论文基金资助

摘　　要：本文以1999～2010年12年间国内14家商业银行样本数据为基础,立足于随机前沿效率分析原理,利用参数估计SFA分析法,评估分析金融改革以来银行业不良贷款与银行效率分布及演化趋势。研究表明:(1)是否引入不良贷款变量对银行成本效率测算存在显著影响。(2)在引入不良贷款的估计模型中,国有商业银行成本效率存改善趋势,否则,呈下降趋势,而股份制商业银行则无此特点;股份制银行成本效率整体高于国有商业银行。(3)未发现资产规模、权益与银行成本效率之间的显著性相关关系,但不良贷款对成本效率具有负效应。(4)在中国银行业利润效率测算中,则不适合引入不良贷款变量。This article applies Stochastic Frontier Analysis (SFA) to analyze relationship between cost efficiency and non-performing loans of state-owned banks and joint-stock banks in the process of China’s financial reform. Our dataset consists of 168 observations from 14 commercial banks during the period 1999-2010. The results suggest: first, introduction of non-performing loans variables makes differences to the cost-efficiency, but has no significant impact to profit-efficiency; second, state-owned banks’cost-efficiency is higher in model including non-performing loan variables while joint-stock commercial banks’cost-efficiency shows no difference; third, no significant relationship is found between cost-efficiency and assets scale, equity or profit-efficiency, but explicit negative relationship exists between cost-efficiency and non-performing loans.

关 键 词：不良贷款 银行效率 SFA 商业银行 

分 类 号：F224[经济管理—国民经济] F832.4F832.33