货币政策、风险承担与银行超效率——基于中国商业银行面板数据的实证研究  

Monetary policy,risk-taking of banks and super efficiency-An Empirical Study Based on Panel Data of Chinese Commercial Banks

作　　者：李金培[1] 吕德宏[1] 黄亦炫[2] 

机构地区：[1]西北农林科技大学经济管理学院,陕西杨凌712100 [2]对外经济贸易大学金融学院,北京100029

出　　处：《贵州财经大学学报》2014年第6期48-56,共9页Journal of Guizhou University of Finance and Economics

基　　金：教育部创新团队项目(IRT1176);西北农林科技大学人文社会科学项目(2012RWZX02)阶段性成果

摘　　要：基于2002—2012年中国11家主要上市商业银行的面板数据,利用SBM超效率模型和动态面板数据GMM模型,研究了货币政策对风险承担下中国商业银行超效率的影响问题。结果表明:样本银行的超效率水平逐年提高且差异不大,超效率水平呈现倒"U"型变化趋势;货币政策对风险承担下商业银行的超效率均呈现负向关系且影响显著;风险承担因素对银行超效率的测量十分重要,并且货币政策对风险承担下的银行超效率具有重要影响。因此,从促进经济增长和金融发展的角度而言,中央银行进行货币政策调整时,应在宏观层面审慎监管风险承担下中国商业银行的效率。Based on the panel data of 11 major listed commercial banks in China, using Super-SBM model and GMM dynamic panel data model, the paper studies the impact of monetary policy on Chinese commercial banks under the bank risk-taking. The super efficiency level of 11 banks increases year by year and the difference is small, the super efficiency level shows a trend of inverted u-shaped, the commercial banks＇ super efficiency value is underestimated without the bank risk-taking; there is a significantly negative relationship between monetary policy and super efficiency level of commercial banks under bank risk-taking. Risk factors are important for Chinese commercial banks＇ super efficiency measurement, and monetary policy has important influence on super efficiency of commercial banks under the bank risk-taking. We should improve the efficiency of Chinese commercial banks under the risk-taking from the perspective of macro-prudential regulation when the central bank adjusts the monetary policy.

关 键 词：货币政策 风险承担 商业银行 超效率 

分 类 号：F830[经济管理—金融学]