中国商业银行结构效率研究:基于复杂网络DEA模型  

Study on Structure Efficiency of Chinese Commercial banking:Basing on Complex Network DEA model

作　　者：韩松[1] 苏熊 

机构地区：[1]中国人民大学经济学院运筹学与数量经济研究所,北京100872 [2]北京大学国家发展研究院,北京100871

出　　处：《中国管理科学》2016年第8期1-9,共9页Chinese Journal of Management Science

基　　金：国家自然科学基金资助项目(71271208)

摘　　要：本文从银行运营结构入手,建立符合银行结构特征的复杂网络DEA模型,评价银行整体结构效率。该模型刻画了商业银行的营业费用和固定资产投入被同时用于负债业务、表外业务和资产业务这一特征,更加贴近现实。根据对于投入可处置性的不同假定,我们给出处理复杂网络DEA模型的两种方法。前者假定决策单元(DMU)是类似的,存在相同的最优投入比例,为线性模型;后者假定决策单元具有独立性,可根据自身需要对投入进行自由划分,为非线性模型。最后我们将这两个模型与基准网络DEA模型WYP(2011)一起用于中国商业银行结构效率的经验分析。Traditional DEA applied in analysis of productivity are usually one-stage or basic two-stage models,and these over-simplified settings make numerical calculation and mathematical speculation easy to be solved.However,weakness of these models are also obvious that a complex structure of DMU can not be depicted.In this paper,DEA models with complex networks are developed,which depicts the operating structure of Chinese commercial banks,to evaluate the structural efficiency of these banks.By taking into consideration of not only a basic two-stage but a cross connection structure,knowledge of a DEA structure is deepened.The key feature depicted in this paper is that fixed assets and overheads of banks are not only used in liability business of commercial banks but also in OBS（off-balance-sheet）activities and assets operation.Along with the complication is the increasing difficulty of modeling and calculation.An improved mathematical programming problem is introduced to depict the complex network,then the model is simplified by deduction,and the problem is solved by numerical simulation.Under two types of assumptions on inputs disposability,one of which is that all of the decision making units have a same allocation ratio of inputs to two stages and the other is that the decision making units make the allocation choices respectively since they are separate entities,two DEA models with complex networks are developed.The first assumption makes a linear model,and the second makes a nonlinear one.Instead of 16 listed banks in A-share markets,data in 2008-2011 of 85Chinese commercial banks from Bankscope is used,banks in China are divided into four categories,which are state-owned bank,joint-stock banks,urban commercial banks and foreign banks.Then empirical analysis is conducted on structural efficiency of these banks.Based on the calculation,it is found out that in terms of structural efficiency,state-owned banks are most efficient among these four categories,and urban commercial banks are most inefficient.This resul

关 键 词：银行结构效率 复杂网络DEA模型 网络DEA有效 

分 类 号：F224[经济管理—国民经济]