不良贷款、资本充足率与商业银行效率  

Non-Performing Loans, Capital Adequacy Ratio and Efficiency of Commercial Banks

作　　者：谭政勋[1] 庹明轩 

机构地区：[1]暨南大学经济学院金融研究所与金融系

出　　处：《金融论坛》2016年第10期40-50,共11页Finance Forum

基　　金：广东省自然科学基金"中国银行业的稳定性;效率与货币政策"(2015A030313338);暨南大学远航计划项目"资产价格波动与货币政策问题研究"(15JNHY009);珠三角科技金融产业协同创新发展中心资助

摘　　要：本文利用同时考虑不良贷款和松弛变量的SBM模型测算中国商业银行的效率,并利用截尾回归方法分析资本充足率对效率的影响。结果表明:忽视不良贷款会显著高估银行效率;资本充足率与银行效率之间呈现倒U形关系。当资本充足率较低时,银行效率随着资本充足率的增加而提升;但当资本充足率增加到一定程度,反而不利于效率的提升。中国商业银行的经营效益严重依赖于外部环境,具有很强的顺周期性。In this paper, the SBM model including NPLs and slack variables is used to measure the efficiency of Chinese commercial banks, and the truncated regression analysis is used to analyze the impact of capital adequacy ratio on efficiency.The results of the paper show that, if the NPLs are ignored, the efficiency of banks will be significantly overestimated; there is an inverted U-shaped relationship between capital adequacy ratio and efficiency of banks. When the capital adequacy ratio is low, the efficiency of banks improves with the increase in capital adequacy ratio; but when the capital adequacy ratio increased to a certain extent, it is not conducive to the improvement in efficiency; the operational efficiency of Chinese commercial banks is heavily dependent on external environment, and shows an obviously-procyclical feature.

关 键 词：不良贷款 资本充足率 商业银行效率 SBM模型 

分 类 号：F832.33[经济管理—金融学] F832.4