| 刘孟飞,张晓岚.风险约束下的中国上市银行效率问题研究[J].数量经济技术经济研究,2013,30(2):33-48 | | 风险约束下的中国上市银行效率问题研究 | | Research on the Efficiency Problem of China’s Listed Banks under Systemic Risk Constraints | | | | DOI： | | 中文关键词: 风险约束 系统性风险 非系统性风险 银行效率 | | 英文关键词: Risk Constraints Systemic Risk Non-systemic Risk Bank Efficiency | | 基金项目: | | | 中文摘要: | | 本文采用2007年1月至2011年12月中国16家上市银行面板数据，首先，通过三因素风险估计模型对系统性风险和非系统性风险进行分解；然后，通过构建随机边界成本函数，将风险因素引入银行效率的测算模型，利用单阶段估计技术，对风险、治理结构、市场结构等各方面影响因素进行了分析，并对风险约束模型和无风险模型进行比较。研究发现：不考虑风险因素将导致无效率值的明显高估；在所有模型中，大型商业银行均显示出了较强的成本优势。 | | 英文摘要: | | This paper used the panel data of 16 listed banks in China from January 2007 to 2011 December. Firstly, we decomposed systemic risk and non-systemic risk through the risk estimate of the three-factor model. Then by constructing a stochastic frontier cost function, we introduced the risk factor into the bank efficiency estimation model. Finally, employing an one-step analysis approach, we analyzed various influencing factors including risk, ownership, governance structure, market structure, and systematicly compare the conclusion of risk models and risk-free model. The study found that including risk factors will lead to inefficient values overestimated, in all models, the large commercial banks have shown a strong cost advantage. | | 查看全文 |
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