中國銀行業技術效率分析─隨機距離函數法之應用

Abstract

中國對於世界經濟的影響一直是一個不容忽視的議題，而中國銀行業對於中國的經濟發展更有著不可分割的關係。本文利用隨機距離函數法分析中國銀行業的技術效率，並利用麥氏生產力指數的拆解，分析純效率變動、技術變動和規模效果。隨機距離函數法的優點，除了不需要價格資料外，也解決了隨機邊界法對於單一產出的限制。除此之外，由於銀行對於投入項之控制能力較高，故本文使用投入導向的距離函數進行分析。研究所用之資料取自Bankscope，以2007年至2012年間中國商業銀行的資料為分析對象，藉此了解中國銀行業的效率表現與各項指標對於其效率的影響。 實證結果顯示，存貸比、權益比率、撥備覆蓋率越高，將會提升銀行經營效率，表示銀行之流動性風險與資本風險越低，效率會越高。而銀行上市對於經營效率存在顯著的正相關，資本規模為不顯著的正相關。同時發現，金融海嘯並未嚴重影響中國銀行業，2008年到2009年沒有出現效率值大幅度衰退的現象。而中國銀行業六年間整體平均效率為0.8854，表示仍有許多待努力的空間。中國目前最有效率的銀行為國有商業銀行，其次為外資銀行與股份制商業銀行，城市商業銀行之效率最差且波動最大，波動幅度最低的為外資銀行。 麥氏生產力指數分析發現，銀行業生產力變動主要受到純效率變動的影響。國有商業銀行、農村商業銀行和外資銀行的純效率變動是正的，股份制商業銀行與城市商業銀行之純效率變動是負的。技術變動方面，只有國有商銀行之技術效率進步，其餘四類銀行之技術效率皆在退步，但退步幅度減小，預期未來將逐漸進步。規模效果上，國有商業銀行、股份制商業銀行與外資銀行之規模效果為負且規模彈性小於1，已處於規模報酬遞減階段。城市商業銀行與農村商業銀行規模效果為正且規模彈性為大於1，表示繼續擴大規模對效率會有幫助。值得注意的是，外資銀行雖為中國規模最小之銀行，但由於中國銀監會對於土本銀行之保護政策，外資銀行發揮空間不夠大，故實證結果指出，外資銀行與規模最大的國有商業銀行、股份制商業銀行同處於規模報酬遞減階段，不適宜再繼續擴張規模。

The influence of china on the world economy has been a topic can’t be ignored. The Chinese Banks and the economic development of China have an inseparable relationship. The goal of this paper is to analyze the efficiency of Chinese banks using stochastic distance function approach and Malmquist Productivity Index. The stochastic distance function approach can estimation of a multiple inputs and outputs production technology without input and output prices data, and Malmquist Productivity Index can decompose the total factor productivity into efficiency change, technical change and scale effects. In addition, because the banks have the higher ability to control inputs, this article uses the input-oriented distance function. By using an unbalanced panel data of Chinese commercial banks over 2007-2012 from Bankscope, this research aims to understand the performance and efficiency of the Chinese banks and how the financial indicators impact its efficiency. The results show that the higher of total loans to total deposit ratio, the equity to total asset ratio, and loan loss reserve to impaired loan ratio will enhance the efficiency of Chinese banks, which means that the lower the liquidity risk and capital risk, the efficiency will be higher. The banks which go public have a significant positive correlation with efficiency, and the scale of the bank is not significantly correlated with efficiency. Also found that the financial crisis of 2007-08 did not seriously affect Chinese banks. The average efficiency of Chinese banks over 2007 to 2012 is 0.8854, which means that there are still have some space to improve. The most efficient banks of China is state- owned commercial banks, followed by foreign-owned banks and joint-stock commercial banks, and efficiency of city commercial banks is the worst and volatility. Malmquist productivity index analysis found that total factor productivity is mainly affected by changes in pure efficiency. The pure efficiency change of state-owned commercial banks, rural commercial banks and foreign-owned banks are positive, and joint-stock commercial banks and foreign-owned banks are negative. Only the technical efficiency of state-owned Commercial Bank is progress, the remaining four banks are setback, but the regress magnitude is reduce and expected to be gradually progress in the future. The scale effect of state-owned commercial banks, joint-stock commercial banks and foreign-owned banks is negative and the scale elasticity are less than 1, means these banks are already in the stage of decreasing returns to scale. The scale effect of city commercial banks and rural commercial banks are positive and the scale elasticity is greater than 1, which means that these banks are in the stage of increasing returns to scale. It is worth noting that, although foreign-owned bank are the smallest banks in China, but because of protection policy from China Banking Regulatory Commission, foreign-owned banks don’t have enough space to do what they want, so the empirical results indicate that foreign-owned banks are in the stage of decreasing returns to scale.