摘要
本文采用异方差随机前沿模型和2003-2012年我国95家商业银行数据,研究了我国现行的主要审慎性监管指标对银行成本效率和利润效率的影响,并计算边际影响分析了它们与银行效率的非线性关系。研究表明:资本充足率、杠杆率对成本和利润效率均具有边际递减的促进作用;贷存比对成本效率的影响存在非单调性;流动性比率对成本效率具有边际递增的抑制作用;拨备覆盖率对成本和利润效率的作用均存在非单调性。总体而言,按我国现行标准实施的审慎性监管没有导致银行效率损失,但单纯依靠提高审慎性标准的监管方式不可持续。
Prudential regulation is banking regulatory＇s core philosophy. After financial crisis, both international regulatory criterion and national regulatory practice have further strengthened prudential regulatory standard. However, it remains unclear whether prudential regulation has hindered bank＇s efficiency, or whether there is an appropriate scale of prudential regulatory indicator to balance prudence and efficiency of bank＇s operation. This paper applies heteroscedastic stochastic frontier model and uses a sample of 95 China＇s commercial banks over 2003-2012 to investigate the impact of mainly prudential regulation indicators on bank＇s cost and profit efficiency. Additionally, we analyze the non-linear relationship between these regulation indicators and bank＇s efficiency by calculating marginal effect. Findings are as follow：1. The capital adequacy ratio and the leverage ratio have marginal diminishing accelerational effect on cost and profit efficiency. Higher capital adequacy helps improve bank＇s efficiency, but high capital adequacy may lead to bank＇s asset allocation distortion, which prevents further improving efficiency, or even causing loss of cost-effectiveness. 2. The loan-to-deposit ratio has non-monotonic effect on cost efficiency. The loan-to-deposit ratio below regulatory standard is conducive to cost-efficiency improvement, but excessive credit will result in loss of efficiency. The liquidity ratio has marginal increasing inhibitional effect on cost efficiency. 3. The loan-loss provision ratio does not have significant impact on bank＇s efficiency. The provision coverage has non-monotonic effect on cost and profit efficiency. Enhancing credit risk coverage can improve bank＇s efficiency, but extracting excessively loan loss provision will result in loss of efficiency. In general, current prudential regulation in China doesn＇t cause bank＇s efficiency loss. Although prudential regulation has microcosmic effect, it is not a means that can be used to enhance regulation indicators unlimitedly. The non-linear relationship between regulation indicator and bank＇s efficiency indicate that when prudential regulation leads to bank＇s cost of asset allocation exceeding the potential income of controlling risk, enhancing regulatory indicator not only decreases bank＇s efficiency, but also results in loss of efficiency from the perspective of regulatory author. Therefore, the regulatory approach that only relies on enhancing regulatory standard is not sustainable. They should design regulatory indicators dynamically or flexiblely in order to balance prudence and efficiency of bank＇s operation. To banks, they should control prudential indicators at an appropriate level under the premise of regulatory requirement, balance risk and income in order to allocate resource properly.
出处
《管理工程学报》
CSSCI
北大核心
2016年第2期84-92,共9页
Journal of Industrial Engineering and Engineering Management
基金
教育部人文社会科学研究规划基金资助项目(13YJA630018)
关键词
审慎性监管
银行效率
边际影响
prudential regulation
bank efficiency
marginal effects
