基于两阶段DEA方法的中国商业银行效率评价

doi:10.12005/orms.2019.0040

摘要/Abstract

摘要： 本文考虑商业银行吸收存款和发放贷款的两阶段特点,引入“顾客满意度”这一产出指标,应用两阶段DEA模型计算了我国15家商业银行在2008年和2011年的服务质量效率和盈利效率,结果显示我国商业银行的盈利效率显著高于服务质量效率。进而综合考虑服务和盈利指标,分析了各银行的综合效率,并通过计算各银行Malmquist指数研究我国商业银行2008年到2011年间的效率变化。结果表明:各商业银行从2008年到2011年的效率整体呈上升趋势,各商业银行的技术效率以及整个银行业的效率都有一定的提高。最后,应用Tobit模型分析了影响银行效率的因素,结果显示银行的贷存比、资产利润率和不良贷款率对效率影响显著。

关键词: 银行效率评价, 数据包络分析, Malmquist指数, Tobit分析

Abstract: In this paper, a two-stage DEA model is applied to investigate the profit and service efficiency of 15 Chinese commercial banks from 2008 to 2011, where the commercial banks' two-stage characteristic, namely absorbing deposits and issuing loans are considered simultaneously. In addition, customer satisfaction is also introduced as one of the outputs. The results indicate that profit efficiency is higher than service efficiency significantly. Furthermore, the overall efficiency is evaluated by incorporating profit and customer satisfaction as outputs simultaneously, and the Malmquist index is calculated to analyze efficiency change from 2008 to 2011. It shows that the overall efficiency and technical efficiency of Chinese banks both increased from 2008 to 2011. At last, some factors affecting the efficiency are examined using Tobit regression. It indicates that loan-to-deposit, return on assets and non-performing loans rate have significant influence on the bank efficiency.

Key words: bank efficiency, data envelopment analysis, malmquist index, tobit analysis

中图分类号:

F832

段永瑞, 景一方, 李贵萍. 基于两阶段DEA方法的中国商业银行效率评价[J]. 运筹与管理, 2019, 28(2): 118-125.

DUAN Yong-rui, JING Yi-fang, LI Gui-ping. Chinese Commercial Bank Efficiency Evaluation Based on Two-stage DEA[J]. Operations Research and Management Science, 2019, 28(2): 118-125.

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