非信贷市场竞争与银行业稳定性研究
邹朋飞 (3)
A Study of the Non-Credit-Market Competition and the Stability of Banking Sector
ZOU Peng-fei (3)
银行业竞争与中国上市公司债务融资
刘 飞 (10)
The Competition in Banking Sector and the Debt Financing of Listed Companies in China
LIU Fei (10)
中国上市银行的系统性风险贡献测度及其影响因素——基于MES方法的实证分析
郭卫东 (16)
The Contribution Measurement of the Systemic Risks of Chinese Listed Banks and Its Factors——An Empirical Analysis Based on MES Method
GUO Wei-dong (16)
资本监管、中小企业信贷业务与信贷市场结构演进
王雅炯 (22)
Capital Regulation, SME Credit Business and the Evolution of Credit Market Structure
WANG Ya-jiong (22)
中国商业银行贷款定价影响因素及其效应
曹利莎 张天龙 张同建 马国建 (29)
The Factors to Affect the Loan Pricing of Chinese Commercial Banks and Their Effects
CAO Li-sha ZHANG Tian-long ZHANG Tong-jian MA Guo-jian (29)
中国上市银行绩效的决定因素
张 坤 (35)
The Performance Determinants of Chinese Listed Banks
ZHANG Kun (35)
多元化经营与商业银行绩效的门槛效应
黄泽勇 (42)
The Threshold Effects of the Diversifing Operation and Performance of Commercial Banks
HUANG Ze-yong (42)
中国银行业创新绩效与专利活动的动态关联
邱洪华 (50)
The Dynamic Relationship between the Innovation Performance and the Patent Activities of Chinese Banks
QIU Hong-hua (50)
个人信用评估组合模型的构建——基于决策树—神经网络的研究
杨胜刚 朱 琦 成 程 (57)
The Building of the Combined Model for Personal Credit Rating——A Study Based on the Decision Tree-Neural Network
YANG Sheng-gang ZHU Qi CHENG Cheng (57)
商业银行产品效能管理体系研究
江西省城市金融学会课题组 (62)
A Study of the Management System of the Product Efficiency of Commercial Banks
The Study Group of the Urban Finance Society of Jiangxi Province (62)
大型商业银行培育村镇银行的绩效考察——以中国建设银行为例
曲小刚 罗剑朝 (68)
A Survey of the Performance of Village Banks Cultivated by Large State-Owned Commercial Banks —— China Construction Bank as Case
QU Xiao-gang LUO Jian-chao (68)
中美商业银行金融衍生工具绩效比较
马孝先 郑 萍 公 伟 (73)
The Comparison of the Performance of Financial Derivatives of Sino-US Commercial Banks
MA Xiao-xian ZHENG Ping GONG Wei (73)
非信贷市场竞争与银行业稳定性研究
邹朋飞
［摘 要］ 本文在充分控制“大而不倒”监管效应、资产多样化效应的基础上，利用中国、美国、日本等9个国家2 523家银行1999~2007年的数据，实证检验了非信贷市场竞争对银行稳定性的影响。实证结果表明：随着银行市场势力的提高，银行的资本充足水平也跟着提高；随着竞争程度的提高银行整体稳定性降低；随着人均GDP的提高，银行的资本充足性提高，银行整体稳定性提高；随着银行总资产的增长，银行的资本充足水平降低，整体稳定性也降低。研究结果支持“竞争—脆弱假说”，即非信贷市场竞争程度的提高激发了银行的规模扩张冲动，降低了资本充足水平，降低了银行业的整体稳定性。
［关键词］ 非信贷市场竞争；银行业；稳定性；资本充足率
［Abstract］ Based on the full control of the regulatory effects of “too big to fail” and the effects of asset diversification, this paper uses the data of 2 523 banks in 9 countries, China, US, Japan and so on, to empirically examine the impacts of non-credit-market competition on the stability of the bank. The results show that: the capital adequacy of the bank improves as the market forces of the bank increase; the overall stability of the bank decreases as the competition becomes more intense; the capital adequacy and overall stability of the bank improve as the per capita GDP increases; the capital adequacy and overall stability of bank decrease as the total assets of the bank increase. The results support the“competition-vulnerability hypothesis”, which means the intercification of non-credit-market competition has stimulated the scale expansion of the bank and reduced the capital adequacy and overall stability of the bank
［Key words］ non-credit-market competition; banking sector; stability; capital adequacy ratio
银行业竞争与中国上市公司债务融资
刘 飞
［摘 要］ 本文通过不同地区不同产权性质上市公司银行贷款的差异检验了银行业竞争与企业外部融资之间的关系。研究表明，对于短期贷款，无论是国有企业还是非国有企业，与银行业竞争之间都是一种U型曲线的关系，短期贷款随着银行业竞争程度的提高而下降，下降速度逐渐变慢；对于长期贷款，非国有企业的贷款与银行业竞争之间是一种倒U型曲线的关系，长期贷款随着银行业竞争程度的提高而上升，上升速度逐渐变慢，国有企业的长期贷款受银行业竞争的影响则不显著。实证结论说明银行业竞争程度的提高可以改善非国有企业在长期贷款方面所遭受的信贷歧视。
［关键词］ 银行业竞争；上市公司；短期贷款；长期贷款；债务融资；信贷歧视
［Abstract］ This paper examines the relationship between the competition in banking sector and the external financing of enterprises by the difference in the loans of listed companies with various property nature in different regions. The results show that，as far as short-term loans are concerned and whether the enterprises are state-owned or not, there is a U-curve relationship between the loans and the competition in banking sector, which means the short-term loans are reduced with the increase in competition in banking sector, but the speed gradually slows down; as far as long-term loans are concerned, there is an inverted U-curve relationship between the loans of the non-state-owned enterprises and the competition in banking sector, which means the long-term loans are added with the increase in competition in banking sector and the speed gradually slows down, but the long-term loans of the state-owned enterprises are not significantly affected by the competition. The empirical results illustrate that the increase in competition in banking sector can reduce the credit discrimination suffered by non-state-owned enterprises in long-term loans.
［Key words］ competition in banking sector; listed company; short-term loan; long-term loan; debt financing; credit discrimination
中国上市银行的系统性风险贡献测度及其影响因素——基于MES方法的实证分析
郭卫东
［摘 要］ 本文测度在未发生危机和发生危机期间中国14家上市商业银行各自对整个金融系统风险的边际贡献程度，验证MES和SES之间的显著性关系，通过建立面板计量回归模型对银行系统性风险边际贡献度的影响因素进行实证分析。实证结果表明：银行自身的VaR与其对整个金融系统风险边际贡献度之间并无显著关系；银行自身的不良贷款率、杠杆率和总资产收益率是决定其对整个金融系统风险边际贡献度的重要因素；非危机时期对金融系统风险边际贡献较大的银行，在危机期间其单位资产对整个金融系统风险的边际贡献也较大。
［关键词］ 上市银行；系统性风险；边际贡献；不良贷款率；杠杆率；总资产收益率
［Abstract］ This paper measures the Chinese 14 listed commercial banks’ marginal contribution to the risks of the whole financial system during the crisis and non-crisis, verifies the significant relationship between MES and SES, and empirically analyses the factors to afftect the marginal contribution to the sytematic risks of banks with a panel-regression model. The results of the analysis show that the bank’s VaR has no significant relationship with the marginal contribution to the risks of the whole financial system, but the bank’s NPL ratio, leverage ratio and the return on the total assets are the important factors to affect the marginal contribution; if a bank has more marginal contribution during the non-crisis, so does the bank’s unit asset during the crisis.
［Key words］ listed bank; systematic risk; marginal contribution; NPL ratio; leverage ratio; return on total assets
资本监管、中小企业信贷业务与信贷市场结构演进
王雅炯
［摘 要］ 本文通过建立商业银行风险偏好模型和模仿者动态模型，将银行业视为有限理性的金融生态系统，开展进化博弈分析和实证检验。结果表明，当高风险资产的预期收益率高于低风险资产时，资本监管将降低商业银行风险偏好，考虑到大银行和中小银行风险期望和风险管控能力的差距以及中小企业融资满足率现状，最终可能形成大银行专注大企业贷款、中小银行专注中小企业贷款的市场结构。为了缓解中小企业融资难，要降低银行业门槛，合理引导私人资本进入银行体系，通过银行业的竞争提高中小企业融资满足率。
［关键词］ 资本监管；中小企业融资；中小银行；信贷业务；信贷市场
［Abstract］ This paper sets a risk-appetite model and a dynamic imitator model. In the paper, the banking sector is viewed as a limited rational financial ecosystem. The paper presents an analysis and an empirical test of the evolutionary game. The results show that, when the expected return on high-risk assets is higher than that of low-risk assets, the capital regulation will reduce the risk appetite of commercial banks, which may finally results in such a market structure in which large banks focus on large enterprises’ loans and small- and medium-sized banks focus on SMEs’ loans because of the difference in the risk appetite, the gap of control ability between big banks and small- and medium-sized banks and the status quo of SMEs’ financing needs to be met. In order to reduce the difficulties in SMEs’ financing, it’s necessary to lower banking threshold, reasonablly guide private capitals into banking system and promote the competition among banks to meet SMEs’ financing needs.
［Key words］ capital regulation; SME’s financing; small- and medium-sized bank; credit business; credit market
中国商业银行贷款定价影响因素及其效应
曹利莎 张天龙 张同建 马国建
［摘 要］ 本文基于调查数据，借助多元回归分析方法，对四大商业银行贷款定价影响因素的有效性进行实证分析。研究发现，客户信用评估要素和宏观政策识别要素在四大商业银行中得到了高度重视，也产生了显著的作用；利率管理人员培育和信息系统优化要素产生了一定的作用，但与西方银行还存在着一定的差距；信贷资金监管要素和贷款成本估算要素产生了微弱的作用，与预期相差甚大；客户市场定位和信贷数据整合在四大商业银行贷款定价中处于功能缺失状态，对贷款定价绩效的促进几乎没有发生作用。
［关键词］ 四大商业银行；贷款定价；利率市场化；客户市场定位；多元回归分析
［Abstract］ Based on the survey data and the multiple regression analysis, this paper empirically analyses the effects of the factors to affect the loan pricing of the big four commercial banks. It is found that great importance is attached to the factors to evaluate customer’s credit and the factors to judge macro-policy and the factors have significant effects; the factors of the personnel training of interest rate management and the optimization of information system have some effects, but lagging behind the western banks to a certain extent; the factors to supervise credit funds and the factors to estimate lending cost have a few effects, which are much less than the expected; the positioning of customer market and the integration of credit data are in a state of function-loss in the loan pricing of the big four commercial banks and they almost have no effect on the performance improvement of loan pricing.
［Key words］ big four commercial banks; loan pricing; liberalization of interest rate; positioning of customer market; multiple regression analysis
中国上市银行绩效的决定因素
张 坤
［摘 要］ 本文以竞争战略理论为基础，研究银行特征、银行业结构、金融结构和宏观环境四组变量对中国16家上市银行2005~2011年资产收益率的影响。研究结果表明：（1）提高资本金充足率、资产质量、管理水平和资产利用效率，提高生息资产比重，增加非利息收入，有助于提高银行的资产收益率；（2）提高银行业集中度有助于提高银行的资产收益率，但其影响不显著；（3）银行贷款占社会融资总量的比例越高，则银行的资产收益率越高，而非金融企业在股票市场融资占社会融资总量的比例与银行资产收益率显著负相关；（4）通货膨胀和GDP增长率对资产收益率的影响不显著。
［关键词］ 上市银行；银行绩效；银行特征；银行业结构；金融结构
［Abstract］ Based on the theory of competitive strategy, this paper researches the impacts of four groups of variables, the characteristics of bank, the structure of banking sector, financial structure and macro-environment, on the return on the assets of Chinese 16 listed banks during 2005~2011. The results show that: (1) the rises in the ratio of capital adequacy, asset quality, management level, the efficiency of asset utilization, the proportion of interest-earning assets and the non-interest income improve the return on the assets of banks; (2) the concentrated degree of the banking sector helps improve the return on the assets of banks, but the effects are not significant; (3) the higher the ratio of the bank lending to total social financing, the higher the return on the assets of the bank，but the ratio of the financing of non-financial enterprises to total social financing is correlated significantly and negatively with the return on the assets of the bank; (4)the inflation and the rate of GDP growth have no significant impact on the return on assets.
［Key words］ listed bank; performance of bank; characteristic of bank; structure of banking sector; financial structure
多元化经营与商业银行绩效的门槛效应
黄泽勇
［摘 要］ 本文利用2007~2011年间国内108家商业银行的经营数据，以面板门槛模型作为计量方法，分析不同规模下商业银行多元化与经营绩效的门槛效应。研究结果表明：多元化与经营绩效之间存在门槛效应，当资产超过1 200亿元（1 224.202 8亿元）时，多元化与银行绩效之间关系会产生结构性变化；多元化程度越高越不利于小型银行经营绩效的提升，但多元化却有助于提升大中型商业银行的经营绩效。因此，小型银行目前应继续维持以传统存贷业务为重心，而大中型银行应拓宽非利息业务推广渠道，积极开发新产品，减少产品的同质化竞争。
［关键词］ 商业银行；多元化经营；银行绩效；资产规模；门槛效应
［Abstract］ This paper uses the operational data of 108 domestic commercial banks during 2007~2011 and panel threshold model as a measurement method to analyse the threshold effects of the diversification and operational performance of commercial banks on different scale. The results show that there are threshold effects in the relationship between the diversification and the operational performance. If the assets of the bank are more than 120 billion yuan, the relationship will undergo a structural change. The higher the degree of diversification is, the less conducive it is to improving the operational performance of small banks. Nevertheless, the diversification can help improve the operational performance of large- and medium-sized commercial banks. Therefore, small banks should continue to focus on the traditional deposit and lending business and large- and medium-sized banks should broaden their channels to promote non-interest business.
［Key words］ commercial bank; diversifing operation; performance of bank; asset size; threshold effect
中国银行业创新绩效与专利活动的动态关联
邱洪华
［摘 要］ 本文通过VAR模型研究了中国银行业创新绩效和专利活动的动态关联，发现创新绩效对其专利活动具有积极的影响，而外资银行的大量涌入推动着创新绩效的提高；同时，通过格兰杰因果关系检验，发现中国银行业的创新绩效和专利活动两者之间互不为格兰杰成因。所以，中国银行业R&D成果的创新程度不高，专利保护意识不强；中国银行业的专利申请只有量的增加，而缺乏质的显著提高，并且市场应用性不够强。中国银行业应当制订符合自身经营需要的专利战略，提高专利保护意识，并对授权专利进行有效的管理。
［关键词］ 银行业；创新绩效；专利活动；动态关联；因果关联
［Abstract］ With the VAR model, this paper researches the dynamic relationship between the innovation performance and the patent activities of Chinese banks. It is found that the innovation performance positively affects the patent activities and the entry of foreign banks into China promote the improvement of innovation performance. The Granger causality test shows that the innovation performance and the patent activities of Chinese banks are not mutually Granger causes. Therefore, the outcomes of the R & D are not very innovative and the awareness of patent protection is not strong in Chinese banking sector. The patent application increases in amount but it is not improved significantly in quality and lacks application in market. Chinese banks should develop the patent strategy consistent with their own operational needs, strengthen the awareness of patent protection and effectively manage granted patents.
［Key words］ banking sector; innovation performance; patent activity; dynamic relationship; causal relationship
个人信用评估组合模型的构建——基于决策树—神经网络的研究
杨胜刚 朱 琦 成 程
［摘 要］ 本文以德国某商业银行的真实客户信用数据为样本，将决策树方法应用于个人信用指标的筛选过程中，并与BP神经网络模型相结合构建成一个两阶段组合模型。研究表明，基于决策树—神经网络构建的个人信用评估组合模型对于测试样本的分类预测精度高于单一BP神经网络模型的分类预测精度。组合模型对于测试样本的总正确率平均值为75.45%，高出单一BP神经网络模型的总正确率近3个百分点。基于信息熵增益率分类原理的最优决策树挑选指标方法能合理去除非重要属性指标的干扰，使真正有效的属性指标输入神经网络主模型，提高模型分类预测的精准度。
［关键词］ 个人信用评估；决策树；神经网络；组合模型
［Abstract］ The real customers’ credit data of a German commercial bank as samples, this paper applies decision-tree method in the selection process of personal credit indicators. The decision tree method is combined with the BP (Back Propagation) neural network model to form a two-phase composite model. The study of the paper shows that, for the test samples, the classification prediction of the combined model, used for personal credit rating and based on decision tree-neural network, is more accurate than that of the single BP neural network model and the average of total correct rates is 75.45%, nearly 3 percentage higher than the single BP neural network model. The indicator selection of optimal decision tree, based on the information-entropy-gain classification principle, can rationally eliminate the interference of unimportant attribute indicators, indroduce the truly effective attribute indicators to enter the main model of the neural network and improve the accuracy of the classification prediction of the model.
［Key words］ personal credit rating; decision tree; neural network; combined model
商业银行产品效能管理体系研究
江西省城市金融学会课题组
［摘 要］ 本文在借鉴国外商业银行先进产品管理经验的基础上，研究国内商业银行产品效能管理中的问题，研究发现，国内商业银行还存在以下问题：产品成本核算与考核管理不到位，营销推广的效能意识薄弱；产品管理的制度、工具不健全，跟踪评价难度大；产品创新的能力和动力不足，同质化竞争日益严重；产品设计与营销管理有漏洞，部分产品不同程度面临风险。文章提出了构建商业银行产品效能管理体系的策略，包括：大力培育产品行销管理理念；加快建立产品效能管理架构体系；加强产品创新管理；加快建设产品效能管理专业队伍；加强产品效能风险管理。
［关键词］ 银行产品；产品效能管理；客户满意度；竞争力；中国工商银行
［Abstract］ Referring to the advanced experience of the product management of foreign commercial banks, this paper researches the management of product efficiency of domestic commercial banks. It is found that there are following problems in domestic commercial banks: the cost accounting and evaluationn of products are not up to standards; the efficiency consciousness of marketing and promotion is weak; the system and tools of product management are not perfect, which results in great difficulties in tracking and evaluation; the ability and power to innovate products are short and the homogenized competition is increasingly serious; there are faults in product design and marketing management, therefore, parts of products face risks to a certain extent. The paper puts forward strategies to construct the management system of the product efficiency of commercial banks: cultivating the management ideas of product marketing; speeding up the establishment of management structure and system; strengthening the management of product innovation; speeding up the establishment of the professional management team; strengthening the risk management of product efficiency.
［Key words］ product of bank; management of product efficiency; customer’s satisfaction; competitiveness; ICBC
大型商业银行培育村镇银行的绩效考察——以中国建设银行为例
曲小刚 罗剑朝
［摘 要］ 本文对中国建设银行培育村镇银行的研究表明，其村镇银行的市场定位高端化，机构分布偏向东部地区，信贷业务增长较快，但存贷比偏高，培育村镇银行的速度加快，不良贷款保持为零，但盈利能力不强。本文总结出影响大型国有商业银行培育村镇银行绩效的因素包括：融资渠道狭窄，吸收存款困难；政策扶持力度不够，相关配套改革滞后；股权高度集中，经营管理水平不高。为改善大型国有商业银行培育村镇银行的绩效，应该拓宽村镇银行的融资渠道，加大政策扶持力度；提高经营管理水平，积极开展微型金融业务。
［关键词］ 大型国有商业银行；村镇银行；中国建设银行；融资渠道；微型金融业务
［Abstract］ This paper researches the village banks cultivated by China Construction Bank. The results show that the village banks are positioned at high-level market, their institutions are maily distributed in eastern region, credit business grows rapidly, the ratio of loan-to-deposit is high, the cultivation of village banks is accelerated, non-performing loans remains at zero, but their profitability is not strong. The paper summarizes the factors to affect the performance of the village banks cultivated by large state-owned commercial banks are the narrow financing channel, difficulties in absorbing deposits, inadequate policy support, lagging related-reforms, highly concentrated equity and the low level of management. To improve the performance of the village banks cultivated by large state-owned commercial banks, it’s necessary to broaden financing channels, intensify policy support, improve management and actively promote micro-finance business.
［Key words］ large state-owned commercial bank; village bank; China Construction Bank; financing channel; micro-finance business
中美商业银行金融衍生工具绩效比较
马孝先 郑 萍 公 伟
［摘 要］ 本文基于面板数据模型，实证研究了中美商业银行配置金融衍生工具的绩效差异。结果发现，美国商业银行配置金融衍生工具对其权益收益率有正向的显著影响，而对其股票价格波动率和财务困境程度的影响并不显著；中国商业银行配置金融衍生工具对其权益收益率和证券市场波动率均有正向的显著影响，并且对权益收益率的影响强度明显大于对市场波动率的影响强度，对财务困境程度的影响也不显著。中国银行业应更积极参与金融衍生市场，逐步加大金融衍生工具配置比重，改善非传统业务利润的构成。
［关键词］ 商业银行；金融衍生工具；财务困境；权益收益率；股票价格波动率
［Abstract］ Based on panel data model, this paper presents an empirical study of the difference in the performance of financial derivatives of Sino-US commercial banks. It is found that the financial derivatives of US commercial banks have positive and significant impacts on their returns on equity, but they’re not significant on the fluctuation of the stock price of the banks and the degree of financial difficulty; the financial derivatives of Chinese commercial banks have positive and significant impacts on their returns on equity and the fluctuation of the stock price of the banks, and the impacts on returns are significantly greater than those on the fluctuation, but also they are not significant on the degree of financial difficulty. Chinese banks should be more actively involved in financial derivative markets, gradually increase the proportion of financial derivatives and change the profits composition of non-traditional business.
［Key words］ commercial bank; financial derivative; financial difficulty; return on equity; fluctuation of stock price