我国商业银行效率结构研究

©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(SFA)19902003X2,,GDP(M2)X2;CPIX2;,,X2,;,,,,;,,,,;:3,,:510632,:[e-mail],,:519070,(200503)(04SK2D03)X2,,X2,,BergerHumphrey(1994),5%;,X220%,X2,,;X2,,,,,;,,()1.011:©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(1957),(),,,,,(1),(DEA)(freedisposalhull2FDH),(stochasticfrontierapproach2SFA)(distributionfreeapproach2DFA)(thickfrontierapproach2TFA),,;,,,,,(BergerMester,1997),,;,,uv;,:ln(it)=f(wit,pit,zit)-uit+vit(1),w,p,z,u,();v,N(0,2),uitvitX2i,it=vit-uit,:X-EFFi=^i^max=exp[^f(wi,pi,z)]3exp(E(-^i|it))exp[^f(wi,pi,zi)]3exp(E((-^)max|it))=exp(E-(-^ui|it))exp(E((-^umax|it))(2)(DFA),(BergerMester,1997),DFAX,,X2:iDFEi,DFEmax,it=vit-uitE(vit)=0,DFEi=-^ui=E(-^uit)=E(it)=1TTt=1it,X2X-PEFFi=exp(DFEi-DFEmax),,,DFEi,,DFAuv19902003,,,,,,19901995,19962002,2003,,,(DFA),(SFA),,(SFA)11120077©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(SFA)uv,(BatteseandCoelli,1992),DFA,,SFAuv,,,(SFA)2.,;u(ML),MLOLS,OLS,;ML,,(LR)=0(BatteseandCoelli,1995),,2=2v+2u,=2uP2,,01,OLSML,0,,OLS;1,,,,(2)E((-^u)max|it=0,(2):X-EFFi=exp(E(-^u)it|it)),,uitX2,,ui:gamma;,uit=uiexp(-(t-T)),,0,;,uitN(mit,2u),mit=zit,zit,uit,,14,uit=uiexp(-(t-T));uit=uiexp(-(t-T)),ui0,:,016;uitN(mit,2u),01999,LR400,,uitN(mit,2u)()1.,,,,1;SFA,,X2X2X2,,X,,FuHefferan(2005),HardyPatti(2001),,X2,,,2002,211:©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.:,,;,,,,;,,(2005)HughesMesterMoon(2001),:,,;,,,,,,,;,,,,;,,,30%40%,,;,,,12.X2(1),(1):lnPTAA=0+3i=1ilni+3j=1iln(yjPA)+123i=13k=1iklnwilnwk+123i=13k=1ikln(yiPA)ln(ykPA)+3i=13j=1ijlnwiln(yjPA)-uit+vit(3):ik=ki,ik=ki:2i=1i=1,2i=1ik=0,3i=1ik=0,(3):lnPTAA3w3=0+2i=1iln(wiPw3)+3i=1jln(yjPA)+122i=12k=1ikln(wiPw3)ln(wkPw3)+123i=13k=1ikln(yiPA)ln(ykPA)+2i=13j=1ijln(wiPw3)ln(yjPA)-uit+vit(4):ik=ki,ik=ki,(4):lnPTAA3w3=0+2i=1iln(wiPw3)+3j=1jln(yjPA)+122i=1itln2(wiPw3)31120077,,©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(w1Pw3)ln(w2Pw3)+123i=1iiln2(lnyiPA)+12ln(y1/A)ln(y2/A)+13ln(y1/A)ln(y3/A)+23ln(y2/A)ln(y3/A)+2i=13j=1ijln(wiPw3)ln(yjPA)-uit+vit(5)(3),(4)(5)1,uitN(mit,2u)(mit),v,N(0,2),uitvit34,2521,13,,1PTAA(+)P2y1y2(+)P2,:+++-y3++w1P,:+++W2(-)PW3P,:-3.1419902003,:2003,1476177%75194%78184%;2003,14,,,19961997750316796813,20031614152;,1996199761315615,,,:,1998,(,2005),:=P,411::©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(),,19901992(),:,199320034.ec,y,ec,y1,,,;ec,y1,;ec,y=1,,,,ep,y,,ec,y1,ep,y0,;ec,y1,ep,y0,;ec,y=1,ep,y=0,,(3),,:ep,y=5(lnPTA)5(lny1)+5(lnPTA)5(lny2)+5(lnPTA)5(lny3)=3i=1i+3k=1k1lny1+3k=1k2lny2+3k=1k3lny3+3k=11kln(w1Pw3)+3k=12kln(w2Pw3)+3i=13k=1ik(6),,:(1);(2),,,;(3),SPSSK2W,,,,:,,(7)(7)0;0,;,eqscope=52PTA5y25y3=PTAy2y3352(lnPTA)5(lny2)5(lny3)=PTA23y2y3(7)1.X2(5)(5)X2234511200771999-3155,-3155-20,,-20,©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(01934),1993(01917),2002(01901);1999(0)1997(01010),1990(01011),,01154,10,99;4,,33,,;,01457,01658,,4,0157601160;,,01458,(2004),11%18%,19902003X21:,,GDP:,,,2.2,(1),,;(2):1998,1998;19982003,,19901994;(3)1990200314,,8,1%,8%:(1),,,,U;(2)1995,,(),(3),2003,10218%1113%3515%4915%,,,3,;K2W(),,,;,4,0(223=01687),,0,;,,(2004)611:,,19912003010470100000015;,4015,GDP;,110,©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(5)coefficientt2ratiocoefficientt2ratiocoefficientt2ratio06.8592.6711-1.524-3.45210.1030.3613.7773.97123.0273.9822-0.112-0.2620.2240.271130.4922.3123-0.0257-0.310.06720.06221.9521.560.9992303212.0284.71230.6872.11LR40031.663.74330.1164.471411-0.221-1.02110.8142.2714120.242.64120.4381.1817622-0.153-0.89130.1922.1231990200314X2199019911992199319941995199619971998199920002001200220030.8520.7590.8480.8460.5440.3640.8380.8800.7620.5240.3320.6960.9010.8720.2880.6470.4740.3530.8590.8510.8340.7950.8510.7950.8990.8500.5460.7830.7860.8460.4510.7610.5740.7940.7140.6100.1580.9170.6980.3090.5600.8370.8620.5470.7030.5890.8260.7870.7620.6180.9340.5720.8050.4440.8340.5170.8480.8380.7230.2990.2170.1850.6460.9530.7880.4630.6960.8650.8950.1210.0960.2400.4070.6620.3950.6070.8370.5540.4320.3580.5450.6830.4550.3630.7370.3620.4600.2740.7940.8460.3210.7620.8400.8060.5710.8500.7020.5340.6570.5450.2530.2090.2380.2650.2460.0320.0610.4140.4830.2060.2330.1830.2600.1020.0820.1680.2340.2840.4560.2900.7150.4160.7510.3040.0700.0780.0700.0530.0780.0470.1360.2040.1930.2100.0150.3000.2800.0600.0280.0320.0880.1830.2710.3010.4900.3890.1780.0680.0110.0640.0230.0530.0410.0980.0890.0180.0290.2380.3960.2960.2060.0190.4390.1110.0810.0810.0250.0790.0550.0100.0150.0000.0120.0550.1560.0944X20.7150.1950.27310.5370.2220.41280.7080.2160.30520.4820.2710.56290.6930.1460.21130.2470.1320.534100.6510.2140.32840.2380.2350.990110.6140.2490.40650.1920.1500.783120.5690.300