中国商业银行EVA绩效驱动因素研究

我国商业银行EVA绩效与其驱动因素之间存在显著的非线性依存关系.当银行总资产收益率低于门限值时,商业银行总资产收益率、不良贷款率以及资本充足率对商业银行EVA绩效具有显著的正向驱动作用,而存贷比与银行EVA绩效之间存在显著的负向关联.当银行总资产收益率高于门限值时,商业银行总资产收益率、不良贷款率以及资本充足率与商业银行EVA绩效之间存在显著的负向关联,但存贷比能够显著地提升银行EVA绩效.因此,商业银行在运营中应当不断根据自身状况进行调整,最终实现绩效的全面提升.     

基于EVA价值评估方法的我国上市商业银行价值最大化驱动因素研究

本文以我国上市商业银行作为研究对象,运用EVA价值评估方法,从多角度对影响商业银行价值最大化的驱动因素进行实证研究。实证结果表明,费用管理能力、资本实力、资产质量、客户资源以及境外战略投资者的引入,都是重要的价值驱动因素,其中不良贷款率、资本充足率、非利息收入占比等指标还会通过商誉的机制作用于银行价值。本文的研究为商业银行盈利模式转变、构建价值管理体系,尤其是实现其可持续发展提供了重要的参考价值。     

中国商业银行资本充足率影响因素实证研究

从影响资本充足率的因素入手,运用回归分析的方法,通过对国内资本充足率情况较好的已上市商业银行数据进行实证分析,结果表明上市银行的资产规模和成长性不会显著影响资本充足率水平,而盈利能力和不良贷款率则是影响上市银行资本充足率的重要因素。     

中国银行业资本结构决定的实证研究

基于资本资产比率和资本充足率,采用1998-2005年8家股份制商业银行的面板数据,从风险、盈利、规模、周期、成长性和上市与否六个方面对银行业资本结构决定进行的实证结果表明:资本资产比率与不良贷款率和资产收益率显著正相关,与银行规模显著负相关;资本充足率与资产收益率和上市与否显著正相关,与风险资产规模、银行规模和GDP增长率显著负相关;而资产增长率对资本资产比率和资本充足率都没有影响.     

中国上市商业银行高管薪酬与经营绩效相关性研究

以中国14家上市银行为研究对象,选取2009—2013年共五年的相关财务数据,考察中国商业银行高管薪酬与其经营绩效的相关关系,结果表明,样本银行的高管薪酬与净资产收益率和每股收益均存在显著的正相关关系,与资本充足率和不良贷款率分别存在正相关和负相关关系,与银行资产规模有显著的负相关关系。高管对银行盈利水平的贡献是决定其薪酬的重要影响因素,风险控制因素对高管薪酬的影响不大。     

什么素质的银行具有全球竞争力

什么是具有全球竞争力的银行?基本条件是应该拥有一万亿美元以上的资产规模、一千亿美元左右的资本实力和一百亿美元以上的盈利能力,资本充足率应该保持在10%以上,不良贷款率应该控制在1%左右.     

浅议商业银行风险管理与资产证券化

商业银行资产证券化，可提高银行资产的流动性，有效地改善资产负债结构，协调银行流动性和安全性之间的矛盾，分散贷款非系统性风险，有利于商业银行资本管理，改善资本充足率，降低不良贷款率。提出了若干具有创新意义的对策与建议。     

我国商业银行EVA价值创造及影响因素分析

商业银行在我国的金融体系中有着举足轻重的地位,科学合理地评价银行真实价值创造至关重要.本文依据EVA的基本模型,测算出我国12家商业银行2003～2009年的EVA价值,结果表明考虑了资本成本后,我国商业银行的价值创造不容乐观.本文从微观层面对我国商业银行EVA价值创造的影响因素进行了实证分析,结果显示银行资产管理、资本管理和非利息收入比率对EVA价值影响较为显著,而其它因素的影响效果不太明显.     

我国商业银行效率影响因素的实证研究

本文主要以我国16家上市商业银行为样本进行实证研究,先利用DEA方法测度出16家上市商业银行的综合效率,进而分析银行资产占比、不良贷款率、存贷款比率、中间业务收入占比,以及商业银行核心资本充足率对银行效率的影响,从而为提高我国商业银行效率提供参考.     

我国商业银行 X-效率研究

从我国商业银行效率角度出发分析了我国商业银行的规模效率、范围效率和X-效率,表明我国商业银行总体效率不高。以2005～2013年的数据为例,并运用数据包络分析方法（DEA）对我国商业银行的X-效率进行实证分析,考察了其间的差异。通过多元回归论述了影响我国商业银行X-效率的因素主要有银行产权结构、金融创新、资产配置、资产质量、资本充足率、人力资源配置。提出深化产权制度改革、提高人力资源管理水平、降低不良贷款率、促进技术创新的建议。     

Fire sales by euro area banks and funds: What is their asset price impact?

The assets under management of investment funds have soared in recent years, triggering a debate on their possible implications for financial stability. We contribute to this debate assessing the asset price impact of fire sales in a novel partial equilibrium model of euro area funds and banks calibrated over the period between 2008 and 2017. An initial shock to yields causes funds to sell assets to address investor redemptions, while both banks and funds sell assets to keep their leverage constant. These fire sales generate second-round price effects. We find that the potential losses due to the price impact of fire sales have decreased over time for the system. The contribution of funds to this impact is lower than that of banks. However, funds’ relative contribution has risen due to their increased assets under management and banks’ lower leverage and rebalancing towards loans. Should this trend continue, funds will become an increasingly important source of systemic risk.     

The impact of earnings management on the performance of ASEAN banks

Southeast Asian financial liberalization policies have enthused both performance evaluation (a pro) and earnings management (a con). Using a sample of ASEAN commercial banks for the period 2007–2014, this study decomposes their banking performance into managerial and profitability efficiencies. An efficiency analysis reveals that Singaporean banks obtained the highest overall and profitability efficiencies, while Bruneian banks had the lowest rates of banking performance. In the stage of managerial efficiency, the most inefficient banks are those of the Philippines, whereas the greatest level is related to Malaysian banks. A frontier projection analysis suggests that Singaporean banks and Malaysian banks are generally more efficient in managing their expenditures and long-term assets in generating income in the long run. With respect to the con, a regression analysis indicates that loan loss provisions are negatively related to banking performance. Overall, it is advisable that policy makers with oversight function should promote performance evaluation from a multidimensional perspective, and keep an eye on estimates of loan loss provisions at banks over years because increases/decreases in loan loss provisions mean decreases/increases in net income or return on assets.     

Performance of Thailand banks after the 1997 East Asian financial crisis

The performance of commercial banks and government-owned specialized banks in Thailand is estimated after the 1997 East Asian financial crisis. Commercial banks exhibit increasing returns to scale, whereas government-owned specialized banks exhibit decreasing returns to scale, implying further increases in bank size and market concentration in the commercial bank sector but not for government specialized banks. Cost inefficiency varies by bank and is a function of the ratio of nonperforming loans (NPLs) to total loans, equity to total assets and liquid assets to total assets, as well as the number of branches. On average, banks with fewer NPLs, that are well capitalized and with adequate liquidity are efficient. Thus, stricter rules to regulate credit risk management and ensure capital and liquidity adequacy would enhance efficiency in the banking sector. Although estimated input substitutability appears to be low, labour and loanable fund are substitutes. However, labour and physical capital as well as physical and loanable funds are complements in commercial banks. All the three inputs of labour, physical capital and loanable funds are substitutes for the government specialized banks.     

准备金制度框架的创新思考

基于资产的准备金制度是针对金融机构的各类资产而制订,要求金融机构根据资产类别与规模计提不付息准备金。与传统的货币政策工具相比,ABRR在宏观调控上具有提高货币调控效率、拓展结构调整功能、强化宏观审慎监管、便利资产价格调节的优势,对各国央行特别是我国的货币调控具有重要的参考价值。本文对该制度的内涵特征、作用机理、优势与局限性等问题进行了研究,在我国经济金融环境尚不成熟的条件下,可参照ABRR思想尝试对商业银行的信贷资产实施法定准备金制度。     

中国银行运营效率及其影响因素的实证分析

本文将资产收益率作为衡量指标和被解释变量,资源配置能力(贷存比)、资产费用率、资产利用率、人员增长率等作为解释变量.将贷存比、资产费用率、人员增长率等多项统计指标作为解释变量,选取了我国12家银行机构的时序与截面混合数据,利用Panel Data计量方法,对商业银行运营效率及响因素进行了实证分析.     

论国有商业银行不良资产证券化技术的运用和推广

不良资产证券化是一种已经被国际经验证明的大规模处置不良资产的技术和手段。商业银行通过实施资产证券化能够将其不良资产以"真实出售"的方式转移到资产负债表外,使其风险加权资产减少,从而在不增加资本的情况下提高资本充足率。在中国,实施不良资产证券化还有助于国有商业银行提高自身的综合经营能力和积累市场化资本运作经验。本文正是从这一角度对不良资产证券化的技术要领进行了深入的探讨,力图从证券化产品的角度分析影响不良资产证券化的主要因素以及如何在不同市场条件下,运用和推广不良资产证券化的核心技术即不良资产证券化交易结构的选择和设计。     

Corporate Governance and Economic Value Alignment

As a result of recent problems with corporate reporting and management, renewed interest in Corporate Governance has arisen. We analyze economic value alignment as a form of Corporate Governance, a concept similar to but more encompassing than economic value added and value-based management. We look at some specific ways that various companies and industries have applied economic value added analysis. The results show that the companies that use economic value alignment increase their value significantly over those that do not. The results show that discriminating investors and management should demand that their associated companies use EVA to improve overall financial reporting and to better manage assets. In turn, the SEC and Accounting Standard Setting Bodies should consider the long-term benefits of requiring certain sized companies to report relevant EVA data to key stakeholders.     

解决东北不良贷款的“迫切之举”与“长久之治”

在复兴东北的宏伟战略中,不良贷款的存在使得国有企业债务负担沉重,国有商业银行举步维艰。文章从东北三省的实际情况出发,从商业银行、国有资产管理公司、其他解决渠道三方面提出了解决不良贷款的“迫切之举”,并从体制入手阐述了真正解决这一问题的“长久之治”,即国有商业银行的股份制改造、国有企业的深入改革和政府机构的职能转变。     

Management Behaviour in Vietnamese Commercial Banks

This study identifies managerial behaviour in Vietnamese banks between the years 2000 and 2014, based on the managerial framework of banks, as identified by Rossi et al. ( 2009 ). This framework is built on the interrelationships between efficiency, risk, capital and diversification. This study uses the Z‐score to measure insolvency risk, the SFA to estimate cost efficiency, the ratio of total equity to total assets to capture bank capital and the HHI index to measure the diversification of revenue and earning assets. The results from the 3SLS estimator indicate that revenue diversification has an insignificant impact on insolvency risk, capital ratio and cost efficiency, but earning assets diversification has a negative effect on these three variables, supporting ‘classical diversification’, ‘economic capital’ and ‘monitoring’ behaviours. Moreover, a decline in cost efficiency leads to a rise in insolvency risk, implying ‘bad management’ behaviour; an increase in risk results in a reduction in cost efficiency, indicating ‘bad luck’ behaviour; and a reduction in capital ratio in the poorly capitalised banks leads to a growth in risk, suggesting ‘moral hazard’ behaviour. The results remain strongly robust when using an alternative risk measurement (the loan loss provision ratio) and an alternative SFA model.