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基于银行间交易对手风险叠加的项目风险评价

ISSN号：1000-5781
期刊名称：系统工程学报
时间：2015.8.15
页码：485-493
分类：F832.4[经济管理—金融学]
作者机构：[1]东北财经大学经济学院,辽宁大连116025, [2]东北财经大学会计学院,辽宁大连116025
相关基金：国家自然科学基金（71273044）;国家自然科学基金青年项目（71201018）;2014年辽宁省高等学校人文社会科学重点研究基地专项项目（ZJ2014051）;东北财经大学科研重点研究基地项目（2014029）;2013年度东北财经大学教学研究项目（YY13001）;2015年度辽宁省社会科学规划基金项目（L15BTJ001）
相关项目：基于违约风险金字塔原理的小企业贷款定价模型

关键词：银行贷款效率, 上市效应, 逐步回归, SFA模型, loans efficiency of commercial bank, effect of listed, stepwise regression, the SFAmodel

中文摘要：

通过把是否上市看作控制变量引入sFA模型，反映是否上市对银行贷款效率的影响，建立包含是否上市的银行贷款效率的SFA模型，评价是否上市对银行贷款效率的影响．通过逐步回归方法，逐步剔除SFA模型中对银行净利息收入影响最小的变量，即t检验不显著且t绝对值最小的变量，保留所有对被解释变量影响显著的解释变量，建立银行贷款效率的SFA模型，评价银行贷款效率．实证研究结果表明：一是当其他变量不变的情况下，利息支出，贷款余额，总资产，员工人数增加1％，银行净利息收入会分别增加0．407％，0．156％，0．234％和0．176％．二是银行是否上市对银行净利息收入存在显著影响．银行上市前技术进步对银行净利息收入的影响因子为-1．911；上市后技术进步对银行净利息收入的影响因子增加到-1．911＋0．156．三是上市银行的贷款效率高于非上市银行的贷款效率．上市公司和非上市公司的贷款效率差异随着时间在增加．三大国有银行上市后，其银行贷款效率大幅度提高．

英文摘要：

A dummy variable was defined to specify whether the banks were listed. As control variable, the dummy variable was introduced into the SFA model to evaluate the effect of the listed on the bank＇ s loans efficiency. In order to guarantee that the t test of remaining variable coefficient was significant, the stepwise regression method was applied to eliminate the variables t-test was not significant and the absolute value of ~ test was the minimum gradually. The empirical research showed several results. The first, net interest income of commercial banks increased by 0.407%, 0.156%, 0.234% and 0.176% as interest expense, loan balance, total assets, the number of employees increased by 1% respectively. The second, whether the banks listed had a significantly effect on the loans efficiency of banks. Effect of technology on the banks＇ net interest income was -1.911 if the bank unlisted. Effect of technology on the banks＇ net interest income increased 0.156 if the bank listed. The third, the loans of listed banks were more efficiency than the unlisted bank. The gap of loan efficiency between listed banks and unlisted banks was increasing over time. The loans efficiency of the three major state-owned banks increased significantly after the listed.

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