商业银行作为我国金融体系的核心，在国民经济中一直发挥着至关重要的作用，在利率市 场化不断深入的大背景之下，商业银行传统的存贷利差收入模式受到了一定冲击，伴随着我国 金融市场政策法规不断完善，资产投资渠道不断扩充，商业银行投资业务得以高速发展，投资 业务已经在商业银行盈利模式中占有举足轻重的地位。 随着近三年以来债券市场的不断“爆雷”以及监管机构要求商业银行“回归本源”的政策 导向，如何发展投资业务，提升投资效率，增加经营业绩也是各家商业银行亟待解决的问题。 以往国内外学者对于商业银行效率的研究往往更加侧重整体经营效率，而本文则侧重于商业银 行投资业务效率的研究。本文的研究对象为Z商业银行，该行在发展投资业务过程中遇到了一 定的困难，近年以来投资资产出现减值准备大幅计提，投资业务未能有效规避市场风险，投资 业务利润大幅度下滑，很大程度影响了该行的高质量发展。如何利用自身优势，发展投资业务， 提高投资效率，是该行亟待解决的问题，也是本文实际价值所在。 本文借鉴国内外学者对投资效率以及商业银行投资效率研究成果，对Z商业银行投资业务 体系架构、投资业务现状逐一进行分析，构建DEA-Malmquist模型对Z商业银行2014年至2017 年间的投资效率测算并进行静态和动态的分析；随后采用Tobit模型对商业银行投资效率影响 因素进行回归分析，结合Z商业银行各类投资资产逐一展开分析，找出Z商业银行投资效率较 低的原因，并提出相应的建议和措施。本文研究发现， Z商业银行投资效率波动性较大且投资 规模效率相对较低，投资利润与目标值相差较大，营业支出和负债规模存在冗余；同时通过回 归分析发现投资资产负债率、风险控制水平以及成本控制水平对商业银行投资效率影响显著； Z商业银行投资业务存在风险识别及已投资项目后续管理能力有所欠缺，债券类投资整体收益 率偏低等一系列问题。最后，本文从Z商业银行经营管理者层面给出相关建议，并且就如何提 高商业银行投资效率出针对性建议。 关键词：商业银行，投资业务，投资效率，DEA-Malmquist模型，Tobit模型 Z商业银行投资效率研究 II ABSTRACT As the core of China's financial system, commercial banks have always played a vital role in the national economy. Under the background of deepening interest rate marketization, the traditional deposit-loan spread income model of commercial banks has been affected. China's financial market policies and regulations continue to improve, asset investment channels continue to expand, The capital business of commercial Banks has been developing rapidly, and it has played an important role in the profit model of commercial Banks. With the continuous "explosion" of the bond market in the past three years and the policy guidance that the regulatory authorities require commercial banks to "return to the source", how to develop investment business, improve investment efficiency and increase operating performance of commercial banks is also an urgent problem to be solved. In the past, scholars at home and abroad often pay more attention to the overall operating efficiency of commercial banks, while this paper focuses on the investment business efficiency of commercial banks. The research object of this paper is Z Commercial Bank, which has encountered some difficulties in the development of investment business. In recent years, there has been a large amount of provision for impairment of investment assets, the investment business has failed to effectively avoid market risks, and the investment business profits have declined significantly, which has greatly affected the high-quality development of the bank. How to make use of its own advantages, develop investment business and improve investment efficiency is an urgent problem for the bank, and also the actual value of this paper. Based on the research results of domestic and foreign scholars on investment efficiency and investment efficiency of commercial banks, this paper analyzes Z Commercial Bank's investment business architecture and current situation one by one, constructs DEA Malmquist model to calculate Z Commercial Bank's investment efficiency from 2014 to 2017, and makes static and dynamic analysis; then uses Tobit model to analyze the influencing factors of commercial bank's investment efficiency through regression analysis and analysis of all kinds of investment assets of Z Commercial Bank one by one, the paper finds out the reasons for the low investment efficiency of Z Commercial Bank, and puts forward corresponding suggestions and measures. This study found that, The investment efficiency of Z Commercial Bank fluctuates greatly and the investment scale efficiency is relatively low, the investment profit differs greatly from the target value, and there is redundancy in operating expenditure and debt scale; At the same time, through regression analysis, it is found that 南京航空航天大学硕士学位论文 III the investment asset liability ratio, risk control level and cost control level have significant impact on the investment efficiency of commercial banks; Z Commercial Banks' investment business has a series of problems, such as lack of risk identification and subsequent management ability of invested projects, low overall yield of bond investment and so on. Finally, this paper gives relevant suggestions from the management level of Z Commercial Bank, and makes targeted suggestions on how to improve the investment efficiency of commercial bank. Keywords: Commercial banks, investment business, investment efficiency, DEA-Malmquist model, Tobit model 南京航空航天大学硕士学位论文 V 目 录 第一章 绪论 ............................................................................................................................................... 1 1.1研究背景 ....................................................................................................................................... 1 1.2研究意义 ....................................................................................................................................... 2 1.2.1理论意义 ............................................................................................................................ 2 1.2.2现实意义 ............................................................................................................................ 2 1.3国内外研究现状 ........................................................................................................................... 3 1.3.1投资效率的研究 ................................................................................................................ 3 1.3.2商业银行效率的研究 ........................................................................................................ 4 1.3.3商业银行投资效率的研究 ................................................................................................ 8 1.3.4文献述评 ............................................................................................................................ 9 1.4研究内容和研究方法 ................................................................................................................... 9 1.4.1研究内容 ............................................................................................................................ 9 1.4.2研究方法 .......................................................................................................................... 10 1.5可能的创新 ................................................................................................................................. 11 第二章 商业银行投资效率相关理论基础 ............................................................................................. 13 2.1商业银行投资效率相关概念的界定 ......................................................................................... 13 2.1.1投资效率 .......................................................................................................................... 13 2.1.2商业银行投资效率 .......................................................................................................... 13 2.2商业银行投资效率模型 ............................................................................................................. 14 2.2.1投资效率模型的选择 ............................................................