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| Risk and Efficiency for Chinese Commercial Banks:From the Perspective of Monetary Policy |
| TAN Zhengxun, LI Lifang
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| TAN Zhengxun LI Lifang Department of Finance / Research Institute of Finance, Jinan University |
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Abstract This paper estimates bank efficiency using a stochastic frontier model accommodating non-monotonicity and heteroscedasticity of inefficiency, and investigates the relationship between bank risk and efficiency from the perspective of monetary policy in a sample of Chinese commercial banks from 1994 to 2013. If bank output is measured by total loan without deducting non-performing loan, cost efficiency will be systematically overestimated while profit efficiency will be underestimated. If ignoring capital investment, both cost and profit efficiencies will be overestimated. Annual moves of cost efficiency and profit efficiency are similar and consistent with Chinese banking revolutions and business cycles. Chinese commercial banks have risk channels, and that continuous and pro-cyclical. Monetary policy not only affects bank risk and efficiency directly, but also indirectly influences bank efficiency through risk channels. The effect of bank risk on bank efficiency is non-monotonic and shows an invested U-shape, which results in the existence of the optimal risk with respect to bank efficiency improvement. Profit efficiency rises in response to the increase in bank risk and higher profit efficiency leads to greater risk.
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Received: 20 November 2015
Published: 13 April 2018
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