B GIO DC V O TOB GIO DC V O TOB GIO DC V O TOB GIO DC V O TO

TrTrTrTrng i hc kinh t quc dnng i hc kinh t quc dnng i hc kinh t quc dnng i hc kinh t quc dn ---------------------

Nguyn Vit HngNguyn Vit HngNguyn Vit HngNguyn Vit Hng

Phn tch cc nhn t nh hng n hiu qu hot ng ca cc ngn hng

thng mi Vit Nam

Chuyn ngnh: Kinh t, Qun l & K hoch ha KTQD

M s : 5.02.05

Ngi hng dn khoa hc:

1. PGS. TS. Nguyn Khc Minh

2. TS. L Xun Ngha

H ni - 2008

i

B GIO DC O TO TRNG I HC KINH T QUC DN

******

NGUYN VIT HNG

PHN TCH CC NHN T NH HNG N HIU QU HOT NG CA CC NGN

HNG THNG MI VIT NAM

Chuyn ngnh: Kinh t hc (Kinh t V m)

M s: 62.34.03.01

LUN N TIN S KINH T

Ngi hng dn khoa hc:

1. GS.TS NGUYN KHC MINH

2. TS. L XUN NGHA

H Ni, 2008

ii

LI CAM OAN

Ti xin cam oan y l cng trnh nghin cu ca ring ti. Cc s liu, kt qu nu trong lun n l trung thc v c ngun gc r rng.

Tc gi lun n

NGUYN VIT HNG

iii

MC LC

TRANG PH BA ................................................................................................... i LI CAM OAN.................................................................................................... ii MC LC ............................................................................................................. iii DANH MC CC CH VIT TT ..................................................................... iv DANH MC CC BNG ................................................................................... viii DANH MC CC TH .................................................................................... x DANH MC CC S ................................................................................... xv LI M U......................................................................................................... 1 Chng 1. NHNG VN L LUN V THC TIN NGHIN CU HIU QU HOT NG CA CC NGN HNG THNG MI ................. 9

1.1. C s l lun v nh gi cc nhn t nh hng n hiu qu hot ng ca cc ngn hng thng mi ............................................................................. 9 1.2. Tnh hnh nghin cu trong nc v kinh nghim v nh gi hiu qu hot ng ca ngn hng thng mi cc nc: tip cn phn tch nh lng ................................................................................................................. 58

Chng 2. PHN TCH CC NHN T NH HNG N HIU QU HOT NG CA CC NGN HNG THNG MI VIT NAM ........... 66

2.1. Thc trng hot ng ca h thng ngn hng Vit Nam ............................ 67 2.2. Nhng hn ch v nguyn nhn yu km ca h thng ngn hng Vit Nam hin nay..................................................................................................... 79 2.3. o lng hiu qu v cc nhn t nh hng n hiu qu hot ng ca cc ngn hng thng mi Vit Nam: cch tip cn tham s (SFA) v phi tham s (DEA)............................................................................................. 97

Chng 3. NH HNG V GII PHP NNG CAO HIU QU HOT NG CA CC NGN HNG THNG MI VIT NAM......................125

3.1. nh hng pht trin ca h thng ngn hng Vit Nam ..........................125 3.2. Cc gii php nhm nng cao hiu qu hot ng ca h thng ngn hng Vit Nam trong thi gian ti.....................................................................130 3.3. Kin ngh v vic h tr cc gii php nng cao hiu qu hot ng ca cc ngn hng thng mi Vit Nam .............................................................145

KT LUN..........................................................................................................147 CNG TRNH CA TC GI CNG B ..................................................150 DANH MC TI LIU THAM KHO ..............................................................151 PH LC ............................................................................................................163

iv

DANH MC CC CH VIT TT

Vit tt Vit y ting vit Vit y ting Anh

VBARD Ngn hng Nng nghip v Pht trin Nng thn Vit Nam

Vietnam Bank for Agriculure and Rural Development

VCB Ngn hng Ngoi thng Vit Nam

Bank for Foreign Trade of Vietnam

BIDV Ngn hng u t v Pht trin Vit Nam

Bank for Investment and Development of Vietnam

ICB Ngn hng Cng thng Vit Nam

Industrial and Commercial Bank of Vietnam

ACB Ngn hng thng mi c phn Chu Asia Commercial Bank

STB Ngn hng thng mi c phn Si gn Thng tn

Saigon Thuong Tin Commercial Joint Stock Bank

MHB Ngn hng Pht trin nh ng bng sng Cu Long

Housing Bank of Mekong Delta

EIB Ngn hng thng mi c phn xut nhp khu

Vietnam Export Import Commercial Joint Stock Bank

TCB Ngn hng thng mi c phn K thng

Vietnam Technological and Commercial Joint Stock Bank

VIB Ngn hng thng mi c phn Quc t Vietnam International Bank

EAB Ngn hng thng mi c phn ng

Eastern Asia Commercial Bank

MB Ngn hng thng mi c phn Qun i

Military Commercial Joint Stock Bank

HBB Ngn hng thng mi c phn Nh H Ni

Hanoi Building Commercial Joint Stock Bank

MSB Ngn hng thng mi c phn Hng hi

Vietnam Maritime Commercial Joint Stock Bank

v

VPB Ngn hng thng mi c phn Ngoi quc doanh

Vietnam Joint Stock Commercial Bank for Private Enterprises

OCB Ngn hng thng mi c phn Phng ng

Orient Commercial Joint Stock Bank

IVB Ngn hng lin doanh INDOVINA BANK Indovina Bank Ltd.

VSB Ngn hng lin doanh VINASIAM BANK

VinaSiam Bank

SGB Ngn hng thng mi c phn Si gn Cng thng Saigon Bank for Industry and Trade

VID Ngn hng lin doanh VID PUBLIC BANK

VID Public Bank

PNB Ngn hng thng mi c phn Phng Nam

Southern Commercial Joint Stock Bank

WB Ngn hng thng mi c phn nng thn Min ty

WESTERN Rural Joint Stock Commercial Bank

CVB Ngn hng lin doanh SHINHANVINA BANK Shinhanvina Bank

HDB Ngn hng thng mi c phn pht trin nh TPHCM

Housing Development Commercial Joint Stock Bank

NAB Ngn hng thng mi c phn Nam

Nam A Commercial Joint Stock Bank

ABB Ngn hng thng mi c phn An Bnh

An Binh Commercial Joint Stock Bank

GPB Ngn hng thng mi c phn Du kh ton cu

Global Petro Commercial Joint Stock Bank

NASB Ngn hng thng mi c phn Bc

North Asia Commercial Joint Stock Bank

DAB Ngn hng thng mi c phn nng thn i

Dai A Rural Joint Stock Commercial Bank

RKB Ngn hng thng mi c phn nng thn Rch Kin

Rach Kien Rural Joint Stock Commercial Bank

vi

MXB Ngn hng thng mi c phn nng thn M Xuyn

My Xuyen Rural Joint Stock Commercial Bank

SCB Ngn hng thng mi c phn Si Gn

SaiGon Commercial Joint Stock Bank

effch Thay i hiu qu k thut Technical efficiency change

techch Thay i tin b cng ngh Technological change

pech Thay i hiu qu thun Pure technical efficiency change

sech Thay i hiu qu quy m Scale efficiency change

tfpch Thay i nng sut nhn t tng hp Total factor productivity

TE Hiu qu k thut Technical efficiency

AE Hiu qu phn b Allocative efficiency

CE Hiu qu chi ph Cost efficiency

PE Hiu qu thun Pure technical efficiency

SE Hiu qu quy m Scale efficiency

irs Tng theo quy m Increasing returns to scale

drs Gim theo quy m Decreasing returns to scale

cons Khng i theo quy m Constant returns to scale

EPS H s thu nhp /c phiu Earnings Per Share

ROA Thu nhp rng /tng ti sn Return On Assets ratio

ROE Thu nhp rng /vn ch s hu Return On Equity ratio

DEA Phn tch bao d liu Data envelopment Analysis

SFA Phn tch bin ngu nhin Stochastic frontier Appoach

vii

NIM Thu li bin rng

NOM Thu ngoi li bin rng

TNHB Thu nhp hot ng bin

NHTM Ngn hng thng mi

NHTMNN Ngn hng thng mi nh nc

NHTMCP Ngn hng thng mi c phn

NHLD Ngn hng lin doanh

NHNN Ngn hng Nh nc Vit Nam

TCTD T chc tn dng

DNNN Doanh nghip nh nc

NHCS Ngn hng Chnh sch X hi

BSCL Ngn hng nh ng bng Sng Cu Long

viii

DANH MC CC BNG

Bng 2.1. C cu h thng ngn hng thng mi Vit Nam

thi k 1991 - 1997 .............................................................................. 71

Bng 2.2. Th phn cc ngn hng thng mi Vit Nam

giai on 1993-1996 ............................................................................. 71

Bng 2.3. D n tn dng ca h thng ngn hng thng mi i vi nn kinh t thi k 1991-1999..................................................................... 73

Bng 2.4. C cu h thng ngn hng thng mi Vit Nam thi k 2001 -2005 ............................................................................... 75

Bng 2.5. D n tn dng ca h thng ngn hng i vi nn kinh t thi k 2000-2005 ................................................................................ 75

Bng 2.6. Th phn cc ngn hng thng mi Vit Nam ( %) ........................... 76

Bng 2.7. Vn t c ca cc ngn hng thng mi Vit Nam ........................... 83

Bng 2.8. Tng quan th trng dch v th ca cc ngn hng thng mi Vit Nam n ngy 31/12/2006 ......................................................... 86

Bng 2.8. Mt s ch tiu phn nh hiu qu hot ng ca khu vc ngn hng

mt s nc trong khu vc v Vit Nam............................................ 93

Bng 2.9. Thng k tm tt cc bin s dng trong m hnh DEA v SFA...........100

Bng 2.10. Kt qu phn tch la chn cc bin u vo, u ra ...........................103

Bng 2.11. Kim nh t s hp l tng qut cho tham s ca m hnh hm sn xut bin ngu nhin (SFA) ...................................................106

Bng 2.12. Hiu qu ton b, hiu qu k thut thun v hiu qu qui m ca cc loi hnh ngn hng trung bnh thi k 2001-2005 ..................108

Bng 2.14. Ch s Malmquist bnh qun thi k 2001-2005 .................................113

ix

Bng 2.15. Kt qu c lng effch, techch, pech, sech v tfpch cho 32 ngn hng thng mi trung bnh thi k 2001-2005...........................114

Bng 2.16. Hiu qu k thut (TE) thi k 2001-2005 c lng theo m hnh hm sn xut bin ngu nhin (SFA) v (DEA) ...................................115

Bng 2.17. Kt qu c lng m hnh Tobit phn tch cc yu t tc ng n hiu qu hot ng ca cc ngn hng thng mi Vit Nam ...........117

Bng 3.1. Mt s ch tiu tin t v hot ng ngn hng giai on 2006-10 ........127

x

DANH MC CC TH

th 1.1. Hm sn xut bin ngu nhin ............................................................. 33

th 1.2. Hiu qu k thut v Hiu qu phn phi............................................. 43

th 1.3. ng ng lng li tuyn tnh tng khc......................................... 44

th 1.4. ng bin CRS (OC), VRS (VBV') v NIRS (OBV') ........................ 47

th 2.1. N qu hn/tng d n ca h thng ngn hng thng mi

Vit Nam thi k 1992-1999 ............................................................. 73

th 2.2. Tc tng trng tn dng (CRED) v huy ng vn (DEPO) ca h thng ngn hng thng mi Vit Nam 2001-05..................... 77

th 2.3. N qu hn/tng d n ca h thng ngn hng Vit Nam................... 77

th 2.4. N qu hn/tng d n ca h thng ngn hng mt s nc trong khu vc v Vit Nam................................................................... 78

th 2.5. Cho vay theo ch nh so vi tng d n cho vay nn kinh t............... 91

th 2.6. Xu hng bin ng ca thu li v thu ngoi li .................................101

xi

DANH MC CC S

S 1.1. Khi qut hot ng kinh doanh c bn ca NHTM ............................. 11

S 2.1. T chc h thng ngn hng thng mi Vit Nam

giai on 1987-1990 ............................................................................. 68

S 2.2. T chc h thng ngn hng thng mi Vit Nam theo

Php lnh v ngn hng nm 1990........................................................ 70

S 2.3. T chc h thng ngn hng thng mi Vit Nam hin nay ............. 72

1

LI M U

1. Tnh cp thit ca ti lun n

Tc ton cu ho v t do ho thng mi nhanh chng trong nhng nm va qua to ra nhiu thay i to ln v mi trng kinh t quc t.

Cc Cng ty a quc gia v xuyn quc gia m rng lnh th hot ng ca mnh v ngy cng c nhiu nh hng n cc quc gia trn th gii,

ng thi dng vn quc t cng v ang ngy cng gia tng mnh.

Cng nh cc th trng khc, th trng ti chnh gi y cng phi chu nhng sc p ln ca qu trnh hi nhp. c bit cc ngn hng thng mi l t chc trung gian ti chnh c vai tr quan trng trong vic kt ni

gia khu vc tit kim v u t ca nn kinh t ngy cng b cnh tranh bi cc trung gian ti chnh phi ngn hng v cc ngn hng nc ngoi. Tuy nhin s gia tng sc p cnh tranh s tc ng n ngnh ngn hng nh th

no cn ph thuc mt phn vo kh nng thch nghi v hiu qu hot ng

ca chnh cc ngn hng trong mi trng mi ny. Cc ngn hng khng c kh nng cnh tranh s c thay th bng cc ngn hng c hiu qu hn, iu ny cho thy ch c cc ngn hng c hiu qu nht mi c li th v

cnh tranh. Nh vy, hiu qu tr thnh mt tiu ch quan trng nh gi

s tn ti ca mt ngn hng trong mt mi trng cnh tranh quc t ngy cng gia tng.

Mc d, qu trnh thc hin n c cu li h thng ngn hng t cui nhng nm 1990 n nay, tuy to ra cho ngnh ngn hng nhiu thay i ln c v s lng, quy m v cht lng, nhng tin c bn ban u p ng nhng cam kt k trong l trnh hi nhp ca khu vc ngn hng c to lp. To iu kin thun li cho h thng ngn hng bc vo thi k hi nhp kinh t quc theo xu hng ca thi i. Tuy nhin, hot ng

2

ca h thng ngn hng hin nay vn cn c nhiu tn ti v tr thnh cc thch thc ln i ngnh ngn hng Vit Nam trong thi k hi nhp. Trong

mi trng cnh tranh v i hi ca hi nhp nh hin nay, h thng ngn hng khng nhng phi duy tr c s n nh trong hot ng ca mnh m cn phi c kh nng gia tng cnh tranh i vi cc t chc ti chnh phi ngn hng v cc nh ch ti chnh khc. lm c iu ny i hi cc

ngn hng thng mi khng ngng phi tng cng hiu qu hot ng ca mnh.

Vi mc tiu lm tng hiu qu hot ng ca cc trung gian ti chnh bng vic y mnh kh nng cnh trnh gia cc ngn hng, tho b cc ro cn v th trng, li sut, t gi hi oi...i hi Vit Nam phi tip tc ci

cch su rng, ton din hn na nhm nng cao hiu qu hot ng ca c h thng ngn hng. y thc s l vn cn c quan tm nhiu hn na.

Xut pht t tm quan trng ca vic cn phi y mnh kh nng cnh tranh v nng cao hiu qu hot ng ca cc ngn hng thng mi thi k

hi nhp, trong thi gian qua c mt s tc gi trong nc quan tm nghin cu v vn ny, nhng rt ng tit nhng nghin cu ny ch yu tip cn theo phng php phn tch nh tnh truyn thng nh: nghin cu ca L Th Hng (2002) [9], hay nghin cu ca L Dn (2004) [4], hoc nghin cu gn y ca Phm Thanh Bnh (2005) [2] cng ch ch yu dng li phn tch nh tnh v phm vi nghin cu ch tp trung phn tch vo nhm cc ngn hng thng mi nh nc.

Cc nghin cu nh lng v o lng hiu qu hot ng ca cc ngn hng thng mi nhn chung trong nc l cn t, mc d gn y c nghin cu ca Bi Duy Ph (2002) [20] nh gi hiu qu ca ngn hng thng mi qua hm sn xut v hm chi ph, tuy nhin hn ch c bn ca nghin cu l (i) ch n thun dng li vic xc nh hm chi ph v

3

c lng trc tip hm chi ph ny tm cc tham s ca m hnh, do vy m khng th tch c phn phi hiu qu trong hot ng ca ngn hng; v

(ii) phm vi nghin cu ch gii hn trong phn tch cho Ngn hng Nng nghip Pht trin Nng thn (VBARD). Nguyn Th Vit Anh (2004) [1] tuy c p dng phng php hm bin ngu nhin v c lng hiu qu k thut di dng hm chi ph Cobb-Douglas, nhng hn ch chnh ca nghin cu l ch nh dng hm v nghin cu cng ch dng li nh gi cho mt ngn hng thng mi nh nc (VBARD).

Nh vy, mc d vn nh gi hiu qu hot ng ca cc ngn hng thng mi trong nc c quan tm nghin cu. Tuy nhin, a phn cc nghin cu ny u tip cn theo phng php phn tch nh tnh

truyn thng v phm vi nghin cu ch b hp trong phn tch cho mt hoc mt vi ngn hng thng mi nh nc. Trong khi cc nghin cu nh lng cn t v hn ch nhiu v phng php tip cn.

nc ngoi, phng php phn tch nh lng c s dng trong

mt s cc nghin cu nh ca Berger, Hanweck v Humphrey (1987) [18] p dng phng php tham s xem xt tnh kinh t nh quy m ca 413 chi nhnh ngn hng nh nc v 241 ngn hng thng mi nh nc, tip Berger et al (1993) [21], Berger v Humphrey (1997) [19] a ra nhng nh gi v tng kt ca hn 130 nghin cu v hiu qu hot ng ca cc t chc ti chnh, Fukuyama (1993) [50] li p dng phng php phn tch bao d liu (DEA) nghin cu hiu qu quy m ca 143 ngn hng thng mi Nht v gn y l nghin cu ca Leigh Drake & Maximilian J.B. Hall

(2000) [76] cng xem xt nh gi hiu qu ca h thng Ngn hng Nht Bn. Trong khi nghin cu ca Zaim (1995) [91] s dng phng php DEA nh gi hiu qu ca cc ngn hng thng mi trc v sau thi k t do ha ca Th Nh K th Adnan Kasman (2002) [2] tp trung nghin cu vo

4

hiu qu chi ph, tnh kinh t nh quy m v tin b cng ngh ca h thng ngn hng Th Nh K. Abid A.Burki v Ghulam Shabbir Khan Niazi (2003) [1] cng thc hin nghin cu nh gi hiu qu chi ph, hiu qu quy m v tin b cng ngh cho cc ngn hng Pakistan...tuy cc nghin cu ny hoc l p dng phng php tham s hoc phng php phi tham s nh gi hiu qu hot ng ca cc ngn hng, nhng cng ch yu tp trung vo

phn tch v nh gi hiu qu k thut, hiu qu chi ph, hiu qu phn b, tnh knh t nh quy m v tin b cng ngh ca cc ngn hng. Cc nghin cu nh gi cc nhn t nh hng n cc o hiu qu ny th cn cha nhiu, gn y c mt s cc nghin cu v vn ny nh ca Xiaoqing Fu v Shelagh Hefferman (2005) [90] s dng tip cn tham s vi m hnh hi quy 2 bc xc nh nh hng ca mt s bin s quan trng n hiu qu hot ng ca khu vc ngn hng ca Trung Quc, cn Ji-Li Hu, Chiang-Ping Chen v Yi-Yuan Su (2006) [65] li s dng phng php phi tham s nghin cu v hiu qu hot ng v nh gi mt s nhn t ch yu

c la chn xem xt nh hng ca n n hiu qu hot ng ca ngn

hng Trung Quc. Nghin cu ca Donsyah Yudistira (2003) [40] p dng phng php DEA v s dng m hnh hi quy OLS xem xt cc bin mi trng nh hng n hiu qu k thut ca 18 ngn hng thng mi ca

Islamic. Nghin cu ca Tser-yieth Chen (2005) [89] s dng m hnh DEA nh gi s thay i ca hiu qu k thut v nhn t nng sut tng hp; v cng s dng m hnh hi quy nh gi cc nhn t nh hng n hiu qu hot ng ca cc ngn hng thng mi ca i Loan thi k khng

hong ti chnh Chu ...tuy nhin nhng bin s c s dng trong m hnh hi quy, phn tch nh hng ca cc nhn t n hiu qu hot ng ca cc ngn hng trong cc nghin cu ny, li ch ch yu tp trung mt s ch tiu chnh nh: loi hnh s hu, quy m, v xem xt nh hng ca

mt s ch tiu khc nh ROA, ROE.

5

Nh vy, qua phn tch trn c th ni, hin nay vic xem xt mt cch tng th v xc nh nhng nhn t nh hng n hiu qu hot ng

ca cc ngn hng thng mi Vit Nam l ht sc quan trng v c gi tr. Bi v, n s h tr cho cc nh qun l, cc nh hoch nh chnh chnh sch, cc nh qun tr ngn hng v cc nh u t trong vic ra quyt nh. Qua n cng l c s hon thin c mt khung chnh sch hp l trong qu trnh qun l hot ng ca cc ngn hng Vit Nam thi k hi nhp.

Xut pht t nhng i hi mang tnh thc tin v nhu cu bc thit Vit Nam, c bit trong bi cnh hi nhp khu vc v ton cu ho, xu th pht trin ca nn kinh t c s qun l ca chnh ph mt cch gin tip thng qua cc chnh sch kinh t, vi mong mun b sung thm nhng hiu

bit v ng dng i vi vic a ra chnh sch qun l h thng ngn hng Vit Nam, ti la chn ti: Phn tch cc nhn t nh hng n hiu qu hot ng ca cc ngn hng thng mi Vit Nam. ti nghin cu t n hm cha ngha khoa hc v thc tin to ln i vi Vit Nam.

2. Mc ch nghin cu ca lun n

- Nghin cu c s l lun v vic o lng hiu qu hot ng ca NHTM, v m hnh phn tch cc nhn t nh hng n hiu qu hot ng

ca cc ngn hng thng mi.

- nh gi thc trng hiu qu hot ng ca cc ngn hng thng mi, v lm r cc nguyn nhn nh hng n hiu qu hot ng ca cc

ngn hng thng mi Vit Nam trong thi gian qua da trn c s cc m hnh phn tch nh lng.

- xut mt s gii php nhm ci thin, nng cao hiu qu hot ng

v tng kh nng cnh tranh ca cc ngn hng thng mi Vit Nam, gp

6

phn phc v cho cc mc tiu pht trin ca ngnh ngn hng v lm cho nn ti chnh quc gia pht trin n nh trong nhng nm ti.

3. i tng v phm vi nghin cu

- i tng nghin cu ca lun n l hiu qu hot ng ca cc ngn hng thng mi (NHTM) Vit Nam. Tuy nhin, hiu qu hot ng l mt phm tr rng v phc tp do lun n tp trung vo nghin cu hiu qu theo quan im l: kh nng bin cc u vo thnh cc u ra v phn tch nh lng cc nhn t nh hng n hiu qu ny ca cc ngn hng ngn hng thng mi Vit Nam.

- Phm vi nghin cu: khng ch tp trung vo mt vi ngn hng thng mi nh nc nh cc nghin cu trc y, phm vi nghin cu

ca lun n c m rng phn tch cho 32 ngn hng thng mi Vit Nam, gm c 3 loi hnh: ngn hng thng mi nh nc (NHTMNN), ngn hng thng mi c phn (NHTMCP) v ngn hng lin doanh (NHLD). S lng cc ngn hng thng mi Vit Nam c xem xt, phn tch trong

cc m hnh nh lng gm c: 5 NHTMNN, 23 NHTMCP, 4 NHLD v thi k nghin cu l 5 nm t nm 2001 n nm 2005.

Lun n la chn phm vi nghin cu ny v (1) y l thi k Vit Nam ang y nhanh qu trnh hi nhp kinh t quc t. Bi vy, i hi h

thng ngn hng tip tc y nhanh qu trnh ci cch, vai tr ca n thc s tr thnh nhn t thc y nhanh qu trnh chuyn i kinh t Vit Nam, v chun b cho qu trnh t do ho ti chnh nhm nng cao nng lc hot ng v kh nng cnh tranh ca cc ngn hng thng mi Vit Nam thi k

hu hi nhp WTO. ng thi cng cn hon thin khung chnh sch cho ngnh ngn hng trong thi k ny. (2) Hn na, ngun s liu ca thi k nghin cu ny bo m tnh ng b hn, y hn, c tin cy cao hn,

7

v phn nh tt vic nh gi hiu qu hot ng ca cc ngn hng thng mi Vit Nam.

4. Phng php nghin cu

ph hp vi ni dung, yu cu v mc ch m lun n ra, phng php phn tch nh tnh c kt hp vi phng php phn tch nh lng gm tip cn phn tch hiu qu bin [phn tch bin ngu nhin (SFA) v phn tch bao d liu (DEA)] v m hnh kinh t lng (Tobit) nh gi hiu qu hot ng v phn tch cc nhn t nh hng n hiu qu hot ng ca cc ngn hng thng mi Vit Nam.

Ngun s liu c s dng trong cc phn tch da trn c s d liu thu thp c t cc bo co ca Ngn hng Nh nc v cc bng cn i k

ton, bo co l li trong cc bo co thng nin ca cc ngn hng thng mi Vit Nam thi k 2001-2005.

5. ngha khoa hc v thc tin ca lun n nghin cu - Hnh thnh c s l lun, hon thin phng php nghin cu, cc m

hnh nh gi hiu qu (m hnh bin ngu nhin SFA v m hnh bao d liu DEA) trn c s a ra cch tip cn ph hp cho Vit Nam trong vic nh gi hiu qu hot ng v phn tch cc nhn t nh hng n hiu

qu hot ng ca cc ngn hng thng mi.

- Phn tch thc trng v nh gi hot ng ca cc ngn hng thng mi Vit Nam da trn phng php phn tch nh tnh v nh lng nh phn tch bin ngu nhin (SFA) hay phng php phn tch tham s, phng php phn tch phi tham s (DEA) v m hnh kinh t lng (Tobit) thy c nhng mt yu km, khim khuyt trong iu hnh, qun l v qun tr ngn hng thng mi Vit Nam.

8

- xut cc gii php hon thin khung chnh sch trong vic qun l v iu hnh h thng ngn hng thng mi Vit Nam c kha cnh v m (c quan qun l) v gc vi m (qun tr ngn hng) nhm mc tiu nng cao hiu qu v ci thin nng lc cnh tranh cho h thng ngn hng

thng mi hin nay Vit Nam.

6. B cc ca lun n

Ngoi li m u, kt lun v danh mc ti liu tham kho, lun n gm 3 chng:

Chng 1. Nhng vn l lun v thc tin nghin cu hiu qu hot ng ca cc ngn hng thng mi.

Chng 2. Phn tch cc nhn t nh hng n hiu qu hot ng ca cc ngn hng thng mi Vit Nam.

Chng 3. nh hng v gii php nng cao hiu qu hot ng ca cc ngn hng thng mi Vit Nam.

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Chng 1 NHNG VN L LUN V THC TIN NGHIN CU HIU

QU HOT NG CA CC NGN HNG THNG MI

1.1. C s l lun v nh gi cc nhn t nh hng n hiu qu hot ng ca cc ngn hng thng mi

1.1.1. Tng quan v ngn hng thng mi

1.1.1.1. Ngn hng thng mi v vai tr ca ngn hng thng mi trong nn kinh t.

Lch s pht trin ca h thng ngn hng gn lin vi s pht trin ca

nn kinh t hng ha, v s pht trin nhanh chng ca nn kinh t th trng

lm bin i mnh m h thng ngn hng thng mi t nhng h thng ngn hng gin n, s khai ban u nay tr thnh nhng ngn hng hin i, nhng tp on ti chnh khng l, a quc gia. Cng vi s pht trin ca nn kinh t hng ha, cc t tng kinh t, s a dng ha ca cc sn phm dch v v c th hon cnh thc t ca tng quc gia, tng o lut m khi nim ngn hng thng mi c th c nhn nhn di gc ny hay gc khc nhng tu chung u nht qun vi nhau l: Ngn hng thng mi l mt t chc trung gian ti chnh lm cu ni gi khu vc tit kim vi khu vc u t ca nn kinh t hay ni c th hn th Ngn hng thng mi l mt t chc kinh doanh tin t, nhn tin gi t cc tc nhn trong nn kinh t, sau thc hin cc nghip v cho vay v u t vo cc ti sn c kh nng sinh li khc, ng thi thc hin cung cp a dng cc danh mc dch v ti chnh, tn dng, thanh ton cho cc tc nhn trong nn kinh t.

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Nh vy, r rng ngn hng thng mi l mt trong nhng t chc ti chnh c vai tr quan trng ca nn kinh t. Trc ht, vi vi tr trung gian

ti chnh, ngn hng thng mi thc hin vic chuyn cc khon tit kim (ch yu t h gia nh) thnh cc khon tn dng cho cc t chc kinh doanh v cc tc nhn khc thc hin cc hot ng u t. ng thi, ngn hng thng mi l ngi cung cp cc khon tn dng cho ngi tiu dng vi quy m ln nht, l mt trong nhng thnh vin quan trong nht ca th trng tn phiu v tri phiu do chnh quyn trung ng v a phng pht hnh ti tr cho cc chng trnh cng cng. Ngn hng thng mi cng l mt trong nhng t chc cung cp vn lu ng, vn trung hn v di hn quan trng cho cc doanh nghip.

- Vi vai tr thanh ton, ngn hng thng mi thay mt khch hng thc hin thanh ton cho vic mua hng ha v dch v nh bng cch pht hnh v b tr sc, cung cp mng li thanh ton in t...

- Vi vai tr ngi bo lnh, ngn hng thng mi cam kt tr n cho

khch hng khi khch hng mt kh nng thanh ton.

- Vi vai tr i l, cc ngn hng thng mi thay mt khch hng qun l v bo lnh pht hnh hoc chuc li chng khon.

- Cui cng vi vai tr thc hin chnh sch, cc ngn hng thng mi cn l mt knh quan trng thc thi chnh sch v m ca chnh ph, gp phn iu tit s tng trng kinh t vo theo ui cc mc tiu x hi.

1.1.1.2. Cc hot ng c bn ca ngn hng thng mi

Ngn hng thng mi l loi hnh t chc chuyn nghip trong lnh

vc to lp v cung cp cc dch v ti chnh, tin t cho cng chng cng nh thc hin nhiu vai tr khc trong nn kinh t. Thnh cng trong hot

ng kinh doanh ca ngn hng hon ton ph thuc vo nng lc, kh nng

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cung cp cc dch v cho cng chng theo gi cnh tranh trn th trng. Da trn chc nng ca ngn hng thng mi, chng ta c th phn chia cc hot

ng kinh doanh c bn ca cc ngn hng thng mi nh c m t tm tt trong S 1.1 di y.

S 1.1. Khi qut hot ng kinh doanh c bn ca NHTM

a) Chc nng lun chuyn ti sn: phn theo chc nng ny ngn hng thng mi ng thi thc hin hai hot ng sau:

* Hot ng huy ng vn: l hot ng mang tnh cht tin nhm to lp ngun vn hot ng ca ngn hng. Bi vy, m bo ngun vn

Cc hot ng kinh doanh c bn ca NHTM

- Vn ch s hu

- Tin gi tit kim

- Tin gi giao dch - Pht hnh C. Khon - Vay cc NH khc

- Hot ng khc

Hot ng huy ng vn

Hot ng s dng vn

- Hot ng tn dng

- Hot ng u t

Chc nng lun chuyn ti sn Chc nng cung cp dch v

- Dch v thanh ton v

ngn qu.

- Bo lnh

- Kinh doanh ngoi t - U thc, i l

- Kinh doanh chng khon....

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trong hot ng kinh doanh ca mnh, cc ngn hng thng mi c th thc hin cc hot ng huy ng vn t:

- Vn ch s hu: y l ngun vn khi u v c b sung trong qu trnh hot ng. Ngun vn ny tuy chim t trng khng ln, thng

thng khong 10% tng s vn, nhng c vai tr ht sc quan trng trong hot ng ca ngn hng, c th n l iu kin cho php cc ngn hng c

th m rng mng li kinh doanh, quy m huy ng, mua sn ti sn c nh, gp vn lin doanh, cp vn cho cc cng ty con v cc hot ng kinh doanh khc, ng thi n cng l thc o nng lc ti chnh ca mi ngn hng v kh nng phng v ri ro trong qu trnh hot ng kinh doanh ca ngn hng. Ngun vn ch s hu gm c vn iu l, cc qu ca ngn hng

hnh thnh trong qu trnh kinh doanh v cc ti sn khc theo quy nh ca Nh nc.

- Tin gi tit kim v tin gi giao dch: trong tin gi tit kim ca dn c chim t trng kh ln trong tng vn huy ng ca ngn hng

thng mi. Ngoi ra cn c cc khon tin gi c k hn ca doanh nghip v cc t chc x hi, cc khon tin gi ny c th l cc khon phi tr xc nh thi hn chi hoc cc khon tch ly ca doanh nghip. Bn cnh cc khon tin gi c k hn, ngn hng thng mi cn huy ng cc khon tin

gi khng k hn, y l nhng khon tin m ngi gi c th rt bt k lc no. Cc khon tin gi khng k hn ny c th bao gm tin gi thanh ton v tin gi bo m an ton ti sn ca khch hng. im ni bt ca loi tin gi ny l c chi ph huy ng thp nhng bin ng mnh, tnh cht vn ng phc tp v c nhiu ri ro

- Pht hnh chng khon: thng qua th trng ti chnh, hin nay cc ngn hng thng mi c th huy ng vn bng cch pht hnh cc chng ch tin gi, tri phiu, k phiu, v cc giy t c gi khc vi nhiu loi k

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hn, li sut khc nhau, c ghi danh hoc khng ghi danh nhm a dng ha cc hnh thc huy ng vn v p ng nhu cu nm gi cc ti sn khc

nhau ca khch hng, ng thi thng qua cc hot ng ny ngn hng c th nng cao kh nng cnh tranh ca mnh trn th trng.

- Vay t ngn hng thng mi khc: trong qu trnh hot ng kinh doanh ca mnh nu cc ngn hng thng mi nhn thy nhu cu vay vn ca khch hng gia tng mnh hoc ngn qu b thiu ht do c nhiu dng tin rt ra, th cc ngn hng thng mi c th vay n ti cc ngn hng khc

nh Ngn hng Nh nc thng qua hnh thc chit khu, ti chit khu cc giy t c gi, cc hp ng tn dng cp cho khch hng; hoc vay ca cc t chc ti chnh khc trn th trng tin t nhm b sung cho thiu ht

tm thi v vn.

* Hot ng s dng vn: chc nng th hai trong hot ng lun chuyn ti sn ca cc ngn hng thng mi l thc hin cc hot ng tn dng v u t. y l cc hot ng em li ngun thu cho ngn hng v b

p cc chi ph trong hot ng. - Hot ng tn dng: hin nay vn l mt trong nhng hot ng c

bn, truyn thng v ng vai tr quan trng nht trong cc hot ng to ra thu nhp ca ngn hng thng mi (hot ng ny thng chim 60%-80% ti sn ca ngn hng). Mc d, hot ng tn dng l hot ng mang li li nhun ch yu cho cc NHTM, quyt nh s tn ti v pht trin ca ngn hng, tuy nhin n cng cha ng nhiu ri ro (ri ro thanh khon, ri ro li sut, ri ro chnh tr v ri ro o c) khi nhng ri ro ny xy ra s gy nh hng ln n ngn hng v phn ln vn ca ngn hng l c huy ng t nn kinh t.

- Hot ng u t: a dng ha vic s dng ngun vn, gim ri ro trong hot ng, tng thu nhp v h tr thanh khon khi cn thit, ngoi hot

ng tn dng cc ngn hng thng mi cn thc hin cc hot u t nh:

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hot ng u t gin tip (cc hot ng u t trn th trng chng khon thng qua vic mua bn cc chng khon do chnh ph, cng ty pht hnh), hoc cc hot ng u t trc tip (gp vn vo cc doanh nghip, cc cng ty ti chnh...)

b) Chc nng cung cp dch v Cng vi s pht trin kinh t, cc hot ng cung cp dch v ngy

cng ng vai tr quan trng trong vic a dng ha cc hot ng ca ngn hng, ng thi cng mang li cho ngn hng nhng khon thu nhp khng

nh. Cc hot ng dch v ny bao gm cc hot ng nh dch v thanh ton v ngn qu, bo lnh, kinh doanh ngoi t, u thc, i l, kinh doanh chng khon... Ngoi ra, trc s pht trin bng n ca cng ngh thng tin, hin nay cc ngn hng cn pht trin v cung cp cc dch v mi nh cc dch v th, Internet Banking, Phonebanking... cng nh pht trin mnh cc dch v ngn hng quc t.

1.1.1.3. Xu hng pht trin hin nay i vi hot ng ca cc ngn hng thng mi

Tc ng ca qu trnh m ca nn kinh t, t do ha khu vc ti chnh v c bit l nhng thay i to ln ca cuc cch mng khoa hc cng ngh hin nay, lm cc ngn hng thng mi ang phi tr qua nhng

thay i ln v cu trc, chc nng, loi hnh t chc... Nhng thay i ny c nhng nh hng khng nh n hot ng kinh doanh ca cc ngn hng thng mi. Nhng xu hng nh hng ny tc ng n hot ng

ca ngn hng nh:

- Sc p cung cp a dng ha cc sn phm dch v: trong thi gian qua trc sc p cnh tranh t cc t chc ti chnh ph ngn hng cng nh nhng i hi cao hn t pha khch hng v s thay i ca cng ngh ngn

hng, y cc ngn hng thng mi phi nhanh chng gia tng vic m

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rng cc hot ng dch v ti chnh cung cp cho cc khch hng. Chnh iu ny lm tng chi ph hot ng ca ngn hng thng mi. Tuy nhin,

nhng dch v mi ny cng to ra nhng ngun thu mi cho ngn hng, v hin nay ngun thu t mt s hot ng ca cc dch v ny c xu hng tng trng nhanh so vi cc ngun thu truyn thng t li cho vay.

- Cnh tranh ngy cng gia tng: sc p cnh tranh i vi cc ngn hng thng mi khng ch gia tng sn phm dch v truyn thng m gi cn gia tng mnh m cc hot ng dch v ti chnh. Nhng hot ng dch v ny ang phi i mt cnh tranh trc tip t cc ngn hng thng mi khc v cc t chc tn dng phi ngn hng khc nh: cc cng ty ti chnh, cng ty chng khon, cc t chc bo him...y thc s l nhng

ng lc thc y s pht trin ca cc dch v trong tng li. Mt khc, sc p gia tng ca cnh tranh cn th hin ch, cc ngn hng ang phi i mt vi cc khch hng ngy cng "thng thi" hn v nhy cm hn vi li sut. Bi vy, cc khon tin gi "trung thnh" ca ngn hng d dng b li

ko bi nhng i th cnh tranh. Do vy, ngn hng thng mi lun phi nng cao kh nng cnh tranh c th duy tr c cc khch hng truyn thng cng nh qua thu ht thm c nhiu khch hng mi.

- S gia tng chi ph vn: s gia tng cnh tranh cng vi qu trnh tin t ha din ra nhanh chng v qu trnh t do ha khu vc ti chnh lm tng chi ph bnh qun ca cc ti khon tin gi v cc ngn hng phi tr li sut do th trng cnh tranh quyt nh. ng thi, m bo tnh n nh v pht trin bn vng ca h thng ngn hng, Chnh ph cng yu cu cc ngn hng phi s dng vn ch s hu ca mnh nhiu hn ti tr cho cc ti sn ca ngn hng. iu ny, lm chi ph vn ca cc ngn hng gia tng ng k v nng cao c kh nng canh tranh ca mnh buc cc

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ngn hng lun phi tm cch ct gim chi ph hot ng v tm ngun vn mi nh chng khon ha mt s ti sn.

- Tin b cng ngh ngn hng: trc sc p cnh tranh, phc v khch hng ngy tt hn i hi cc ngn hng ngy phi cung cp nhiu dch v mi trn nn tng pht trin ca cng ngh thng tin nh s dng cc h thng ngn hng t ng v in t thay th cho cc h thng da trn cng ngh s dng nhiu lao ng, v d nh cc hot ng nhn tin gi, thanh ton b tr v cp tn dng. c bit pht trin h thng my rt tin t ng (ATM) cho php khch hng truy nhp ti khon tin gi ca h 24/24, hay h thng my thanh ton POT c t ti cc siu th, trung tm thng mi, nh hng, khch sn...ang dn c th thay th cho phng thc thanh

ton truyn thng bng tin mt.

- Xu hng m rng hot ng v mt a l: khai thc hiu qu h thng ngn hng t ng trn nn tng ca tin b cng ngh ngn hng, hin nay cc ngn hng c xu hng m rng phm vi hot ng v mt a l gia tng s lng khch hng bng vic thnh lp nhiu chi nhnh mi. Ngoi ra, xu hng t chc xy dng m hnh tp on kinh t s hu ngn hng hay mua li cc ngn hng nh v a chng thnh b phn ca cc ngn hng a tr s ang din ra ngy cng ph bin. S lng cc ngn hng c

phn ngy cng gia tng v s lng cc ngn hng nh c xu hng gim dn.

- Qu trnh ton cu ha: ton cu ha v hi nhp kinh t quc t ngy cng din ra mnh m v su sc hn bao gi ht, s m rng v mt a l v hp nht ca cc ngn hng ln trn th gii vt ra khi ranh gii lnh th ca mt quc gia, v cc ngn hng ny khng nhng tr thnh cc i th cnh trnh ca nhau trn hu tt c cc lnh th m cn tr thnh i

th trnh cnh ht sc ln ca cc ngn hng ni a. Chnh qu trnh ny

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v ang buc cc ngn hng ni a phi tm cch gim thiu chi ph hot ng, nng cao kh nng cnh tranh, hin i ha cng ngh ngn hng

nng cao hiu qu hot ng ca mnh.

1.1.2. Hiu qu v cc nhn t nh hng n hiu qu hot ng ca cc ngn hng thng mi

1.1.2.1. Hiu qu v bn cht ca hiu qu hot ng ca cc ngn hng thng mi

Trong hot ng ca ngn hng thng mi (NHTM), theo l thuyt h thng th hiu qu c th c hiu hai kha cnh nh sau:

(i) Kh nng bin i cc u vo thnh cc u ra hay kh nng sinh li hoc gim thiu chi ph tng kh nng cnh tranh vi cc nh ch ti

chnh khc.

(ii) Xc sut hot ng an ton ca ngn hng.

S lnh mnh ca h thng ngn hng thng mi quan h cht ch vi s n nh v pht trin ca nn kinh t v ngn hng thng mi l t chc

trung gian ti chnh kt ni khu vc tit kim vi khu vc u t ca nn kinh t. Do s bin ng ca n s nh hng rt mnh n cc ngnh kinh t quc dn khc.

Theo Perter S.Rose gio s kinh t hc v ti chnh trng i hc Yale th v bn cht ngn hng thng mi cng c th c coi nh mt tp on kinh doanh v hot ng vi mc tiu ti a ha li nhun vi mc ri ro cho php. Tuy nhin, kh nng sinh li l mc tiu c cc ngn hng quan tm hn c v thu nhp cao s gip cc ngn hng c th bo ton vn, tng kh nng m rng th phn, thu ht vn u t.

Theo nh ngha trong cun "T in Ton kinh t, Thng k, kinh t lng Anh- Vit" trang 255 ca PGS.TS Nguyn Khc Minh th "hiu qu -

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efficiency" trong kinh t c nh ngha l "mi tng quan gia u vo cc yu t khan him vi u ra hng ha v dch v" v "khi nim hiu qu c dng xem xt cc ti nguyn c cc th trng phn phi tt nh th no." Nh vy, c th hiu hiu qu l mc thnh cng m cc doanh nghip hoc ngn hng t c trong vic phn b cc u vo c th s dng v cc u ra m h sn xut, nhm p ng mt mc tiu no .

Mc tiu ca cc nh sn xut c th n gin l c gng trnh lng ph, bng cch t c u ra cc i t cc u vo gii hn hoc bng vic cc tiu ho s dng u vo trong sn xut cc u ra cho. Trong trng hp ny khi nim hiu qu tng ng vi ci m ta gi l hiu qu k thut (kh nng cc tiu ho s dng u vo sn xut mt vc t u ra cho trc, hoc kh nng thu c u ra cc i t mt vc t u vo cho trc), v mc tiu trnh lng ph ca cc nh sn xut tr thnh mc tiu t c mc hiu qu k thut cao. mc cao hn, mc tiu ca cc nh sn xut c th i hi sn xut cc u ra cho vi chi ph cc tiu, hoc s

dng cc u vo cho sao cho cc i ho doanh thu, hoc phn b cc u vo v u ra sao cho cc i ho li nhun. Trong cc trng hp ny hiu qu tng ng c gi l hiu qu kinh t (kh nng cho bit kt hp cc u vo nhn t cho php ti thiu ha chi ph sn xut ra mt mc sn

lng nht nh), v mc tiu ca cc nh sn xut tr thnh mc tiu t mc hiu qu kinh t cao (tnh theo cc ch tiu nh chi ph, doanh thu hoc li nhun).

Nh vy, hiu qu l phm tr phn nh s thay i cng ngh, s kt

hp v phn b hp l cc ngun lc, trnh lnh ngh ca lao ng, trnh qun l...n phn nh quan h so snh c gia kt qu kinh t v chi ph b ra t c kt qu .

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nh gi hiu qu hot ng ca cc ngn hng thng mi c th c chia lm hai nhm l hiu qu tuyt i v hiu qu tng i:

- Cc ch tiu phn nh hiu qu tuyt i (hiu qu hot ng = kt qu kinh t - chi ph b ra t c kt qu ) cho php nh gi hiu qu hot ng ca ngn hng thng mi theo c chiu su v chiu rng. Tuy nhin loi ch tiu ny trong mt s trng hp li kh c th thc hin so

snh c. V d, nhng ngn hng c ngun lc ln th to ra li nhun ln hn nhng ngn hng c ngun lc nh, nhng khng c ngha l cc ngn

hng quy m ln li c hiu qu ln hn cc ngn hng c quy m nh hn. Nh vy, hiu qu tuyt i khng cho bit kh nng s dng tit kim hay lng ph cc u vo.

- Cc ch tiu phn nh hiu qu tng i c th c th hin di dng tnh (hiu qu hot ng = kt qu kinh t/chi ph b ra t c kt qu hoc dng nghch hiu qu hot ng = chi ph/ kt qu kinh t) hoc di dng ng hay dng cn bin (hiu qu hot ng = mc tng kt qu kinh t/mc tng chi ph). Nhng ch tiu ny rt thun tin so snh theo thi gian v khng gian nh cho php so snh hiu qu gia cc ngn hng c quy m khc nhau, cc thi k khc nhau.

Tm li, quan im v hiu qu l a dng, ty theo mc ch nghin cu c th xt hiu qu theo nhng kha cnh khc nhau. Tuy nhin, xut pht t nhng hn ch v thi gian v ngun s liu, do vy quan im v hiu qu m lun n s dng nh gi hiu qu hot ng ca cc ngn hng thng mi l da trn tiu chun nh gi hiu qu kinh t, th hin mi quan h ti u gia kt qu kinh t t c v chi ph b ra t c kt qu , hay ni mt cch khc hiu qu m lun n tp trung nghin cu trong nh gi hot ng ca ngn hng thng mi c hiu l kh nng bin cc u vo thnh cc u ra trong hot ng kinh doanh ca NHTM.

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1.1.2.2. Cc nhn t nh hng n hiu qu hot ng ca cc ngn hng thng mi

Hiu qu l iu kin quyt nh s sng cn v pht trin ca mt ngn hng, bi vy nng cao hiu qu cng c ngha l tng cng nng lc ti chnh, nng lc iu hnh to ra tch ly v c iu kin m rng cc

hot ng kinh doanh gp phn cng c v nng cao thng hiu ca cc ngn hng thng mi. Tuy nhin, NHTM hot ng c hiu qu hn, i hi phi xc nh c cc nhn t nh hng ti hiu qu hot ng ca cc ngn hng thng mi nhm hn ch c cc hot ng mang tnh cht ri ro, bo ton vn, nng cao thu nhp v li nhun t cc hot ng kinh doanh

ca NHTM. Cc nhn t ny c th c chia lm hai nhm: nhm nhn t khch quan v nhm nhn t ch quan, ty theo iu kin c th ca tng ngn hng m hai nhm nhn t ny c nhng nh hng khc nhau n hiu qu hot ng ca chnh cc ngn hng thng mi.

(1) Nhm nhn t khch quan a) Mi trng v kinh t, chnh tr v x hi trong v ngoi nc:

Ngn hng thng mi l mt t chc trung gian ti chnh lm cu ni

gia khu vc tit kim vi khu vc u t ca nn kinh t, do vy nhng bin ng ca mi trng kinh t, chnh tr v x hi c nhng nh hng khng nh n hot ng ca cc ngn hng. Nu mi trng kinh t, chnh tr v x hi n nh s to iu kin thun li cho hot ng ca cc ngn hng

thng mi, v y cng l iu kin lm cho qu trnh sn xut ca nn kinh

t c din ra bnh thng, m bo kh nng hp th vn v hon tr vn ca cc doanh nghip trong nn kinh t. Khi nn kinh t c tng trng cao v n nh, cc khu vc trong nn kinh t u c nhu cu m rng hot ng sn xut, kinh doanh do nhu cu vay vn tng lm cho cc ngn hng thng

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mi d dng m rng hot ng tn dng ca mnh ng thi kh nng n xu c th gim v nng lc ti chnh ca cc doanh nghip cng c nng cao. Ngc li, khi mi trng kinh t, chnh tr v x hi tr nn bt n th li l nhng nhn t bt li cho hot ng ca cc ngn hng thng mi nh nhu cu vay vn gim; nguy c n qu hn, n xu gia tng lm gim hiu qu hot ng ca cc ngn hng thng mi.

Hn na, hin nay qu trnh hi nhp kinh t quc t ang din ra mnh m trn th gii. Cc nn kinh t ca cc nc trn th gii ngy cng ph thuc vo nhau, lung vn quc t v ang dn vo khu vc Chu mnh m, iu ny ang to ra nhiu c hi cho Vit Nam ni chung v h thng ngn hng ni ring nhiu c hi mi nh c th tranh th c cc ngun

vn, cng ngh, kinh nghim qun l t cc nn kinh t pht trin...tuy nhin, bn cnh ngnh ngn hng cng phi i mt vi nhiu thch thc t qu trnh hi nhp, nh phi cnh tranh vi nhng tp on ti chnh y tim lc (v vn, cng ngh, nng lc qun l...). Trong khi thc t hin nay cho thy cc ngn hng thng mi Vit Nam cn yu v mi mt t nng lc ti chnh, kinh nghim qun tr ngn hng, cng ngh n ngun nhn lc.

Ngoi ra, vi qu trnh hi nhp kinh t quc ngy cng su rng, th s bin ng ca tnh hnh kinh t, chnh tr v x hi ca cc nc trn th gii

m nht l cc bn hng ca Vit Nam cng c nhng nh hng khng nh n hiu qu hot ng ca cc ngn hng thng mi.

b) Mi trng php l Mi trng php l bao gm tnh ng b v y ca h thng lut,

cc vn bn di lut, vic chp hnh lut v trnh dn tr.

Thc tin cho thy s pht trin ca cc nn kinh t th trng trn th

gii hng trm nm qua minh chng cho tm quan trng ca h thng lut trong vic iu hnh nn kinh t th trng. Nu h thng lut php c xy

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dng khng ph hp vi yu cu pht trin ca nn kinh t th s l mt ro cn ln cho qu trnh pht trin kinh t. Khc vi cc nc c nn kinh t th

trng pht trin, khi m h c mt h thng lut kh y v c sa i v b sung nhiu ln trong qu trnh pht trin ca mnh th Vit Nam do mi chuyn i nn kinh t t c ch k hoch ha sang vn hnh theo nn kinh t th trng hn 20 nm, do h thng lut cn thiu v cha y v y cng thc s l mt tr ngi i vi hot ng ca cc NHTM.

ng thi, qu trnh tin t ha din ra nhanh trong thi gian gn y i hi Vit Nam phi sm thng qua cc b lut mi v sa i cc iu lut khng cn ph hp vi tnh hnh kinh t, c nh vy h thng lut php mi thc s to lp c mt mi trng php l hon chnh lm c s gii quyt cc tranh chp, khiu ni ny sinh trong hot ng kinh t, x hi. Nh vy, r rng mi trng lut php c vai tr ht sc quan trng i vi cc hot ng kinh t ni chung v i vi hot ng ca cc ngn hng thng mi ni ring, l c s tin cho ngnh ngn hng pht trin nhanh v bn

vng.

(2). Nhm nhn t ch quan Nhm nhn t ch quan c bn n chnh l cc nhn t bn trong

ni b ca chnh cc ngn hng thng mi nh cc nhn t v nng lc ti chnh, kh nng qun tr iu hnh, ng dng tin b cng ngh, trnh v cht lng ca lao ng...

- Nng lc ti chnh ca mt ngn hng thng mi thng c biu hin trc ht l qua kh nng m rng ngun vn ch s hu, v vn ch s

hu th hin sc mnh ti chnh ca mt ngn hng. Tim lc v vn ch s hu nh hng ti quy m kinh doanh ca ngn hng nh: kh nng huy ng v cho vay vn, kh nng u t ti chnh v trnh trang b cng ngh. Th hai, kh nng sinh li cng l mt nhn t phn nh v nng lc ti chnh ca

23

mt ngn hng v n th hin tnh hiu qu ca mt ng vn kinh doanh. Th ba l kh nng phng nga v chng ri ro ca mt ngn hng cng l nhn t phn nh nng lc ti chnh. Nu n xu tng th d phng ri ro cng phi tng b p ri ro, c ngha l kh nng ti chnh cho php s dng b p tn tht c th xy ra. Ngc li, nu n xu tng nhng d phng ri ro khng b p c ngha l tnh trng ti chnh xu v nng lc ti chnh b p cho cc khon chi ph ny b thu hp.

- Nng lc qun tr, iu hnh l nhn t tip theo nh hng n hiu

qu hot ng ca cc ngn hng. Nng lc qun tr iu hnh trc ht l ph thuc vo c cu t chc b my qun l, trnh lao ng v tnh hu hiu ca c ch iu hnh c th ng ph tt trc nhng din bin ca th

trng. Tip theo nng lc qun tr, iu hnh cn c th c phn nh bng kh nng gim thiu chi ph hot ng, nng cao nng sut s dng cc u vo c th to ra c mt tp hp u ra cc i.

- Kh nng ng dng tin b cng ngh: chnh l phn nh nng lc

cng ngh thng tin ca mt ngn hng. Trc s pht trin mnh m ca khoa hc cng ngh v ng dng su rng ca n vo cuc sng x hi nh ngy nay, th ngnh ngn hng kh c th duy tr kh nng cnh tranh ca mnh nu vn cung ng cc dch v truyn thng. Nng lc cng ngh ca

ngn hng th hin kh nng trang b cng ngh mi gm thit b v con ngi, tnh lin kt cng ngh gia cc ngn hng v tch c o v cng ngh ca mi ngn hng

- Trnh , cht lng ca ngi lao ng: nhn t con ngi l yu t

quyt nh quan trng n s thnh bi trong bt k hot ng no ca cc ngn hng thng mi. X hi cng pht trin th cng i hi cc ngn hng cng phi cung cp nhiu dch v mi v c cht lng. Chnh iu ny i hi cht lng ca ngun nhn lc cng phi c nng cao p ng kp

24

thi i vi nhng thay i ca th trng, x hi. Vic s dng nhn lc c o c ngh nghip, gii v chuyn mn s gip cho ngn hng to lp c

nhng khch hng trung thnh, ngn nga c nhng ri ro c th xy ra trong cc hot ng kinh doanh, u t v y cng l nhn t gip cc ngn hng gim thiu c cc chi ph hot ng. Tuy nhin, trong qu trnh pht trin ngun nhn lc lun phi ch trng vic gn pht trin nhn lc vi

cng ngh mi.

1.1.3. Cc phng php nh gi hiu qu hot ng ca NHTM

1.1.3.1. Phng php nh gi truyn thng

Cc h s ti chnh l cng c c s dng ph bin nht trong nh gi, phn tch v phn nh hiu qu hot ng ca cc ngn hng thng mi

cp ngnh v cp qun l ca chnh ph. Mi h s cho bit mi quan h gia hai bin s ti chnh qua cho

php phn tch v so snh gia cc chi nhnh, gia cc ngn hng v phn

tch xu hng bin ng ca cc bin s ny theo thi gian. C nhiu loi h s ti chnh c s dng nh gi cc kha cnh hot ng khc nhau ca mt ngn hng, cc h s ti chnh ny bao gm cc t s phn nh kh nng sinh li, cc t s phn nh hiu qu hot ng v cc t s phn nh ri ro ti

chnh ca mt ngn hng.

Nhm ch tiu phn nh kh nng sinh li phn nh tnh hiu qu ca mt ng vn kinh doanh theo thng l quc t thng c phn nh thng qua cc ch tiu sau: thu li bin rng (NIM), thu ngoi li bin rng (NOM), thu nhp hot ng bin (TNHB), h s thu nhp trn c phiu (EPS), thu nhp rng trn tng ti sn (ROA) v thu nhp rng trn tng vn ch s hu (ROE).

Tng thu nhp tng chi ph NIM =

Tng ti sn c sinh li (hoc tng ti sn c) (1)

25

Tng thu nhp ngoi li tng chi ph ngoi li NOM =

Tng ti sn c

Tng thu hot ng tng chi ph hot ng TNHB =

Tng ti sn c

Li nhun sau thu EPS =

Tng s c phiu thng hin hnh

Li nhun sau thu ROA =

Tng ti sn c

Li nhun sau thu ROE =

Vn ch s hu T l thu li bin rng (NIM), thu ngoi li bin rng (NOM), thu nhp

hot ng bin (TNHB) phn nh nng lc ca hi ng qun tr v nhn vin ngn hng trong vic duy tr s tng trng ca cc ngun thu (ch yu t cc khon cho vay, u t v ph dch v) so vi mc tng ca chi ph (ch yu l chi tr li tin gi, nhng khon vay trn th trng tin t, tin lng

nhn vin v phc li). T l thu nhp li bin rng o lng mc chnh lch gia thu t li v chi tr li m ngn hng c th t c thng qua hot ng kim sot cht ch ti sn sinh li v theo ui cc ngun vn c chi ph thp. Tri li t l thu ngoi li bin rng o lng mc chnh lch gia ngun thu ngoi li, ch yu l ngun thu ph t cc dch v vi cc chi ph

ngoi li m ngn hng phi chu (gm tin lng, chi ph sa cha, bo hnh thit b v chi ph tn tht tn dng). Cn thu nhp trn c phiu (EPS) o lng trc tip thu nhp ca cc c ng tnh trn mi c phiu hin hnh

ang lu hnh.

ROA l mt ch tiu ch yu phn nh tnh hiu qu qun l. N ch ra rng kh nng ca hi ng qun tr ngn hng trong qu trnh chuyn ti sn

(2)

(3)

(4)

(5)

(6)

26

ca ngn hng thnh thu nhp rng. ROA c s dng rng ri trong phn tch hiu qu hot ng v nh gi tnh hnh ti chnh ca ngn hng, nu

mc ROA thp c th l kt qu ca mt chnh sch u t hay cho vay khng nng ng hoc c th chi ph hot ng ca ngn hng qu mc.

Ngc li, mc ROA cao thng phn nh kt qu ca hot ng hu hiu, ngn hng c c cu ti sn hp l, c s iu ng linh hot gia cc hng mc trn ti sn trc nhng bin ng ca nn kinh t.

ROE l mt ch tiu o lng t l thu nhp cho cc c ng ca ngn hng. N th hin thu nhp m cc c ng nhn c t vic u t vo ngn hng (tc l chp nhn ri ro hy vng c c thu nhp mc hp l). Ch tiu ny cng c s kh ph bin trong phn tch hiu qu hot ng nhm phn nh hiu qu s dng vn ch s hu.

Ngoi ra, trong nh gi hiu qu hot ng ca ngn hng, cc nh qun tr ngn hng cn xem xt mi quan h gia ch tiu ROA v ROE v trn thc t hai ch tiu ny phn nh s nh i c bn gia ri ro v thu

nhp. Chnh iu ny cho thy mt ngn hng c th c ROA thp nhng vn c th t c ROE kh cao do h s dng n by ti chnh ln.

Nhm ch tiu phn nh thu nhp, chi ph

Vi chin lc ti a ha li nhun, cc ngn hng thng mi thng

nng cao hiu qu hot ng ca mnh bng cch gim chi ph hot ng, tng nng sut lao ng trn c s t ng ha v nng cao trnh nhn vin. Bi vy, cc thc o phn nh tnh hiu qu trong hot ng ca ngn

hng v nng sut lao ng ca nhn vin gm cc ch tiu sau:

* Tng chi ph hot ng/tng thu t hot ng: l mt thc o phn nh mi quan gia u vo (t s) v u ra (mu s) hay ni cch khc n phn nh kh nng b p chi ph trong hot ng ca ngn hng.

27

* Nng sut lao ng (Thu nhp hot ng/S nhn vin lm vic y thi gian): phn nh hiu qu s dng lao ng ca ngn hng.

* Tng thu hot ng/tng ti sn: phn nh hiu qu s dng ti sn. Nu h s ny ln phn nh ngn hng phn b ti sn (danh mc u t) mt cch hp l nhm nng cao li nhun ca ngn hng.

Nhm ch tiu phn nh ri ro ti chnh

Ngoi vic quan tm n vic nng cao gi tr c phiu v y mnh

kh nng sinh li, thng thng trong hot ng ca mnh cc ngn hng thng mi cng thc hin vic kim sot cht ch nhng ri ro m h phi i mt. Trong mt nn kinh t c nhiu bin ng nh hin nay, khin cc nh qun tr ngn hng tp trung nhiu hn vo cng vic kim sot v o

lng ri ro trong hot ng ca ngn hng, l: ri ro tn dng, ri ro thanh khon, ri ro li sut, ri ro ph sn v ri ro thu nhp.

* T l n xu (n xu/tng cho vay v cho thu): ch tiu phn nh cht lng ca tn dng, ch s ny cng nh th hin cht lng tn dng cng cao.

* T l cho vay (cho vay rng/tng ti sn): phn nh phn ti sn c c phn b vo nhng loi ti sn c tnh thanh khon km. Nh vy t l ny cho thy, vic tng cng s dng ngun vn vay rt c th gy ra ri ro thanh khon nu nh nhu cu rt tin ca cng chng tng v cht lng ca cc khon cho vay gim.

* T l gia ti sn nhy cm vi li sut v ngun vn nhy cm vi li sut: khi quy m ti sn nhy cm vi li sut vt qu ngun vn nhy cm vi li sut trong mt thi k nht nh, mt ngn hng c th s ri vo tnh trng bt li v thua l c th xy ra nu li sut gim. Ngc li, khi quy

28

m vn nhy cm vi li sut vt qu ti sn nhy cm vi li sut, thua l chc chn xy ra nu li sut tng.

* T l n by ti chnh (tng ti sn/tng vn ch s hu): ch tiu ny phn nh bao nhiu ng gi tr ti sn c to ra trn c s 1 ng vn ch s hu v ngn hng phi da vo ngun vay n l bao nhiu. Trn thc t cho thy t l ny trung bnh khong trn 15 ln, nhng v vn ch c chc nng b p thua l nn t l ny cng ln th ri ro ph sn ca ngn hng cng cao.

Ngoi cc nhm ch tiu trn, trong phn tch hiu qu hot ng ca cc ngn hng, cc nh qun tr ngn hng cn s dng nhiu h s ti chnh khc nh: tng d n/vn huy ng (phn nh hiu qu u t ca mt ng vn huy ng) hay ch tiu vn huy ng/vn t c (phn nh kh nng v quy m thu ht vn t nn kinh t)...

Nh vy, ti a ha li nhun v en li hiu qu trong hot ng

kinh doanh ca mnh cc ngn hng thng mi cn ch v kim sot hp l cc ch tiu nh: quy m ngn hng (ROA v ROE); kim sot chi ph (chi ph hot ng/ tng thu hot ng); c cu tin gi; n by ti chnh; m rng cc dch v thu ph; tng trng v ti sn, tin gi v cc khon cho vay. Tuy nhin khng nn coi tiu ch tng trng v ti sn, tin gi v cc

khon cho vay nh l mt ch tiu tt cho li nhun v s tng trng qu mc c th dn ti tnh trng mt kh nng kim sot, lm chi ph hot ng nhanh hn tng ngun thu.

Tm li, trong phn tch hot ng kinh doanh ca cc ngn hng thng mi hin nay, th cc t s ti chnh vn c s dng kh ph bin v chng kh n gin v tng i d hiu trong phn tch, tuy nhin chnh mc n gin ca n c th tr thnh vn kh phc tp nu cc nh

qun l c gng a ra mt bc tranh tng th khi kt hp nhiu mt, nhiu

29

kha cnh hot ng khc nhau ca ngn hng. V mi t s ch cho bit hay nh gi mi quan h t l gia hai bin s c th, khng c mt t s no cho chng ta cc kt lun tng qut v tnh trng ca mt ngn hng, do , trong vic nh gi tng quan thc trng ca mt ngn hng cn phi xem xt

mt lot cc ch s. Vic xem xt ng thi hoc vic tng hp cc kt qu phn tch t cc t s khc nhau c th a n nguy c nhm ln trong vic

nh gi hot ng ca cc ngn hng v cc ch s ny ch l nhng ch s phn tch n.

khc phc cc nhc im trong phn tch ca cc h s ti chnh ny gn y cc nh kinh t ng dng phng php phn tch hiu qu bin nh gi hiu qu hot ng ca cc ngn hng, y l mt phng

php mi v hin i n gip chng ta c th nhn thy mt bc tranh tng th trong hot ng ca cc ngn hng. Phn tip theo s trnh by cc phng php ny.

1.1.3.2. Phng php phn tch hiu qu bin: tip cn tham s (SFA) v tip cn phi tham s (DEA)

Bn cnh cnh tip cn truyn thng, hin nay trn th gii cn s dng phng php tip cn phn tch hiu qu bin trong vic nh gi hiu qu hot ng ca ngn hng. Cc ngn hng cung ng mt tp hp phong ph cc sn phm v dch v ti chnh nhng hiu qu thc s hot ng ca h thng ny nh th no th li khng bit. nh gi c hiu qu hot ng ca cc ngn hng cc nh phn tch s dng phng php phn tch hiu qu bin. Phng php ny tnh ton ch s hiu qu tng i da trn vic so snh khong cch ca cc n v (ngn hng) vi mt n v thc hin hot ng tt nht trn bin (bin ny c tnh t tp s liu v trn thc t bin hin qu ton b theo l thuyt l khng bit). Cng c ny cho php ta tnh c ch s hiu qu chung ca tng ngn hng da trn hot ng ca

30

chng v cho php xp hng hiu qu hot ng ca cc ngn hng. Hn na, cch tip cn ny cn cho php cc nh qun l xc nh c thc t hot ng tt nht hin ti trong nh gi h thng ca ngn hng mnh v ng thi cho php cc nh qun l m rng kh nng hot ng thc t tt nht nhng ni c th p dng c v qua ci thin c hiu qu hot ng ton b ca ngn hng.

Phng php phn tch hiu qu bin c th c chia lm hai nhm l cch tip cn tham s v cch tip cn phi tham s. Cch tip cn tham s i hi phi ch nh mt dng hm c th i vi ng bin hiu qu, v c ch nh ca phn phi phi hiu qu hoc sai s ngu nhin. Tuy nhin nu

vic ch nh dng hm sai th kt qu tnh ton s nh hng ngc chiu

n cc ch s hiu qu. Cch tip cn phi tham s khng i hi cc rng buc v hnh dng ca ng bin thc hin tt nht, cng nh khng i hi cc rng buc v phn phi ca cc nhn t phi hiu qu trong s liu nh cch tip cn tham s, tr rng buc cc ch s hiu qu phi nm gia 0 v 1,

v gi s khng c sai s ngu nhin hoc sai s php o trong s liu. Bi vy, y cng chnh l hn ch ca ca phng php phi tham s v phng php ny rt nhy cho nn nu c sai s ngu nhin tn ti trong s liu th chng s nh hng n cc kt qu o lng hiu qu.

(1). Phn tch bin ngu nhin (SFA)_Tip cn tham s (a). c lng hiu qu k thut

Nm 1957, Farell [44] a ra mt o hiu qu k thut phn nh kh nng ca mt n v ra quyt nh (hay mt ngn hng) t c u ra cc i t mt tp hp u vo cho. V thc t ta khng bit c hm sn xut, do vy Farell gi c lng hm ny t s liu mu s dng hoc bng cng ngh tuyn tnh tng khc phi tham s hoc tip cn theo mt hm s. Charnes, Cooper v Rhodes (1978) [34] tip cn theo gi th nht

31

ca Farell v pht trin thnh m hnh DEA . Da trn gi th 2 ca Farell, Aigner v Chu (1968) [4] tip cn phng php tham s bng vic c lng mt hm sn xut ng bin tham s dng Cobb-Douglas s dng s liu trn mt mu N n v ra quyt nh (hay ngn hng). M hnh c nh ngha bi:

ln(yi) =xi - ui ; i = 1, 2, , N (7) Trong ln(yi) l logarit ca u ra (v hng) i vi n v th i; xi

l mt vc t hng (K+1) chiu, phn t th nht ca n bng "1" v cc phn t cn li l nhng logarit ca lng K u vo s dng bi n v th i; = (0, 1, , K)T l vc t ct (K+1) chiu cc tham s cha bit m ta cn c lng; v ui l bin ngu nhin khng m, phn nh phn phi hiu qu k thut trong sn xut ca cc n v trong ngnh.

T s ca u ra quan st i vi n v th i so vi u ra tim nng

xc nh bi hm ng bin vi vct u vo xi cho c dng nh ngha hiu qu k thut ca n v th i:

exp( )exp( )

exp( ) exp( )i i i

i ii i

y x uTE ux x

= = = (8)

o ny c gi tr gia 0 v 1. N cho thy ln tng i ca u ra ca n v th i so vi u ra m mt n v hon ton hiu qu c th sn xut vi cng vc t u vo . Hiu qu k thut c th c c lng

bng t s ca u ra quan st yi trn gi tr c lng ca u ra ng bin

exp(xi). Tuy nhin m hnh hm sn xut bin ni trn khng xt n nh

hng c th c ca cc sai s o v cc nhiu khc i vi ng bin. Tt c nhng im chch khi ng bin c gi thit l do hiu qu k

32

thut khng t c. gii quyt vn "nhiu" cc nh kinh t s dng cch tip cn ng bin ngu nhin.

Vi gi nh hm sn xut dng Cobb-Douglas Aigner, Lovell, v Schmidt (1977) [1]; Meeusen v Van den Broeck (1997) [82]; Battese v Corra (1977) l nhng ngi u tin a ra cch tip cn bin ngu nhin xc nh s ng gp ca tng nhn t u vo trong qu trnh sn xut. Mt

trong nhng hn ch ca cch tip cn bin l gi nh rng cc ngnh u s dng mt loi cng ngh v cng ng bin sn xut. V th, s khc bit trong sn xut ca cc ngnh ch yu l do vn con ngi trong qun l hoc do s khc bit v cng ngh. Aigner v cng s (1977) lp lun rng, c th c mt s nhn t phi hiu qu k thut mang tnh ngu nhin tc

ng n mc sn lng, v d chnh sch ca chnh quyn trung ng v a phng, hoc yu t thi tit. Do vy, b phn sai s ca m hnh c th c tch thnh hai: mt phn i din cho phn phi ngu nhin i xng nhng khng quan st c (v), v b phn kia l nhiu ngu nhin do phi hiu qu k thut (u) gy ra. Nh vy, m hnh hm sn xut bin nhiu ngu nhin c vit nh sau: Ln(y) = xi + vi - ui (9)

Trong vi c phn phi ng nht vi trung bnh bng khng v

phng sai 2v, ui c phn phi ng nht vi trung bnh bng khng v

phng sai 2u, ui v vi c lp vi nhau v c lp vi cc bin hi quy.

Nhng nt c bn ca m hnh ng bin ngu nhin c minh ho trong khng gian hai chiu trong th 1.1. Cc u vo c biu din trn trc honh v cc u ra trn trc tung. Thnh phn tt nh ca m hnh

ng bin, y = exp(xi), c v vi gi thit c hiu xut gim dn theo quy m. Cc u ra v u vo quan st i vi hai ngn hng i v j c biu din trn th. Ngn hng i s dng mc u vo xi sn xut u ra yi. Gi tr u vo-u ra quan st c ch ra bi im c nh du pha

33

trn gi tr ca xi. Gi tr ca u ra ng bin ngu nhin exp( )i i iy x v + c nh du bi im pha trn hm sn xut bi v sai s ngu nhin l

dng. Tng t, ngn hng j s dng mc u vo xj v sn xut mc u ra yj. Tuy nhin, u ra ng bin * exp( )j j jy x v + pha di hm sn xut bi v sai s ngu nhin vj m. Tt nhin, cc u ra ng bin ngu nhin

iy v jy khng quan st c v cc sai s ngu nhin khng th quan st

c.

th 1.1. Hm sn xut bin ngu nhin

Tuy nhin, ta thy phn tt nh ca m hnh ng bin ngu nhin nm gia cc u ra ng bin ngu nhin. Cc u ra quan st c th ln hn phn tt nh ca ng bin nu cc sai s ngu nhin ln hn nhng

nh hng khng hiu qu tng ng (ngha l yi > exp(xi) nu vi > ui). M hnh ng bin ngu nhin ny cho php c lng cc sai s tiu

chun v kim nh cc gi thit s dng cc phng php hp l cc i truyn thng, m cc m hm sn xut bin khng th thc hin. Li gii c

bin u ra exp(xi+vi), nu vi > 0

bin u ra exp(xj+vj), nu vj < 0

hm sn xut, y=exp(x)

y

yj

yi

xi xj x

34

th ca bi ton c lng hiu qu k thut cho mi ngn hng c trnh by trong ph lc 1, v sau khi gii bi ton ny kt qu c lng hiu qu k thut cho mi ngn hng thu c di dng:

{ }( ) ( )( )2* * *

* *

* *

1 1exp .exp

1 2i

i i i ii

TE E u

= = +

(10)

Cc kim nh la chn dng hm, phn phi nhiu, c hoc khng c phi hiu qu k thut

Kim nh t s hp l tng qut mt pha thc hin cc kim nh thng k nhm la chn m hnh c

lng hiu qu bin ngu nhin ph hp vi tp s liu chng ta s dng cc gi tr ca cc t s hp l thu c t vic c lng cc m hnh kim nh. Sau khi xc nh c dng hm, bc tip theo l thc hin mt s kim nh khc nh dng hm va xc nh c tnh hiu qu khng i theo quy m hay khng, phn phi ca nhiu phi hiu qu...

Thng k kim nh c s dng l Kim nh t s hp l tng qut: LR (hoc)= -2{ln[L(H0)/L(H1)]} = -2{ln[L(H0)] - ln[L(H1)]} (11)

Trong L(H0) l gi tr lga hp l trong m hnh b rng buc, v n c coi l gi thuyt gc H0; v L= (H1) l gi tr lga ca hm hp l trong m hnh bin tng qut, v c coi l gi thuyt i H1. Thng k kim nh

ny thng c gi thit l c phn phi tim cn 2 vi bc t do bng s rng buc lin quan hoc bng chnh lch gia cc tham s tng ng trong gi thuyt gc v gi thuyt i.

Nu gi tr ca thng k kim nh LR ln hn gi tr ti hn1 th bc b H0.

1 Gi tr ti hn c ly t bng ca Kodde v Palm (1986). Xem ph lc 3.

35

Kim nh dng hm

Trong vic la chn hm sn xut bin ngu nhin thng c 3 dng hm c a vo tp hp cc dng hm la chn l hm sn xut bin ngu nhin dng Cobb-Douglas, CES v lga siu vit. Th d trong trng hp c 1 u ra yit l gi tr gia tng hoc doanh thu ca ngn hng i thi gian t , Lit v Kit l lao ng v vn ca ca ngn hng i nm t tng ng th:

Hm sn xut bin Cobb-Douglas c dng:

( )0ln ln lnit L it K it it ity L K v u = + + + (12) Hm sn xut bin lga siu vit c dng:

( ) ( )( ) ( ) ( )

2 20

1 1ln ln ln ln ln2 2

ln ln

it L it K it LL it KK it

LK it it it it

y L K L K

L K v u

= + + + +

+ + (13)

Trong : Lnyit l lga t nhin ca gi tr gia tng hoc doanh thu ca ngn hng i nm t; LnKit l lga t nhin ca vn rng ca ngn hng i nm t; (LnKit)2 l bnh phng lga t nhin ca vn rng ca ngn hng i nm t; LnLit l lga t nhin ca lao ng ca ngn hng i nm t; (LnLit)2 l bnh phng ca lga t nhin ca lao ng ca ngn hng i nm t; (LnLit)(LnKit) l tch lga t nhin ca lao ng v vn ca ngn hng i nm t. Trc ht chng ta phi thc hin kim nh la chn dng hm, th tc ln lt nh sau:

Gi thit H0 l Hm sn xut Cobb-Douglas l thch hp vi tp s liu,

ngha l H0: LL=KK =LK =0. Thng k kim nh l thng k tun theo phn phi Khi bnh phng hn hp (2) vi 3 bc t do. Nu ln hn cc gi tr ti hn vi mc ngha mong mun (1% hoc 5%) th gi thit H0 b bc b. Ngc li ta chp nhn hm lga siu vit.

36

Gi thit H0: khng c phi hiu qu k thut

Gi thit H0 th hai l gi thit rng khng c phi hiu qu k thut. y cn lu vic xc nh gi tr ca L(H0), gi tr ca hm hp l tng ng di gi thit H0. L(H0) chnh l gi tr ca hm hp l ng vi c lng OLS. Thng k kim nh l thng k tun theo phn phi Khi bnh phng hn hp (2) vi 3 bc t do. Nu ln hn cc gi tr ti hn vi c mc ngha mong mun (1% hoc 5%) th gi thit H0 b bc b ngha l c tn ti phi hiu qu k thut do nu s dng OLS c lng s chch. Ngc li ta chp nhn khng c phi hiu qu k thut, khi th tc c

lng OLS l ph hp.

Gi thit H0: phn phi ca nhiu phi hiu qu

Gi thit H0 th ba l gi thit rng nhiu tun theo bn chun. Thng

k kim nh l thng k tun theo phn phi Khi bnh phng hn hp (2) vi 1 bc t do. Nu ln hn cc gi tr ti hn vi mc ngha mong mun (1% hoc 5%) th thit H0 b bc b ngha l phn phi ca nhiu phi hiu qu khng c dng bn chun. Ngc li ta chp nhn nhiu phi hiu qu c dng bn chun.

Gi thit H0: phi hiu qu k thut khng bt bin theo thi gian

Gi thit H0 th su l gi thit rng phi hiu qu k thut khng bt

bin theo thi gian. Thng k kim nh l thng k tun theo phn phi Khi bnh phng hn hp (2) vi 1 bc t do. Nu ln hn cc gi tr ti hn vi c mc ngha mong mun (1% hoc 5%) th thit H0 b bc b ngha phi hiu qu k thut bt bin theo thi gian. Ngc li ta chp nhn nhiu phi hiu qu k thut khng bt bin theo thi gian..

37

(b). c lng hiu qu chi ph

Thc t hm chi ph v hm sn xut biu hin cng mt cng ngh. Do cng c th c lng cc o hiu qu ca cc ngn hng bng vic s dng m hnh hm chi ph bin ngu nhin:

LnCi = LnC(yi, wi, ) + i i = 1, ..., n (14) i = vi + ui (15)

Trong Ci l tng chi ph ca ngn hng i, yi l vc t u ra ca ngn

hng i, wi l vc t gi u vo, l cc tham s c c lng, vi phn nh nhng tc ng ca cc nhn t nm ngoi tm kim sot ca ngn hng, trong khi ui phn nh nhng tc ng nhiu do chnh hot ng bn trong ca ngn hng gy ra v y chnh l b phn phn nh nhng tc ng ca phi hiu qu k thut.

Nh vy, hm chi ph bin ngu nhin c dng C(yi, wi,)exp(vi) c bin i t m hnh hm chi ph bin ban u C(yi, wi, ) c tnh cht l nhiu ui i din cho b phn phi hiu qu k thut lm gia tng chi ph sn xut, trong khi nhiu t sai s thng k vi khng nh hng n chi ph sn xut.

V vy cng ging nh hm sn xut bin, ui c gi tr tuyt i v c phn

phi chun vi trung bnh bng 0 v phng sai l 2u ; vi c phn phi chun

vi trung bnh bng khng v phng sai 2v ; vi v ui c gi nh l c lp

vi nhau. Li gii ca bi ton c lng hiu qu chi ph cho mi ngn hng xem ph lc 2, sau khi gii bi ton ny th hiu qu chi ph c lng c cho mi ngn hng thu c di dng:

{ }( ) ( )( )*

2* * ** **

* *

1 1exp .exp

1 2i

i i i ii

FCE E u

F

= = +

(16)

38

Ch nh m hnh hm chi ph bin ngu nhin

Vic la chn dng hm chi ph bin lnC(yi, wi, ) c da trn nguyn l ca kinh t vi m l chi ph sn xut ph thuc vo gi u vo mc sn lng u ra. o lng hiu qu ca cc ngn hng, hm chi ph bin ngu nhin l ga siu vit l dng hm c lu chn nhiu nht (Christensen, Jorgenson, v Lau, 1973 [36]). Dng hm ny thng c la chn bi v n l mt dng hm kh mm do do n khng nht thit phi a ra cc rng buc i vi cc kh nng c th thay th trong s cc nhn t sn xut v v vy n cho php xc nh c tnh kinh t theo quy m v tnh phi kinh t theo quy m cc mc sn lng khc nhau. iu ny c ngha l,

dng hm siu vit c th c lng ng chi ph c dng ch U nu mt khi chng ta c s liu bi v trong hm siu vit c nhng phn t phn nh mi quan h ca sn lng vi chi ph l bc nht, ging nh hm Cobb-Douglas, nhng cng c nhng phn t phn nh quan h ca sn lng vi

chi ph l bc hai. Nu ng chi ph c dng ch U c c lng th n s cho bit tnh kinh t nh quy m cc ngn hng nh hn v tnh phi kinh t nh quy m cc ngn hng ln hn. Tuy nhin, khng ging hm hm Cobb-Douglas, dng hm ton phng ny cn cho bit s bin thin ca tnh

kinh t theo quy m gia cc quy m khc nhau ca cc ngn hng .

Hm chi ph l ga siu vit ca n u ra (yi), v m u vo (wi) c th biu din nh sau :

0 j1 1

j l j j

1ln ln ln w ln ln2

1 ln w ln w ln ln w2

n m n n

i i j ik i ki j i k

m m n m

jl ijj l i j

C y b s y y

g d y u v

= =

= + + +

+ + + +

(17)

39

Trong : lnC l lga ca tng chi ph, lnyi l lga ca u ra th i

(i=1,...,n) ; lnwj l lga ca gi u vo th j (j=1,...,m); v N(0, 2v ) v u N(0, 2

u ) ; , b, s, g v d l cc h s c lng c.

Trc khi tnh ton bt k mt o hiu qu no da trn hm cho ph bin ngu nhin trn i hi chng ta phi kim nh y cc rng buc ca hm chi ph (1) n iu tng, (2) thun nht bc mt v (3) lm. m bo tnh n iu tng ca hm chi ph th tnh i xng phi c tha mn l sik = ski vi mi i v k v gjl = glj vi mi j v l. Tuy nhin vi cc hm chi ph cn i hi tnh thun nht bc mt theo gi ca cc u vo m bo i ngu vi hm sn xut. Nu gi ca tt c cc u vo tng gp i th gi ca cc u ra cng tng gp i. V mt ton hc chng c biu din bng tng cc h s co gin ca tng chi ph vi gi ca tng nhn t v tng ny phi bng 1 :

1 2

ln ln ln... 1

ln ln lnm

C C Cw w w

+ + + = (18)

Nh vy, iu kin cn v hm chi ph l thun nht bc mt theo gi nhn t l :

1m

jb = , 0m

jlg = vi mi l v 0m

ijd = vi mi i (19)

Nhng rng buc ny gip gim s cc h s cn phi c lng xung cn (n+m+1)(n+m)/2. V d nu xt m hnh hm chi ph bin ngu nhin vi 2 u ra v 3 u vo th cc rng buc ca m hnh l:

- n iu tng:

12 21, 12 21, 13 31s s g g g g= = = (20)

- Thun nht tuyn tnh:

40

1 2 3

11 12 13 21 22 23 31 32 33

11 12 13 21 22 23 31 32 33

10, 0, 0,0, 0, 0,

b b bg g g g g g g g gd d d d d d d d d

+ + =

+ + = + + = + + =

+ + = + + = + + = (21)

Tnh kinh t theo quy m v phi hiu qu k thut

Da trn m hnh c lng c, tnh kinh t theo quy m v phi hiu

qu k thut s c tnh ton. Tnh kinh t theo quy m trong cc ngn hng

c tnh bng nghch o ca h s co gin ca chi ph i vi u ra. i vi hm chi ph bin ngu nhin siu vit th cc h s co gin l :

i

ln ( , ) ln lnln

n m

i ik k ij jk j

C y ws y s w

y

= + +

(22)

V chng ta s biu din tnh kinh t nh quy m nh sau:

1

1 i

ln ( , )( , )ln

n C y wSC y wy

= (23)

Nh vy, tng theo quy m (tnh kinh t theo quy m) xut hin nu SE>1, gim theo quy m (tnh phi kinh t theo quy m) nu SE1 ti mc sn lng thp, sau gi tr s gim xung SE=1 ti mc sn lng c chi ph ti thiu thp nht v tip tc gim n SE

41

l (2/pi)1/2u v y chnh l gi tr c lng c (2/pi)1/2 u , trong u l c lng ca u. Khi phn phi ca c lng hp l cc i c bit chng ta c th tnh sai s chun xp x ca (2/pi)1/2 u . Theo Jondron, Lovell, Materov v Schmidt (1982) [66], c lng phi hiu qu k thut (u) ca mt ngn hng c th c th c tnh bng vic s dng phn phi ca s hng phi hiu qu (ui) di iu kin c lng s hng sai s tng th c hnh thnh ( i ). Chng ta c th s dng hoc gi tr trung bnh hoc gi tr mt ca phn phi c iu kin nh l mt c lng ca ui.

Tm li, vi cch tip cn bin ngu nhin cho php xc nh c hiu qu k thut v phi hiu qu k thut cho tng ngn hng bng cch phn r b phn sai s ca m hnh bin thnh nhiu ngu nhin khng quan st c v b phn nhiu ngu nhin do phi hiu qu k thut gy ra. Tuy nhin, cch tip cn ny i hi phi ch nh c mt dng hm c th v phn phi ca nhiu phi hiu qu, nu vic ch nh dng hm ny khng ng s nh hng n cc ch s hiu qu c lng c. ng thi, cch tip cn ny i hi ngi s dng phi c mt s kin thc nht nh v ton hc, bi vy mc d y l mt phng php phn tch hin i nhng hu nh cn t c s dng trong phn tch Vit Nam ni chung v p dng trong phn tch ni ring cho h thng ngn hng.

(2). Phn tch bao d liu (DEA)_ Tip cn phi tham s DEA (Data Envelopment Analysis) l mt k thut quy hoch tuyn

tnh nh gi mt n v ra quyt nh (DMU, hoc ngn hng) hot ng tng i so vi cc ngn hng khc trong mu nh th no. K thut ny to ra mt tp hp bin cc ngn hng hiu qu v so snh n vi cc ngn hng khng hiu qu o c o hiu qu. Khc vi SFA th DEA khng i

42

hi xc nh dng hm i vi bin hiu qu v cho php kt hp nhiu u vo v nhiu u ra trong vic tnh cc o hiu qu.

Trong cc ngnh hot ng dch v phc tp nh ngnh ngn hng c rt nhiu mi quan h gia cc u vo- u ra l khng xc nh, c bit khi chng ta xem xt mi quan h ng thi ca nhiu u vo, nhiu u ra. Trong khi phng php tip cn tham s i hi phi ch nh c th mi

quan h hay dng hm gia u vo-u ra, v iu ny c th cho nhng kt lun sai nu vic ch nh dng hm l khng ng.

DEA cho php xc nh hiu qu tng i ca cc n v hot ng trong mt h thng phc tp. Theo DEA th mt n v hot ng tt nht s

c ch s hiu qu l 1, trong khi ch s ca cc n v phi hiu qu c

tnh bng vic chiu cc n v phi hiu qu ln trn bin hiu qu. i vi mi n v phi hiu qu, DEA u a ra mt tp cc im chun ca cc n v khc gi tr ca n v c nh gi c th so snh c, bi vy nhng thng tin thu c qua phn tch DEA rt c ch cho cc nh qun l trong vic nhn din c thc t hot ng ca n v mnh nh th no so vi cc n v khc, t tp trung vo ci thin hot ng ca cc n v phi hiu qu, v xc lp cc mc tiu cn phi ci thin.

a) Cc o hiu qu k thut (TE), hiu qu phn b (AE) v hiu qu chi ph (CE)hay hiu qu kinh t

o hiu qu u tin c Farell gii thiu vo nm 1957, ng da trn nghin cu ca Debreu (1951) v Kopmans (1951) nh ngha mt o n gin hiu qu ca ngn hng c th tnh n nhiu u vo.

ng cho rng hiu qu ca mt ngn hng gm hai thnh phn: hiu qu k thut (TE) v hiu qu phn b [(AE), phn nh kh nng ca ngn hng s dng cc u vo theo cc t l ti u, khi gi c tng ng ca chng bit]. Khi kt hp hai o ny cho ta o hiu qu kinh t (CE).

43

0 A

Q R Q

P

S

S

x1/y

x2/y

A

Farell minh ha nhng tng ca mnh bng vic s dng mt v d n gin bao gm cc ngn hng s dng hai u vo (x1 v x2) sn xut mt u ra (y), vi gi thit hiu qu khng i theo quy m. ng ng lng n v ca ngn hng hiu qu ton b, c biu din bng ng SS trong th 1.2, cho php o hiu qu k thut.

th 1.2. Hiu qu k thut v Hiu qu phn phi

Nu mt ngn hng cho s dng cc lng u vo, xc nh ti im P, sn xut mt n v u ra, th phi hiu qu k thut ca ngn

hng c xc nh bi khong cch QP, l lng m tt c cc u vo c th gim i mt cch t l m khng lm gim u ra. Mc khng hiu qu ny thng c biu din theo phn trm v bng t s QP/0P, biu th t l phn trm m tt c cc u vo c th gim. Hiu qu k thut (TE) ca ngn hng thng c o bng t s:

TEi = 0Q/0P, (24)

N bng 1 tr i QP/0P. N s nhn mt gi tr gia 0 v 1, v v vy cho ta mt o v mc khng hiu qu k thut ca ngn hng. Khi TE

c gi tr bng 1 ch rng ngn hng hiu qu k thut ton b. Th d, im Q l hiu qu k thut v n nm trn ng ng lng hiu qu.

44

0 x1/y

S

S x2/y

T s gi u vo c biu th bng ng ng ph AA, cho php chng ta tnh c hiu qu phn b. Hiu qu phn b (AE) ca ngn hng hot ng ti P c nh ngha bi t s: AEi = 0R/0Q (25)

Khong cch RQ biu th lng gim trong chi ph sn xut, nu sn xut din ra ti im hiu qu phn b (v hiu qu k thut) Q, thay v ti im hiu qu k thut, nhng khng hiu qu phn b Q.

Hiu qu kinh t ton phn (CE) c nh ngha l t s: CEi = 0R/0P y khong cch RP cng c th c din gii v mt gim chi ph. Lu rng tch ca hiu qu k thut v hiu qu phn b cho hiu qu kinh t

chung: TEiAEi = (0Q/0P)(0R/0Q) = (0R/0P) = CEi (26)

Ch rng tt c ba o b chn gia 0 v 1. Tuy nhin trn thc t, chng ta khng th c ng ng lng hiu qu nh th 1.2. Bi v, c c ng ng lng hiu qu chng ta phi c lng t s liu mu, do Farell gi s dng mt ng ng lng li tuyn tnh tng khc phi tham s nh th 1.3 c xy dng sao cho khng c im quan st no nm bn tri hoc pha di n

th 1.3. ng ng lng li tuyn tnh tng khc

45

b) Hiu qu quy m Vic p dng k thut quy hoch tuyn tnh xc nh hiu qu k

thut c bt ngun t Charnes, Cooper v Rhodes (1978) [34]. Fare, Grosskopf v Lowell (1985) [43] phn r hiu qu k thut thnh hiu qu theo quy m v cc thnh phn khc. c c nhng kt qu c tnh ring bit v hiu qu quy m, cc thc o hiu qu k thut nh hng u vo tho mn ba loi hnh vi quy m khc nhau c xc nh r l: hiu qu khng i theo quy m (CRS), hiu qu khng tng theo quy m (NRS), v hiu qu bin i theo quy m (VRS). Ba loi bi ton quy hoch tuyn tnh ny c ch nh di y. Mi bi ton quy hoch tuyn tnh phi c gii mt cch ring r vi mi ngn hng sn xut trong c s d liu.

Vi gi thit l c N ngn hng trong h thng ngn hng, m u ra, n u vo th ch s hiu qu ca mi ngn hng c tnh nh sau:

s

1 1e / , 1,... ; 1,..., .

m n

i is j jsi j

u y v x i m j n= =

= = = (27)

Trong yis l lng u ra th i ca ngn hng th s, xjs l lng u vo th j c ngn hng th s s dng, ui l trng s ca u ra v vj l trng s ca u vo. T l (es) sau c cc i ha la chn cc trng s ti u, vi rng buc:

1 1/ 1, 1,..., .

0; 0

m n

i ir j jri j

i i

u y v x r N

u v

= =

=

(28)

Rng buc th nht bo m o hiu qu ln nht bng 1 v rng buc th hai m bo cc trng ca u vo, u ra khng m. Tuy nhin vn gp phi ca bi ton trn l n tn ti v s nghim.

46

khc phc vn ny Charnes, Cooper v Rhodes (1978) [34] a thm rng buc:

11

n

j jsj

v x=

= (29)

Nh vy bi ton trn c th bin i thnh bi ton quy hoch tuyn tnh nh sau:

su,v 1

Max em

i isi

u y=

= (30)

Vi rng buc:

1

1 1

1

0, 1,...,

0; 0; ,

n

j jsjm n

i is j jri j

i i

v x

u y v x r N

u v i j

=

= =

=

=

(31)

Tng t, bi ton trn cng th bin i thnh

,

M sin (32) Vi rng buc:

1

1

, 1,...,

0, 1,...,

0;

N

r ir isr

N

s js r irr

r

y y i m

x x j n

r

=

=

=

=

(33)

Trong s l o hiu qu k thut ton b ca ngn hng th s, vi gi tr bng 1 khi n nm trn ng bin. Bi ton (30) v (32) gi nh c hiu qu khng i theo quy m (CRS), m li gii chnh l bin OC c

47

minh ha trong th 1.4 v v vy, theo nh ngha ca Farrell v mt l thuyt cc ngn hng nm trn ng bin l hiu qu ngha l vi tp hp quan st hin ti cho trc, khng th ci thin i vi kt qu hot ng ny ca cc ngn hng . Gi s ngn hng th s nm bn phi ng bin ti im S th ngn hng ny hot ng l khng hiu qu iu ny ng rng mt ngn hng ang hot ng khng hiu qu v vi tp hp quan st c

hin ti cho trc, cc ngn hng ny c th ci thin nng sut cc yu t u vo so vi ngn hng hot ng hiu qu nht (nm trn ng bin). Hiu qu k thut ton b (s) c xc nh bng t l AQ/AS v v vy ngn hng th s c th gim (1-s) u ra c th t c im hiu qu Q.

th 1.4. ng bin CRS (OC), VRS (VBV') v NIRS (OBV')

Do gi nh CRS ch ph hp vi iu kin khi tt c cc ngn hng trong mu ang hot ng mt quy m ti u. Tuy nhin trn thc t cho

thy, i khi s cnh tranh l khng hon ho, cc ngn hng b rng buc v mt ti chnh...c th lm cho cc ngn hng hot ng khng mc quy m ti u. Do khi bi ton (30) v (32) c gii vi rng buc:

r

1 1

N

r

=

= (34)

x V 0

A Q R S

V

C y

B S'

48

Th ta c thm ch tiu o hiu qu na l hiu qu bin i theo quy m VRS [10] (ng VV) v hiu qu k thut thun, vi ngn hng th s v ti im S th hiu qu thun c tnh bng AR/AS= s v hiu qu quy m c tnh bng s=s/s. Nu gi tr ny bng 1, th ngn hng c hiu qu v quy m. iu ny c ngha l ngn hng hot ng vi quy m ti u ca

n v do nng sut ca cc u vo khng th c ci thin bng cch tng hoc gim quy m sn xut. Nu gi tr ca t s ny nh hn 1, th kt qu ch ra rng ngn hng ang hot ng vi quy m khng ti u. Nh vy,

t l u ra mt i do phi hiu qu quy m c th xc nh bng: (1-s).

Hiu qu quy m bng 1 khi v ch khi cng ngh biu th l CRS hoc t im B trong th 1.4 Tuy nhin, phi hiu qu v mt quy m c th tn ti trong iu kin hiu sut tng (IRS) hoc gim (DRS) theo quy m. c c 2 kt qu ny, i hi phi gii bi ton (30) v (32) vi rng buc:

r

1 1

N

r

=

(35)

Lc ny li gii ca bi ton chnh l ng OBV c biu din trong th 1.4 cn c gi l hiu qu khng tng theo quy m (NIRS). Nh vy, hiu qu NIRS TE ca ngn hng th s ti im S l s =AQ/AS = s. Do DRS tn ti khi s = s (nh trng hp S') iu ny ng rng quy m ca ngn hng qu ln v ngn hng c th ci thin nng sut cc yu t

u vo v theo gim cc chi ph n v bng cch gim quy m. IRS xut

hin khi s s (nh trng hp im S), iu ny c ngha l bng cch tng quy m hot ng, ngn hng c th ci thin nng sut cc yu t u vo v

do gim cc chi ph n v. Hiu qu ton b t c khi s = s = s = 1. Nh vy, qua m hnh DEA cho thy c hai ngun gy ra tnh khng

hiu qu v mt k thut. Th nht l tnh khng hiu qu v quy m. Th hai

49

l tnh khng hiu qu v k thut thun. Nu khng c nhng khc bit v mi trng v cc sai s trong vic xc nh cc yu t u vo v cc sn

phm u ra, tnh khng hiu qu v k thut thun s phn nh s chch hng khi vic qun l so vi ngn hng hiu qu tt nht. Do kt qu ca DEA bao gm cc thc o hiu qu quy m ca mi ngn hng, hiu qu k thut thun, hiu qu k thut ton b v xc nh mc chun thc t hot ng tt nht trong nh gi hiu qu ngn hng.

c) Ch s Malmquist v o lng thay i nng sut nhn t tng hp K thut quy hoch trong phng php tip cn phi tham s l mt

trong nhng cng c kh mnh c s dng o lng cc ch s Malmquist l cc ch s phn nh s thay i ca cc o hiu qu k

thut, tin b cng ngh, hiu qu thun, hiu qu quy m v nng sut nhn t tng hp.

xc nh ch s Malmquist v thay i nng sut theo u ra, chng

ta gi thit rng tng ng vi mi thi k t = 1,, T c cng ngh sn xut

Ht biu th cch kt hp tt c u ra yt c th c sn xut bng cch s dng u vo xt, tc l:

Ht = [(xt, yt):xt c th sn xut yt] (36)

Gi nh rng Ht tho mn mt s tiu chun nht nh xc nh hm khong cch u ra. Hm khong cch u ra c xc nh theo Ht trong thi k t nh sau:

0 ( , )t t tD x y = inf { :(xt, yt/) Ht} (37)

Hm khong cch 0 ( , ) 1t t tD x y khi v ch khi (x,y) H. Hn na

0 ( , ) 1t t tD x y = khi v ch khi (x, y) nm trong bin ca cng ngh. xc nh ch s Malmquist, chng ta cn m t bn hm khong cch nh sau:

50

0 ( , )t t tD x y v 1 1 10 ( , )t t tD x y+ + + tng ng l hm khong cch theo cc

im sn xut c so snh vi cng ngh bin ti thi im t v t+1.

1 10 ( , )t t tD x y+ + v 10 ( , )t t tD x y+ l hm khong cch u ra theo im sn

xut c so snh vi cng ngh bin ti cc thi im khc nhau.

Theo Caves, Christensen v Diewert (1982) [29], ch s nng sut Malmquist theo u ra c xc nh nh sau:

1 10

00

( , )( , )

t t tt

t t t

D x yMD x y

+ +

= (38)

Trong M0t o s thay i nng sut bt ngun t s thay i trong hiu qu k thut trong thi k t ti t+1 vi cng ngh thi k t+1 c cho

nh sau:

1 1 11 0

0 10

( , )( , )

t t tt

t t t

D x yMD x y

+ + ++

+= (39)

trnh chn ngng chun mt cch tu tin, chng ta s ch nh ch s thay i nng sut Malmquist theo u ra l gi tr trung bnh nhn ca hai loi ch s nng sut Malmquist ni trn:

1 1 1 1 11 1 0 0

0 10 0

( , ) ( , )( , , , ) ( , ) ( , )t t t t t t

t t t tt t t t t t

D x y D x yM x y x yD x y D x y

+ + + + ++ +

+

=

(40)

Ch s thay i nng sut Malmquist theo u ra c th c phn r

thnh:

1 1 1 1 11 1 0 0 0

0 1 1 1 10 0 0

( , ) ( , ) ( , )( , , , ) ( , ) ( , ) ( , )t t t t t t t t t

t t t tt t t t t t t t t

D x y D x y D x yM x y x yD x y D x y D x y

+ + + + ++ +

+ + + +

=

(41)

Trong , s hng th nht v phi 1 1 1

0

0

( , )( , )

t t t

t t t

D x yD x y

+ + +

o s thay i

hiu qu tng i gia nm t v t+1 trong iu kin hiu qu khng i theo

51

quy m. S hng th hai v phi l 1 1

0 01 1 1 1

0 0

( , ) ( , )( , ) ( , )

t t t t t t

t t t t t t

D x y D x yD x y D x y

+ +

+ + + +

th hin

ch s thay i k thut, tc l s thay i cng ngh bin gia hai thi k t v t+1, c nh gi ti xt v xt+1, nh vy ta c:

TE1 1 1

0

0

( , )( , )

t t t

t t t

D x yD x y

+ + +

= (42)

TC 1 1

0 01 1 1 1

0 0

( , ) ( , )( , ) ( , )

t t t t t t

t t t t t t

D x y D x yD x y D x y

+ +

+ + + +

=

(43)

Tng nng sut s biu th bng ch s Malmquist ln hn 1. Nng sut gim s gn vi vic ch s Malmquist nh hn 1. Ngoi ra, vic tng ln

trong mi b phn ca ch s Malmquist s dn ti vic gi tr ca b phn ln hn 1. Theo nh ngha, tch s ca thay i hiu qu v thay i k thut s bng ch s Malmquist, nhng thnh phn ny c th thay i ngc chiu nhau.

d) La chn cc bin u vo, u vo c lng cc o hiu qu cho cc Ngn hng thng mi trong m hnh DEA

c im ni bt trong hot ng ca ngnh ngn hng l ngnh dch v c nhiu u vo v nhiu u ra, bi vy iu quan tm l lm th no ch nh c cc u ra v cc u vo ca cc ngn hng mt cch hp l. Trn thc t hin nay cho thy cng cha c mt l thuyt hoc mt nh ngha no hon chnh, r rng v vic xc nh cc u vo v u ra ca ngn hng. Chnh iu ny lm ny sinh hai vn ln trong nhiu nghin cu l lin quan n vai tr ca tin gi khi no n l u vo khi no n

l u ra v cc u vo, u ra nn c o bng lng hay n v tin t. Kt qu l trong cc nghin cu v hiu qu hot ng ca cc ngn hng hin nay trn th gii ngi ta a ra nm cch tip cn trong vic xc nh cc bin u vo v u ra ca mt ngn hng, c th l:

52

Cch tip cn sn xut: ch nhiu n hiu qu k thut ca cc t chc ti chnh, coi hot ng ca ngn hng vi t cch l nh cung cp cc

dch v. Bi vy, tin gi c coi nh l u ra v chi tr li tin gi khng nm trong tng chi ph ca ngn hng (Ferrier v Lovell, 1990 [46]). Theo cch tip cn ny u vo v u ra c ly l n v lng (s lng ti khon, quy trnh giao dch...).

Cch tip cn trung gian: da trn quan im cho rng cc ngn hng l cc t chc ti chnh huy ng v phn b cc ngun vn cho vay v cc ti sn khc; bi vy cc khon tin gi c coi nh l u vo v chi tr li l mt b phn ca tng chi ph hot ng ca ngn hng.

Cch tip cn ti sn: khc bit vi cch tip cn trung gian l ch n coi cc ti sn n l u vo v cc ti sn c l u ra.

Cch tip cn gi tr gia tng: coi bt k khon mc no trong bng cn i k ton l u ra nu n thu ht tng ng phn ng gp ca lao

ng v t bn, ngc li th n c coi l u vo. Theo cch tip cn ny tin gi c coi l u ra bi v hm rng n to ra gi tr gia tng

Cch tip cn chi ph s dng coi s ng gp rng vo doanh thu ca ngn hng c nh ngha l cc u ra v u vo; do trong trng hp ny tin gi li c coi l u ra.

Tm li, cn c theo s liu thu thp c v thc t hot ng ca ngn hng m la chn cch tip cn ph hp chn c cc bin u vo v cc bin u ra tt nht, ph hp nht cho vic o lng cc o hiu qu hot ng ca NHTM,

53

1.1.3.3. M hnh phn tch cc nhn t nh hng n hiu qu hot ng ca ngn hng thng mi

Sau khi c lng c cc do hiu qu, m hnh hi quy Tobit c s dng phn tch cc nhn t tc ng n cc o hiu qu ny (v nu s dng hi quy OLS - c lng bnh phng b nht - c th lm cho cc c lng ca cc tham s b chch).

M hnh hi quy Tobit c Tobin gii thiu ln u tin vo nm 1958, v m hnh ny cn c gi l m hnh Tobin probit hoc m hnh hi quy chun b ct ct. y l mt m hnh hi quy tuyn tnh vi bin ph thuc l mt bin ngm lng phn m trong mt s quan st ca bin ngm b mt khi bin ngm trn hoc di mt ngng nht nh, bin nh vy gi l bin ct ct v hi quy vi nhng bin nh vy gi l hi quy ct ct. V mt l thuyt, m hnh Tobin chun c th c nh ngha vi mt mu gm i ngn hng nh sau:

* '

i i iy x = + (44)

*

i iy y= nu * ' 0i i iy x = + > , v (45)

0iy = nu * ' 0i i iy x = + (46)

Trong xi v l vct cc bin gii thch v cc tham s cha bit cn tm, *iy l bin ngm hay bin ct ct, iy l o hiu qu ca ngn hng

th i (b gii hn trong on ln hn 0 v nh hn v bng 1).

Da trn gi tr yi v xi ca cc quan st gm i ngn hng, hm hp l (L) c cc i ha tm gi tr ca v nh sau:

2 2i[1/(2 )](y )

2 1/ 20 0

1(1 ) (2 )i

i i

x

iy y

L F e

= >

= (47)

54

Trong 2/ / 2

1/ 21

(2 )ix t

iF e dt

=

(48)

S hng th nht ca hm L l s cc quan st phn nh cc ngn hng l t hiu qu ton b v s hng th hai l s cc quan st phn nh cc ngn hng c phi hiu qu v Fi l hm phn phi ca gi tr c chun

chun ha ti ' /ix . Tuy nhin, v mt thc nghim m hnh Tobit c th c vit li n

gin nh phng trnh di y:

01 1

n m

it j jit j jitj j

D Z = =

= + + (49)

Trong , it l hiu qu k thut ca ngn hng i ti nm t c c lng c bng phng php DEA hoc SFA; Djit l bin gi (nh loi hnh ngn hng...) v Zjit l cc bin phn nh: quy m, loi hnh s hu, s nm quan st, sc mnh th trng, phn chia th trng, tnh n nh ca cc mn tin gi... Vic la chn cc bin ny thng c a trn cc ch s nh gi theo tiu chun CAMEL gm mc an ton vn (C), cht lng ti sn (A), kh nng qun l (M), thu nhp (E) v tnh thanh khon (L). Ngoi ra s la chn cc bin ny cn a da trn cc kho st thc t cng nh yu cu xem xt v i hi ca c quan qun l cng nh cc nh qun tr ngn hng trong phn tch ti chnh ni chung v phn tch tnh hnh hot ng ca ngn

hng ni ring. Hn na, sau khi tng kt cc nghin cu nh ca Xiaoqing Fu v Shelagh Hefferman (2005) [90], Ji-Li Hu, Chiang-Ping Chen v Yi-Yuan Su (2006) [65], Donsyah Yudistira (2003) [40], Tser-yieth Chen (2005) [89], Berger v Master (1997) [17], Berger v ng nghip (1993) [21], Master (1993) [83] ...v yu cu ca qu trnh qun l, gim st v qun tr ngn hng thng mi, cc bin c th c la chn trong m hnh hi quy Tobit nh gi mc tc ng ca n n cc o hiu qu l:

55

Hin nay, cc ngn hng Vit Nam so vi cc ngn hng cc nc trong khu vc v trn th gii th c xp vo loi va v nh. Nh vy,

chng ta k vng rng hot qu hot ng ca ngn hng s c ci thin nu quy m ca ngn hng tng. Do bin BANKSIZE bng logarit c s t nhin ca tng ti sn c ly lm bin i din cho quy m ca mt ngn hng thng mi.

OWNERNN v OWNERCP l hai bin gi c a vo nhm kim nh s khc bit v hiu qu c th c gia cc loi hnh ngn hng. V vy, OWNERNN nhn gi tr bng 1 nu ngn hng l NHTMNN v nhn gi tr bng 0 nu l loi hnh NHTM khc v OWNERCP nhn gi tr bng 1 nu ngn hng l NHTMCP v nhn gi tr bng 0 nu l loi hnh NHTM khc.

TCTR: tng chi ph/tng doanh thu phn nh kh nng iu chnh mi quan h gia t l u ra u vo t c mc hiu qu. Bi vy, t l ny cng nh s cho ch s hiu qu cao hn.

DLR l t l tin gi - cho vay - nhm xem xt nh hng ca t l

ny n phi hiu qu ca t l u vo so vi u ra. Mt khc, chng ta cng bit rng li nhun ch yu ca cc ngn hng thng mi chnh l chnh lch gia thu v li v chi v li. V vy, mt trong nhng cch thc lm tng

hiu qu hot ng ca ngn hng l phi s dng tt ngun vn huy ng, bng vic cho vay ra to ra thu nhp t li. Nh vy, nu t l DLR cao iu ny c ngha l ngn hng khng s dng tt ngun vn huy ng ca n v ngc li th ngn hng s dng tt vn huy ng ca n. Mt ngn s dng tt vn ca n tt s c s thu v li ln hn v hiu qu hot ng tt hn, v vy mi quan h gia bin s ny vi o hiu qu c du k vng l m. Bin ny gn c Chin S.Ou, Chia Ling Lee v Chaur-Shiuh Young a vo nh gi nh hng ca n ti hiu qu hot ng ca ngn

hng i Loan [35].

56

ETA: vn ch s hu/ tng ti sn c nu h s ny ln th s lm li nhun trn vn t c tng ng thi n cho bit vic ti tr cho ti sn bng vn ch s hu tng lm gim ri ro cho cc c ng v cc tri ch ca ngn hng. V mt l thuyt t l ny c th nh hng tch cc cng nh tiu cc n mc hiu qu ng thi n c s dng phn nh nhng iu kin quy nh qun l i vi ngn hng. Theo Berger v DeYoung (1997) kh nng thanh khon v t l an ton vn ca ngn hng cng cao th cc khon n xu cng thp v bi vy khng cn thit phi tng chi ph b p cho cc khon cho vay ny. Ngc li, nu t l an ton vn thp c th to ra cc hnh vi ri ro v o c, bi v, khi bit ngn hng mnh c vn trong kh nng thanh khon nhng v li nhun h vn c th thc hin cc hot ng

kinh doanh v thc hin cc khon u t c ri ro v d nhin trong ngn hn c th cc hot ng ny em li hiu qu cho ngn hng mc d c th trong di hn h phi tr gi cho nhng hu qu v cc hnh vi mo hin ca mnh.

MARKSHARE c a vo m hnh hi quy Tobit kim nh phn chia th trng v c tnh bng tng ti sn ca tng ngn hng/ tng ti sn ca tt c cc ngn hng. Bin ny c Isik v Hassan 2003a [63] xem xt trong nghin cu