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    题名: 銀行產業競爭度分析: 新方法與其應用
    Two Essays on Bank Competition: New Methods and Their Applications
    作者: 劉南宏
    Liu, Nan Hung
    贡献者: 黃台心
    Huang, Tai Hsin
    劉南宏
    Liu, Nan Hung
    关键词: market competition
    H statistic
    censored stochastic frontier model
    long-run equilibrium
    Copula methods
    Cost efficiency
    Quiet life hypothesis
    market competition
    H statistic
    censored stochastic frontier model
    long-run equilibrium
    Copula methods
    Cost efficiency
    Quiet life hypothesis
    日期: 2013
    上传时间: 2014-03-03 15:33:10 (UTC+8)
    摘要: The Panzar and Rosse (1987) H-statistic and the Lerner index (Lerner, 1934), measuring the degree of market competition, are revisited in the context of the New Empirical Industrial Organization (NEIO) literature. Although these two indicators have been popularly applied by empirical researchers, they have some potential problems that remain to be solved. This dissertation aims to disentangle these problems in such a way as to consistently estimate the competitive conditions for the industry of interest.

    Chapter II investigates the degree of market competition in the banking industries of 17 Central and Eastern European (CEE) countries over the period 1994-2008, using the H statistic proposed by Panzar and Rosse (1987). Differing from previous works, I apply the newly developed censored stochastic frontier model (CSFM) to test whether these markets have achieved long-run equilibrium, which is an overlooked issue by previous literature. The CSFM appears to be preferable to the conventional one that requires adding a unity to the dependent variable ROA (return on assets) for all observations, making the so-derived dependent variable non-negaitive. One can then take the natural logarithm of this distorted dependent variable for a subsequent equilibrium test. Inconsistent parameter estimates may occur and lead to doubtful testing results. Empirical outcomes show that a majority of the banking markets under study experience rising H statistics during the sample period and are operating under monopolistic competition. Moreover, our results indicate that some CEE banking sectors are characterized as contestable markets that may have contributed to the recent deregulation and liberalization progress. More importantly, the CSFM confirms that most of the banking sectors are in long-run equilibrium, justifying the use of the Panzar-Rosse model, while the conventional, transformed dependent variable approach tends to reject the equilibrium hypothesis in more sample countries.

    Chapter III deals with the estimation of market power, measured by the Lerner index, and cost efficiency at the bank level, using the stochastic frontier (SF) methodology. The distinguishing feature of the paper is that market power and cost efficiency are estimated jointly in a single-step. I use the copula method to incorporate dependence between market power and cost efficiency. In contrast to earlier works that used a two-step approach, the SF approach used herein estimates a bank-specific non-negative Lerner index measure free from random shocks. I showcase the advantages of my proposed methodology in terms of an empirical study on the banking sectors of five former communist countries during the period 2000-2008. Compared to the conventional approach, my model gives higher mean values of the Lerner index and smaller standard deviations. I find a significant positive relationship between cost efficiency and market power of banks, thereby rejecting the “quiet life hypothesis”.

    Chapter IV concludes the dissertation.


    Key Words: market competition; H statistic; censored stochastic frontier model; long-run equilibrium; Copula methods; Cost efficiency; Lerner index; Market power; Quiet life hypothesis
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    描述: 博士
    國立政治大學
    金融研究所
    96352509
    102
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    数据类型: thesis
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