政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/64335
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文筆數/總筆數 : 113451/144438 (79%)
造訪人次 : 51326572      線上人數 : 924
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜尋範圍 查詢小技巧：
  • 您可在西文檢索詞彙前後加上"雙引號"，以獲取較精準的檢索結果
  • 若欲以作者姓名搜尋，建議至進階搜尋限定作者欄位，可獲得較完整資料
    •  進階搜尋
    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/64335


    請使用永久網址來引用或連結此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/64335


    題名: 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
    貢獻者: 黃台心
    Huang, Tai Hsin
    劉南宏
    Liu, Nan Hung
    關鍵詞: 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
    上傳時間: 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
    參考文獻: Aas, K., C. Czado, A. Frigessi, and H. Bakken (2009), “Pair-copula Constructions of Multiple Dependence,” Insurance: Mathematics and Economics, 44, 182-198.

    Agoraki, M. K., M. D. Delis, and F. Pasiouras (2011), “Regulations, Competition and Bank Risk-taking in Transition Countries,” Journal of Financial Stability, 7, 38-48.
    Aigner, D., C. A. K. Lovell, and P. Schmidt (1977), “Formulation and Estimation of Stochastic Frontier Production Function Models.” Journal of Econometrics, 6, 21-37.
    AI-Muharrami, S., K. Matthews, and Y. Khabari (2006), “Market Structure and Competitive Conditions in the Arab GCC Banking System,” Journal of Banking and Finance, 30, 3487-3501.
    Alegria, C. and K. Schaeck (2008), “On Measuring Concentration in Banking Systems,” Finance Research Letters, 5, 59-67.
    Amemiya, T. (1985), Advanced Econometrics, Harvard University Press, Cambridge.
    Amsler, C., A. Prokhorov, and P. Schmidt (2011), “Using Copulas to Model Time Dependence in Stochastic Frontier Models,” Working Paper.
    Angelini, P. and N. Cetorelli (2003), “The Effects of Regulatory Reform on Competition in the Banking Industry,” Journal of Money, Credit, and Banking, 35, 663-684.
    Baumol, W. J. (1982), “Contestable Markets: An Uprising in the Theory of Industry Structure,” American Economic Review, 72, 1-15.

    Baumol, W., J. Panzar,, and R. Willig (1982), Contestable markets and the theory of industry, San Diego: Harcourt Brace Jovanovich.

    Beck, T., A. Demirgüç-Kunt, and R. Levine (2006), “Bank Concentration, Competition, and Crisis: First Results,” Journal of Banking and Finance, 30, 1581-1603.
    Berg, S. A. and M. Kim (1994), “Oligopolistic Interdependence and the Structure of Production in Banking: An Empirical Evaluation,” Journal of Money, Credit, and Banking, 26, 309-322.
    Berg, S. A. and M. Kim (1998), “Bank as Multioutput Oligopolies: An Empirical Evaluation of the Retail and Corporate Banking Markets,” Journal of Money, Credit, and Banking, 30, 135-153.
    Berger, A. N. and T. H. Hannan (1998), “The Efficiency Cost of Market Power in the Banking Industry,” Review of Economics and Statistics, 8, 454-465.
    Berger, A. N., A. Demirgüç-Kunt, R. Levine, and J. G. Haubrich (2004), “Bank Concentration and Competition: An Evolution in the Making,” Journal of Money, Credit, and Banking, 36, 433-451.

    Berger, A. N., L. F. Klapper, and R. Turk-Ariss (2009), “Bank Competition and Financial Stability,” Journal of Financial Services Research, 35, 99-118.
    Bikker, J. A. and J. M. Groeneveld (2000), “Competition and Concentration in the EU Banking Industry,” Kredit and Kapital, 33, 62-98.
    Bikker, J. A. and K. Haaf (2002), “Competition, Concentration and Their Relationship: An Empirical Analysis of the Banking Industry,” Journal of Banking and Finance, 26, 2191-2214.
    Carbó, S., D. Humphrey, and F. Rodríguez (2003), “Deregulation, Bank Competition and Regional Growth,” Regional Studies, 37, 227-237.
    Carbó, S., D. Humphrey, J. Maudos, and P. Molyneux (2009), “Cross-country Comparisons of Competition and Pricing Power in European Banking,” Journal of International Money and Finance, 28, 115-134.
    Carta, A. and M. F. J. Steel (2010), “Modelling Multi-output Stochastic Frontiers Using Copulas,” Computational Statistics and Data Analysis, forthcoming.
    Casu, B. and C. Girardone (2006), “Bank Competition, Concentration and Efficiency in the Single European Market,” The Manchester School, 74, 441-468.
    Cherubini, U., E. Luciano, and W. Vecchiato (2004), Copula Methods in Finance, New York: John Wiley.
    Claessens, S. and L. Laeven (2004), “What Drives Bank Competition? Some International Evidence,” Journal of Money, Credit, and Banking, 36, 563-583.
    Coccorese, P. (2004), “Banking Competition and Macroeconomic Conditions: A Disaggregate Analysis,” Journal of International Financial Markets, Institutions and Money, 14, 203-219.
    Coccorese, P. (2009), “Market Power in Local Banking Monopolies,” Journal of Banking and Finance, 33, 1196-1210.
    De Bandt, O. and E. P. Davis (2000), “Competition, Contestability and Market Structure in European Banking Sectors on the Eve of EMU,” Journal of Banking and Finance, 24, 1045-1066.
    Delis, M. D. and E. G. Tsionas (2009), “The Joint Estimation of Bank-level Market Power and Efficiency,” Journal of Banking and Finance, 33, 1842-1850.
    Delis, M. D. (2010), “Competitive Conditions in the Central and Eastern European Banking Systems,” Omega, 38, 268-274.
    Drakos, K. and P. Konstantinou (2005), “Competition and Contestability in Transition Banking: An Empirical Analysis,” South-Eastern Europe Journal of Economics, 2, 183-209.
    Fernández de Guevara, J., J. Maudos, and F. Pérez (2005), “Market Power in European Banking Sectors,” Journal of Financial Services Research, 27, 109-137.

    Fernández de Guevara, J., J. Maudos, and F. Pérez (2007), “Integration and Competition in the European Financial Markets,” Journal of International Money and Finance, 26, 26-45.
    Frees, E. W. and E. A. Valdez (1998), “Understanding Relationships Using Copulas,” North American Actuarial Journal, 2, 1-25.
    Fries, S. and A. Taci (2005), “Cost Efficiency of Banks in Transition: Evidence from 289 Banks in 15 Post-communist Countries,” Journal of Banking and Finance, 29, 55-81.
    Gelos, R. G. and J. Roldόs (2004), “Consolidation and Market Structure in Emerging Market Banking Systems,” Emerging Markets Review, 5, 39-59.
    Green, W. H. (2003), “Simulated Likelihood Estimation of the Normal-Gamma Stochastic Frontier Function,” Journal of Productivity Analysis, 19, 179-190.
    Hondroyiannis, G., S. Lolos, and E. Papapetrou (1999), “Assessing Competitive Conditions in the Greek Banking,” Journal of International Financial Markets, Institutions and Money, 9, 377-391.
    Joe, H. (1997), Multivariate Models and Dependence Concepts, London: Chapman and Hall.
    Jondrow, J., C. A. K. Lovell, I. S. Materov, and P. Schmidt (1982), “On the Estimation of Technical Inefficiency in the Stochastic Frontier Production Function Model,” Journal of Econometrics, 19, 233-238.
    Koetter, M., J. Kolari, and L. Spierdijk (2012), “Enjoying the Quiet Life under Deregulation? Evidence from Adjusted Lerner Indices for U.S. Banks,” Review of Economics and Statistics, 94, 462-480.
    Koetter, M. and T. Poghosyan (2009), “The Identification of Technology Regimes in Banking: Implications for the Marker Power-fragility Nexus,” Journal of Banking and Finance, 33, 1413-1422.
    Kumbhakar, S. and C.A.K. Lovell (2000), Stochastic Frontier Analysis, Cambridge University Press, Cambridge, U.K.
    Lai, H. P. and C. J. Huang (2013), “Maximum Likelihood Estimation of Seemingly Unrelated Stochastic Frontier Regressions,” Journal of Productivity Analysis, 40, 1-14.
    Lerner, A. P. (1934), “The Concept of Monopoly and the Measurement of Monopoly Power,” The Review of Economic Studies, 1, 157-175.

    Mamatzakis, E., C. Staikouras, and N. Koutsomanoli-Fillipaki (2005), “Competition and Concentration in the Banking Sector of the South Eastern European Region,” Emerging Markets Review, 6, 192-209.
    Matthews, K., V. Murinde, and T. Zhao (2007), “Competitive Conditions among the Major British Banks,” Journal of Banking and Finance, 31, 2025-2042.
    Maudos, J. and J. Fernández de Guevara (2004), “Factors Explaining the Interest Margin in the Banking Sectors of the European Union,” Journal of Banking and Finance, 28, 2259-2281.

    Maudos, J. and J. Fernández de Guevara (2007), “The Cost of Market Power in Banking: Social Welfare Loss vs. Cost Inefficiency,” Journal of Banking and Finance, 31, 2103-2125.

    Maudos, J. and L. Solís (2011), “Deregulation, Liberalization and Consolidation of the Mexican Banking System: Effects on Competition,” Journal of International Money and Finance, 30, 337-353.
    Meeusen, W. and J. Van Den Broeck (1977), “Efficiency Estimation from Cobb-Douglas Production Functions with Composed Error,” International Economic Review, 18, 435-444.
    Molyneux, P., D. M. Lloyd-Williams, and J. Thornton (1994), “Competitive Conditions in European Banking,” Journal of Banking and Finance, 18, 445-459.
    Molyneux, P., J. Thornton, and D. M. Lloyd-Williams (1996), “Competition and Market Contestability in Japanese Commercial Banking,” Journal of Economics and Business, 48, 33-45.
    Nathan, A. and E. H. Neave (1989), “Competition and Contestability in Canada’s Financial System: Empirical Results,” Canadian Journal of Economics, 22, 576-594.
    Nelsen, R. B. (2006), An Introduction to Copulas (2nd ed.), New York: Springer-Verlag.
    Panzar, J. C. and J. N. Rosse (1982), “Structure, Conduct and Comparative Statistics,” Bell Laboratories Economic Discussion Paper.
    Panzar, J. C. and J. N. Rosse (1987), “Testing for Monopoly Equilibrium,” Journal of Industrial Economics, 35, 443-456.
    Park, K. H. (2009), “Has Bank Consolidation in Korea Lessened Competition?,” The Quarterly Review of Economics and Finance, 49, 651-667.
    Prescott, H. and A. McCall (1975), “Market Power and Structure and Commercial Bank Installment Lending,” Journal of Money, Credit, and Banking, 7, 449-467.
    Rosse, J. N. and J. C. Panzar (1977), “Chamberlin vs Robinson: An Empirical Test for Monopoly Rents,” Bell Laboratories Economic Discussion Paper.
    Schaeck, K., M. Cihak, and S. Wolfe (2009), “Are Competitive Banking Systems More Stable?” Journal of Money, Credit, and Banking, 41, 711-734.
    Shaffer, S. (1982), “A Nonstructural Test for Competition in Financial Markets,” In: Bank Structure and Competition, Conference Proceedings, Federal Reserve Bank of Chicago, 225-243.
    Shaffer, S., (1993), “A Test of Competition in Canadian Banking,” Journal of Money, Credit, and Banking, 25, 49-61.
    Shaffer, S. (2004), “Patterns of Competition in Banking,” Journal of Economics and Business, 56, 287-313.
    Shi, P. and W. Zhang (2011), “A Copula Regression Model for Estimating Firm Efficiency in the Insurance Industry,” Journal of Applied Statistics, 38, 2271-2287.
    Sklar, A. (1959), “Functions de Répartition àn Dimensions et Leurs Marges,” Publications de l’Institut de Statistique de L’Université de Paris, 8, 229-231.
    Smith, M. D. (2008), “Stochastic Frontier Models with Dependent Error Components,” Econometrics Journal, 11, 172-192.
    Staikouras, C. and A. Koutsomanoli-Fillipaki (2006), “Competition and Concentration in the New European Banking Landscape,” European Financial Management, 12, 443-482.
    Tsay, W. J., C. J. Huang, T. T. Fu, and I. L. Ho (2013), “A simple closed-form approximation for the cumulative distribution function of the composite error of stochastic frontier models,” Journal of Productivity Analysis, 39, 259-269.
    Turk-Ariss, R. (2009), “Competitive Behavior in Middle East and North Africa Banking Systems,” The Quarterly Review of Economics and Finance, 49, 693-710.
    Turk-Ariss, R. (2010), “On the Implications of Market Power in Banking: Evidence from Developing Countries,” Journal of Banking and Finance, 34, 765-775.
    Vesala, J. (1995), “Testing for Competition in Banking: Behavioural Evidence from Finland,” Bank of Finland Studies, E:1.
    Yeyati, E. and A. Micco (2007), “Concentration and Foreign Penetration in Latin American Banking Sectors: Impact on Competition and Risk,” Journal of Banking and Finance, 31, 1633-1647.
    Yildirim, H. S. and G. C. Philippatos (2007), “Competition and Contestability in Central and Eastern European Banking Markets,” Managerial Finance, 33, 195-209.
    描述: 博士
    國立政治大學
    金融研究所
    96352509
    102
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0963525091
    資料類型: thesis
    顯示於類別:[金融學系] 學位論文

    文件中的檔案:

    檔案 大小格式瀏覽次數
    index.html0KbHTML2376檢視/開啟


    在政大典藏中所有的資料項目都受到原著作權保護.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回饋