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政大機構典藏 > 商學院 > 金融學系 > 期刊論文 > Item 140.119/64648

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Title:	A study on long-run inefficiency levels of a panel dynamic cost frontier under the framework of forward-looking rational expectations
Authors:	黃台心;陳盈秀 Huang, Tai-Hsin;Chen, Ying-Hsiu
Contributors:	金融系
Keywords:	Forward-looking rational expectations;Adjustment speed;Technical efficiency
Date:	2009-05
Issue Date:	2014-03-17 14:16:03 (UTC+8)
Abstract:	This paper aims to provide a theoretical underpinning of the dynamic efficiency model pioneered by [Ahn, S.C., Good, D.H., Sickles, R.C., 2000. Estimation of long-run inefficiency levels: A dynamic frontier approach. Econometric Reviews 19, 461â492]. In the context of a quadratic loss function this paper formulates a multi-period forward-looking rational expectations model on the evolution of the technical inefficiency level, which correctly produces a dynamic panel data model. The model is illustrated using panel data of 112 French banks. Encouraging evidence of superiority in favor of the model is reached. Substantial cost inefficiency prevails in this industry, where the constituent banks are characterized as having volatile adjustment speeds toward their long-run steady states. The sample banks exhibit increasing returns to scale and product-mix economies.
Relation:	Journal of Banking and Finance, 33(5), 842-849
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1016/j.jbankfin.2008.09.018
DOI:	10.1016/j.jbankfin.2008.09.018
Appears in Collections:	[金融學系] 期刊論文

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