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    题名: 我國銀行業競爭度分析
    其它题名: Competitive Conditions of Taiwan’s Banking Industry
    作者: 黃台心
    贡献者: 金融系
    关键词: 市場競爭狀況;Lerner 指數;copula 方法;技術效率
    competitive conditions;Lerner index;copula methods;technical efficiencies
    日期: 2012
    上传时间: 2016-04-12 16:06:48 (UTC+8)
    摘要: 過去研究市場競爭度的文章大致分為結構法和非結構法，前者主要使用市場集中度和 HHI 等指標，後者則有Panzar and Rosse (1987) 的H 統計值以及Lerner 指數。H 統計 值僅能衡量整體市場的競爭度，且須要求市場已達到長期均衡；Lerner 指數的計算公式 為產品價格減其邊際成本後除以價格，此指數應介於零與一之間，其值愈大，表示這家 公司的市場獨占力 (market power) 愈大，市場競爭度愈小；反之，則愈小，市場競爭度 愈大。可見Lerner 指數的優點在於可以衡量個別廠商的市場競爭度。然而，過去的實證 研究卻出現負值Lerner 指數，不但與理論預期相左，也欠缺經濟意義。產生的原因為研 究者都先估計成本函數，進而計算邊際成本後套入上述公式，由於產品價格和邊際成本 係經由不同管道計算得到，致某些樣本的邊際成本偏高，超過產品價格。 本研究計畫打算建立一個包含兩條迴歸方程式的聯立迴歸模型，一條為成本邊界函 數，另一條為價格邊界函數，它們皆包含組合誤差項。估計方法須採用最大概似法，所 面臨的困難主要出在這兩個組合誤差項聯合機率密度函數的推導，copula 方法應可解決 上述問題。一旦獲得聯立迴歸模型中的係數估計值，利用成本邊界函數可以計算技術效 率，運用價格邊界函數可以計算Lerner 指數。現在，因使用聯立迴歸模型進行估計， 前述負值Lerner 指數將不會出現。為凸顯差異，本研究將同時使用傳統方式估計Lerner 指數以及 H 統計值。
    This research project aims to studying the competitive conditions of Taiwan’s banking industry, under the framework of the Lerner index that differs from the Panzar and Rosse (1987) H-statistic. The Lerner index is established on the idea that market power is implied by the disparity between an output price and its marginal cost (MC) of a firm, divided by the same price. The higher the Lerner index, the larger the dispersion between the output price and the MC is, so the higher the market power of the firm. The main advantage of the Lerner index is that it provides firm-level estimates of market power, which can be used in the subsequent analysis. However, a problem bothering researchers on the calculation of the index is that some sample points have negative measures of the Lerner index, which has no economic implications. We intend to propose a simultaneous stochastic frontier model that consists of a cost frontier and an output price frontier. In this manner, both total costs and output price are viewed as dependent variables and their regression equations contain composed errors. The joint probability density function (pdf) of the composed errors can be derived in the context of copula methods. After joint estimating the two equations by the maximum likelihood (ML), the cost frontier can be used to calculate technical efficiencies and the price frontier allows for assessing the Lerner index, both at the individual firm level. The Lerner index is internally built in the simultaneous equations model in such a way as to avoid obtaining negative estimates of the index. The Panzar and Rosse (1987) H-statistic will also be estimated for the purpose of comparison with the Lerner index.
    關聯: 計畫編號 NSC101-2410-H004-026
    数据类型: report
    显示于类别:[金融學系] 國科會研究計畫

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