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題名 A New Approach to Jointly Estimating the Lerner Index and Cost Efficiency for Multi-output Banks under a Stochastic Meta-Frontier Framework
作者 黃台心
Huang, Tai-Hsin;Chiang, Dien-Lin;Chao, Shih-Wei
貢獻者 金融系
關鍵詞 Copula-based simultaneous stochastic frontier model; Cost frontier; Output price frontier; Stochastic meta-frontier; Technology gap ratio; Potential Lerner index
日期 2016-10
上傳時間 8-Dec-2016 15:06:01 (UTC+8)
摘要 This paper proposes the copula-based simultaneous stochastic frontier model, composed of a cost frontier and two output price frontiers, for the banking sector in order to measure cost efficiency and market power in the markets of loans and investments. The new Lerner indices are estimated by the simultaneous equations model, consisting of three frontier equations, thus avoiding obtaining negative measures of the Lerner index. We apply the stochastic meta-frontier model of Huang et al. (2014) to estimate and compare cost efficiency and market power across five European countries over the period 1998–2010. Our approach allows for calculating the technology gap ratio and evaluating the potential Lerner indices, which consist of the Lerner index and marginal cost gap ratio. Empirical results suggest that banks reallocate their output quantities toward the one with a higher measure of the potential Lerner index in order to promote profits. Adopting advanced technology and conducting merger and acquisitions are effective ways to achieve this goal.
關聯 Quarterly Review of Economics and Finance, Available online 8 October 2016
資料類型 article
DOI http://dx.doi.org/10.1016/j.qref.2016.09.004
dc.contributor 金融系
dc.creator (作者) 黃台心zh_TW
dc.creator (作者) Huang, Tai-Hsin;Chiang, Dien-Lin;Chao, Shih-Wei
dc.date (日期) 2016-10
dc.date.accessioned 8-Dec-2016 15:06:01 (UTC+8)-
dc.date.available 8-Dec-2016 15:06:01 (UTC+8)-
dc.date.issued (上傳時間) 8-Dec-2016 15:06:01 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/104667-
dc.description.abstract (摘要) This paper proposes the copula-based simultaneous stochastic frontier model, composed of a cost frontier and two output price frontiers, for the banking sector in order to measure cost efficiency and market power in the markets of loans and investments. The new Lerner indices are estimated by the simultaneous equations model, consisting of three frontier equations, thus avoiding obtaining negative measures of the Lerner index. We apply the stochastic meta-frontier model of Huang et al. (2014) to estimate and compare cost efficiency and market power across five European countries over the period 1998–2010. Our approach allows for calculating the technology gap ratio and evaluating the potential Lerner indices, which consist of the Lerner index and marginal cost gap ratio. Empirical results suggest that banks reallocate their output quantities toward the one with a higher measure of the potential Lerner index in order to promote profits. Adopting advanced technology and conducting merger and acquisitions are effective ways to achieve this goal.
dc.format.extent 923092 bytes-
dc.format.mimetype application/pdf-
dc.relation (關聯) Quarterly Review of Economics and Finance, Available online 8 October 2016
dc.subject (關鍵詞) Copula-based simultaneous stochastic frontier model; Cost frontier; Output price frontier; Stochastic meta-frontier; Technology gap ratio; Potential Lerner index
dc.title (題名) A New Approach to Jointly Estimating the Lerner Index and Cost Efficiency for Multi-output Banks under a Stochastic Meta-Frontier Framework
dc.type (資料類型) article
dc.identifier.doi (DOI) 10.1016/j.qref.2016.09.004
dc.doi.uri (DOI) http://dx.doi.org/10.1016/j.qref.2016.09.004