1. NCCU Academic Hub
  2. 學術產出
  3. 商學院
  4. 期刊論文
  5. Item

學術產出-期刊論文

文章檢視/開啟

書目匯出

Google ScholarTM

政大圖書館

引文資訊

TAIR相關學術產出

題名 Joint estimation of the Lerner index and cost efficiency using copula methods
作者 Huang, Tai-Hsin
黃台心
Liu, Nan-Hung
Kumbhakar, Subal C.
貢獻者 金融系
關鍵詞 Copula methods; Cost efficiency; Lerner index; Market power; Quiet life hypothesis
日期 2018-03
上傳時間 26-十月-2018 17:23:11 (UTC+8)
摘要 This paper 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. Both market power and cost efficiency are estimated jointly in a single step. We 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 nonnegative Lerner index free from random shocks. We showcase the advantages of our 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, our model gives higher mean values of the Lerner index and smaller standard deviations. Further, we find a significant positive relationship between cost efficiency and market power of banks, thereby rejecting the "quiet life hypothesis.".
關聯 EMPIRICAL ECONOMICS, 54(2), 799-822
資料類型 article
DOI http://dx.doi.org/10.1007/s00181-016-1216-z
dc.contributor 金融系
dc.creator (作者) Huang, Tai-Hsin
dc.creator (作者) 黃台心
dc.creator (作者) Liu, Nan-Hung
dc.creator (作者) Kumbhakar, Subal C.
dc.date (日期) 2018-03
dc.date.accessioned 26-十月-2018 17:23:11 (UTC+8)-
dc.date.available 26-十月-2018 17:23:11 (UTC+8)-
dc.date.issued (上傳時間) 26-十月-2018 17:23:11 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/120784-
dc.description.abstract (摘要) This paper 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. Both market power and cost efficiency are estimated jointly in a single step. We 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 nonnegative Lerner index free from random shocks. We showcase the advantages of our 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, our model gives higher mean values of the Lerner index and smaller standard deviations. Further, we find a significant positive relationship between cost efficiency and market power of banks, thereby rejecting the "quiet life hypothesis.".en_US
dc.format.extent 615509 bytes-
dc.format.mimetype application/pdf-
dc.relation (關聯) EMPIRICAL ECONOMICS, 54(2), 799-822
dc.subject (關鍵詞) Copula methods; Cost efficiency; Lerner index; Market power; Quiet life hypothesis
dc.title (題名) Joint estimation of the Lerner index and cost efficiency using copula methodsen_US
dc.type (資料類型) article
dc.identifier.doi (DOI) 10.1007/s00181-016-1216-z
dc.doi.uri (DOI) http://dx.doi.org/10.1007/s00181-016-1216-z