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題名 運用隨機共同成本邊界函數聯合估計與比較中國銀行業之競爭程度及成本效率
Applying the Stochastic Metafrontier Cost Function to Jointly Estimate and Compare the Market Competition and Cost Efficiency of Chinese Banking Industry作者 陳禹伶
Chen, Yu-Ling貢獻者 黃台心
Huang, Tai-Hsin
陳禹伶
Chen, Yu-Ling關鍵詞 共同邊界模型
隨機邊界法
成本效率
Metafrontier
SFA
Lerner index
Cost efficiency日期 2019 上傳時間 1-Jul-2019 10:47:50 (UTC+8) 摘要 本文探討中國銀行業在2006年至2016年間的成本效率以及競爭程度，將中國銀行業分為2個群組，第一類為國有銀行，第二類為城市商業銀行，共有83家銀行，417筆觀察值，使用隨機共同成本邊界模型進行估計，其中競爭程度的衡量指標為新Lerner指數，可避免過去相關研究可能得到負值的Lerner指數，出現負值代表違反經濟理論。本文在第一階段採用Huang, Liu, and Kumbhakar (2018) 提出的方法，運用關聯結構法針對兩類 (群組) 銀行資料，分別聯立估計隨機成本邊界函數和價格迴歸方程式，得到此兩群組銀行的成本效率值和市場競爭程度指標，接著在第二階段估計共同邊界函數，本文採用Huang, Huang and Liu (2014)提出之隨機共同邊界法，揚棄使用線性規劃或二次規劃法，此階段可計算出TGR和MCGR，進而計算兩群組的共同成本效率與潛在Lerner 指數並進行比較，針對競爭度的方面，本文亦同時估計結構法包含CR4與HHI來做比較。實證結果發現在效率方面，城市商業銀行效率較國有銀行高，而在競爭度中，結構法的估計結果為國有銀行市場力較強，但在潛在Lerner 指數與傳統Lerner 指數方面發現城市商業銀行市場力較強。
This paper applied the stochastic metafrontier cost function to jointly estimate the competition and cost efficiency of Chinese banking industry in 2006 to 2016. We divided Chinese banking industry into two groups. The first group is state-owned banks. The second group is city commercial banks. We used the model of Huang, Liu, and Kumbhakar (2018) to estimate the new Lerner index and cost efficiency. Then used the metafrontier model of Huang, Huang and Liu (2014) to estimate the mc gap, technology gap and compute the potential Lerner index and meta cost efficiency. The empirical result showed that commercial city banks are more efficient than state-owned banks. And the average Lerner index of commercial city banks is higher than state-owned banks. It showed that the market power of commercial city banks is larger than state-owned banks.參考文獻 [1] 黃台心,江典霖,張凱雅（2015），「再探銀行產業的市場競爭度－東亞八國的實證分析」，《管理評論》第34卷 第4期，59-76。[2] 黃台心,鍾銘泰,陳世章（2018年），「臺灣證券業市場競爭度與創新之研究」，《證券市場發展季刊》，30,151-193。[3] Andrieş, A.M., Căpraru, B. (2012), Competition and Efficiency in EU27 Banking Systems, Baltic Journal of Economics, 12(1),41-60.[4] Ariff, M., & Can, L. (2008), Cost and Profit Efficiency of Chinese Banks: A Non-Parametric Analysis, China Economic Review, 19, 260–273.[5] Battese GE, Rao DSP, O’Donnell CJ (2004) A Metafrontier Production Function for Estimation of Technical Efficiencies and Technology Gaps for Firms Operating under Different Technologies. J Prod Anal 21,91–103.[6] Berger, A., Hasan, I., & Zhou, M. (2005), Bank Ownership and Efficiency in China: What Will Happen in the World`s Largest Nation?, Journal of Banking and Finance, 33(1), 113–130.[7] Chen, X., Skully, M., Brown, K. (2005), Banking Efficiency in China: Application of DEA to Pre- and Post-Deregulations era: 1993–2000, China Economic Review, 16, 229–245.[8] Chen, Y., Wang, Y. (2015), The Efficiency of China`s Banking Industry and the Determinants, International Economic Journal, 24 1-23.[9] Fu, X. (2009), Competition in Chinese Commercial Banking, Banking and Finance Review, 1, 1–16.[10] Fu, X., Heffernan, S. (2007), Cost X-efficiency in China`s Banking Sector, China Economic Review 18 ,35–53.[11] Fungáčová,Z., Pessarossi, P., Weill, L.(2013), Is Bank Competition Detrimental to Efficiency? Evidence from China, China Economic Review 27 (2013) 121–134.[12] Fungáčová,Z., Shamshur, A., Weill, L.(2017), Does Bank Competition Reduce Cost of Credit? Cross-Country Evidence from Europe, Journal of Banking and Finance ,83, 104-120.[13] Huang, C. J., Huang, T. H., Liu, N. H. (2014). A New Approach to Estimating the Metafrontier Production Function Based on a Stochastic Frontier Framework. Journal of Productivity Analysis, 42, 241–254.[14] Huang, M.Y., Fu, T.T. (2013), An Examination of the Cost Efficiency of Banks in Taiwan and China Using the Metafrontier Cost Function, Journal of Productivity Analysis, 40(3),387-406.[15] Huang, T. H., Chiang, D.L, Chao, S.W.(2017), A New Approach to Jointly Estimating the Lerner Index and Cost Efficiency for Multi-Output Banks under a Stochastic Meta-frontier Framework, The Quarterly Review of Economics and Finance, 65,212–226.[16] Huang, T.H., Liu, N.H., and S.C. Kumbhakar (2018), Joint Estimation of the Lerner Index and Cost Efficiency Using Copula Methods, Empirical Economics, 54(2), 799-822.[17] Jiang C., Yao, S., Zhang, Z.(2009), The Effects of Governance Changes on Bank Efficiency in China: A Stochastic Distance Function Approach, China Economic Review, 20,717–731.[18] Lai, H.P., Huang, C.J.,(2013), Maximum Likelihood Estimation of Seemingly Unrelated Stochastic Frontier Regressions, Journal of Productivity Analysis,40,1-14.[19] Lin, H.L., Tsao, C.C., Yang, C.H. (2009), Bank Reforms, Competition and Efficiency in China’s Banking System: Are Small City Bank Entrants More Efficient? ,China & World Economy,17,69 – 87.[20] Lu, Y., Fung, H.G., Jiang, X. (2007), Market Structure and Profitability of Chinese Commercial Banks, The Chinese Economy, 40(5) 100-113.[21] Masood,O., Sergi, B.S.(2011), China’s Banking System, Market Structure, and Competitive Conditions, Frontiers of Economics in China, 6(1), 22-35.[22] Qin, B., Shaffer, S. (2014), A Test of Competition in Chinese Banking, Applied Economics Letters, 21, 602-604.[23] Weill, L. (2011), Do Islamic Banks Have Greater Market Power? Comparative Economic Studies,53, 291–306.[24] Yao, S., Jiang, C., Feng, G., Willenbockel, D. (2007), WTO Challenges and Efficiency of Chinese Banks, Applied Economics, 39, 629–643.[25] Yin, H., Yang, J., Mehran, J. (2013), An Empirical Study of Bank Efficiency in China After WTO Accession, Global Finance Journal, 24,153–170.[26] Yuan, Y. (2006), The State of Competition of the Chinese Banking Industry, Journal of Asian Economics, 17, 519–534. 描述 碩士
國立政治大學
金融學系
106352022資料來源 http://thesis.lib.nccu.edu.tw/record/#G0106352022 資料類型 thesis dc.contributor.advisor 黃台心 zh_TW dc.contributor.advisor Huang, Tai-Hsin en_US dc.contributor.author (Authors) 陳禹伶 zh_TW dc.contributor.author (Authors) Chen, Yu-Ling en_US dc.creator (作者) 陳禹伶 zh_TW dc.creator (作者) Chen, Yu-Ling en_US dc.date (日期) 2019 en_US dc.date.accessioned 1-Jul-2019 10:47:50 (UTC+8) - dc.date.available 1-Jul-2019 10:47:50 (UTC+8) - dc.date.issued (上傳時間) 1-Jul-2019 10:47:50 (UTC+8) - dc.identifier (Other Identifiers) G0106352022 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/124141 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 金融學系 zh_TW dc.description (描述) 106352022 zh_TW dc.description.abstract (摘要) 本文探討中國銀行業在2006年至2016年間的成本效率以及競爭程度，將中國銀行業分為2個群組，第一類為國有銀行，第二類為城市商業銀行，共有83家銀行，417筆觀察值，使用隨機共同成本邊界模型進行估計，其中競爭程度的衡量指標為新Lerner指數，可避免過去相關研究可能得到負值的Lerner指數，出現負值代表違反經濟理論。本文在第一階段採用Huang, Liu, and Kumbhakar (2018) 提出的方法，運用關聯結構法針對兩類 (群組) 銀行資料，分別聯立估計隨機成本邊界函數和價格迴歸方程式，得到此兩群組銀行的成本效率值和市場競爭程度指標，接著在第二階段估計共同邊界函數，本文採用Huang, Huang and Liu (2014)提出之隨機共同邊界法，揚棄使用線性規劃或二次規劃法，此階段可計算出TGR和MCGR，進而計算兩群組的共同成本效率與潛在Lerner 指數並進行比較，針對競爭度的方面，本文亦同時估計結構法包含CR4與HHI來做比較。實證結果發現在效率方面，城市商業銀行效率較國有銀行高，而在競爭度中，結構法的估計結果為國有銀行市場力較強，但在潛在Lerner 指數與傳統Lerner 指數方面發現城市商業銀行市場力較強。 zh_TW dc.description.abstract (摘要) This paper applied the stochastic metafrontier cost function to jointly estimate the competition and cost efficiency of Chinese banking industry in 2006 to 2016. We divided Chinese banking industry into two groups. The first group is state-owned banks. The second group is city commercial banks. We used the model of Huang, Liu, and Kumbhakar (2018) to estimate the new Lerner index and cost efficiency. Then used the metafrontier model of Huang, Huang and Liu (2014) to estimate the mc gap, technology gap and compute the potential Lerner index and meta cost efficiency. The empirical result showed that commercial city banks are more efficient than state-owned banks. And the average Lerner index of commercial city banks is higher than state-owned banks. It showed that the market power of commercial city banks is larger than state-owned banks. en_US dc.description.tableofcontents 第壹章 緒論 1第一節 研究背景與目的 1第二節 研究架構與研究流程 2第貳章 文獻回顧 4第一節 技術效率 4第二節 市場競爭度 5第三節 共同邊界（metafrontier）模型 7第參章 研究模型 9第一節 市場競爭度 9第二節 關聯結構法 12第三節 共同邊界模型（Metafrontier） 14第肆章 資料來源與變數定義 16第一節 資料來源 16第二節 變數定義 16第伍章 實證分析 19第一節 成本效率 19第二節 市場競爭度 245.2.1集中度指數（最大四廠集中度，簡稱CR4） 245.2.2 赫芬達爾—赫希曼指數(Herfindahl-Hirschman Index，HHI) 265.2.3 Panzar-Rosse模型 295.2.4 Lerner指數 32第陸章 結論 36參考文獻 38附錄 41 zh_TW dc.format.extent 989043 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0106352022 en_US dc.subject (關鍵詞) 共同邊界模型 zh_TW dc.subject (關鍵詞) 隨機邊界法 zh_TW dc.subject (關鍵詞) 成本效率 zh_TW dc.subject (關鍵詞) Metafrontier en_US dc.subject (關鍵詞) SFA en_US dc.subject (關鍵詞) Lerner index en_US dc.subject (關鍵詞) Cost efficiency en_US dc.title (題名) 運用隨機共同成本邊界函數聯合估計與比較中國銀行業之競爭程度及成本效率 zh_TW dc.title (題名) Applying the Stochastic Metafrontier Cost Function to Jointly Estimate and Compare the Market Competition and Cost Efficiency of Chinese Banking Industry en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) [1] 黃台心,江典霖,張凱雅（2015），「再探銀行產業的市場競爭度－東亞八國的實證分析」，《管理評論》第34卷 第4期，59-76。[2] 黃台心,鍾銘泰,陳世章（2018年），「臺灣證券業市場競爭度與創新之研究」，《證券市場發展季刊》，30,151-193。[3] Andrieş, A.M., Căpraru, B. (2012), Competition and Efficiency in EU27 Banking Systems, Baltic Journal of Economics, 12(1),41-60.[4] Ariff, M., & Can, L. (2008), Cost and Profit Efficiency of Chinese Banks: A Non-Parametric Analysis, China Economic Review, 19, 260–273.[5] Battese GE, Rao DSP, O’Donnell CJ (2004) A Metafrontier Production Function for Estimation of Technical Efficiencies and Technology Gaps for Firms Operating under Different Technologies. J Prod Anal 21,91–103.[6] Berger, A., Hasan, I., & Zhou, M. (2005), Bank Ownership and Efficiency in China: What Will Happen in the World`s Largest Nation?, Journal of Banking and Finance, 33(1), 113–130.[7] Chen, X., Skully, M., Brown, K. (2005), Banking Efficiency in China: Application of DEA to Pre- and Post-Deregulations era: 1993–2000, China Economic Review, 16, 229–245.[8] Chen, Y., Wang, Y. (2015), The Efficiency of China`s Banking Industry and the Determinants, International Economic Journal, 24 1-23.[9] Fu, X. (2009), Competition in Chinese Commercial Banking, Banking and Finance Review, 1, 1–16.[10] Fu, X., Heffernan, S. (2007), Cost X-efficiency in China`s Banking Sector, China Economic Review 18 ,35–53.[11] Fungáčová,Z., Pessarossi, P., Weill, L.(2013), Is Bank Competition Detrimental to Efficiency? Evidence from China, China Economic Review 27 (2013) 121–134.[12] Fungáčová,Z., Shamshur, A., Weill, L.(2017), Does Bank Competition Reduce Cost of Credit? Cross-Country Evidence from Europe, Journal of Banking and Finance ,83, 104-120.[13] Huang, C. J., Huang, T. H., Liu, N. H. (2014). A New Approach to Estimating the Metafrontier Production Function Based on a Stochastic Frontier Framework. Journal of Productivity Analysis, 42, 241–254.[14] Huang, M.Y., Fu, T.T. (2013), An Examination of the Cost Efficiency of Banks in Taiwan and China Using the Metafrontier Cost Function, Journal of Productivity Analysis, 40(3),387-406.[15] Huang, T. H., Chiang, D.L, Chao, S.W.(2017), A New Approach to Jointly Estimating the Lerner Index and Cost Efficiency for Multi-Output Banks under a Stochastic Meta-frontier Framework, The Quarterly Review of Economics and Finance, 65,212–226.[16] Huang, T.H., Liu, N.H., and S.C. Kumbhakar (2018), Joint Estimation of the Lerner Index and Cost Efficiency Using Copula Methods, Empirical Economics, 54(2), 799-822.[17] Jiang C., Yao, S., Zhang, Z.(2009), The Effects of Governance Changes on Bank Efficiency in China: A Stochastic Distance Function Approach, China Economic Review, 20,717–731.[18] Lai, H.P., Huang, C.J.,(2013), Maximum Likelihood Estimation of Seemingly Unrelated Stochastic Frontier Regressions, Journal of Productivity Analysis,40,1-14.[19] Lin, H.L., Tsao, C.C., Yang, C.H. (2009), Bank Reforms, Competition and Efficiency in China’s Banking System: Are Small City Bank Entrants More Efficient? ,China & World Economy,17,69 – 87.[20] Lu, Y., Fung, H.G., Jiang, X. (2007), Market Structure and Profitability of Chinese Commercial Banks, The Chinese Economy, 40(5) 100-113.[21] Masood,O., Sergi, B.S.(2011), China’s Banking System, Market Structure, and Competitive Conditions, Frontiers of Economics in China, 6(1), 22-35.[22] Qin, B., Shaffer, S. (2014), A Test of Competition in Chinese Banking, Applied Economics Letters, 21, 602-604.[23] Weill, L. (2011), Do Islamic Banks Have Greater Market Power? Comparative Economic Studies,53, 291–306.[24] Yao, S., Jiang, C., Feng, G., Willenbockel, D. (2007), WTO Challenges and Efficiency of Chinese Banks, Applied Economics, 39, 629–643.[25] Yin, H., Yang, J., Mehran, J. (2013), An Empirical Study of Bank Efficiency in China After WTO Accession, Global Finance Journal, 24,153–170.[26] Yuan, Y. (2006), The State of Competition of the Chinese Banking Industry, Journal of Asian Economics, 17, 519–534. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU201900054 en_US
