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題名 俄羅斯銀行業競爭程度之研究
The analysis on the degree of competition in Russian banking industry
作者 吳靜婷
貢獻者 鄭士卿
Jeng, Vivian
吳靜婷
關鍵詞 俄羅斯銀行業
銀行競爭
Panzer and Rosse模型
市場結構指標
日期 2011
上傳時間 4-Sep-2013 10:13:36 (UTC+8)
摘要 本研究旨在衡量俄羅斯銀行業競爭程度的變化，探討2003至2010年間，其銀行行為、政府政策和國際情勢對俄羅斯銀行業競爭程度的影響。本研究以非結構法的Panzer-Rosse模型為研究主軸，並輔以結構性指標來衡量俄羅斯銀行業的競爭程度，發現俄羅斯銀行業在2003至2009年俄羅斯的銀行市場大多處於獨占性競爭。但是2010年以資產標準化的總收入為被解釋變數時卻無法拒絕市場存在獨占力或銀行間存在聯合勾結的寡占之需無假設，可能與俄羅斯政府因應全球金融危機所作的政策調整有關。
為使結果更具可靠性，本研究排除可能影響檢定結果知極端值進行敏感性檢定，將可能對市場具有獨占力的俄羅斯最大的國有銀行Sberbank排除在樣本之外，結果2010年的俄羅斯銀行市場仍然存在獨占力。另外，考慮不同地區銀行密集度的不同，將研究樣本分成中央聯邦區與非中央聯邦區，結果發現在銀行密集度較高的中央聯邦區在2005至2009年為完全競爭，但是該地區2010年的銀行市場依然存在獨占力，而非中央聯邦區的競爭程度變化較小。相較於過去的文獻，本文發現俄羅斯銀行業在考慮利息收入與非利息收入之競爭程度有所不同，尤其在2008至2010年間的差異更為明顯，而俄羅斯銀行業的競爭程度在金融危機期間也確實因為採用的被解釋變數不同，致使兩者的H統計量與市場檢定結果呈現不一致的趨勢。
This paper examines the degree of market competition in Russian banking industry by analyzing the impact of bank activity, government policy and international situation over the period of 2003-2010.We use the P-R model as well as concentration ratio and Herfindall-Hirschman Index to measure the competition in order to distinguish competitive behavior on market. Evidence is found that during the period of 2003-2009 the Russian banking industry is characterized as monopolistic competition. But in 2010, the market becomes monopolistic due to the change of government policy by global financial crisis.
To do our sensitivity analysis, we exclude the outlier that might influence the results such as Sberbank, the biggest state bank of Russia. But our results remain the same. Furthermore, this paper separates the region into Central Federal District and non- Central Federal District, and we find that market is perfect competition in Central Federal District in period 2005-2009, but monopoly still exists in 2010. Compared with the previous literature, this paper finds that some differences exist between the results when dependent variable is interest revenue and the result of total revenue, especially in period of 2008-2010.
參考文獻 一、中文文獻
1. 沈中華，2004，「貨幣銀行學原理─全球的觀點」，新陸書局。
2. 楊雲明，2002，「個體經濟學」，智勝文化。
3. 洪美蘭，2002，「經濟激進轉型策略─中東歐之經驗與啟示」。
4. 蘇明發、侯宗達，1997，「銀行業市場結構與獲利之關聯」，經濟研究叢書第60種，台北銀行經濟研究室。
5. 沈中華、呂美慧，2007，「本國銀行業逐年的競爭程度及其變化分析」，證券市場發展季刊，第19期，第2卷，頁119-152。
6. 劉景中，2011，「銀行集中度及銀行效率對市場競爭度的影響: 臺灣實證研究」，經濟論文叢刊，第 39 期 第 1卷。
7. 羅任媛，2001。「新興市場國家金融危機成因之研究─以俄羅斯為例」，國立政治大學俄羅斯研究所碩士論文。
8. 徐向梅，2007，「俄羅斯國有銀行：優勢地位、私有化及啟示」，廣東金融學院學報，第22期第3卷，頁33-37。
9. 徐向梅，2009，「俄羅斯銀行改革、危機與啟示」，經濟社會體制比較，第5期，頁62-67。
10. 徐向梅，2009，「銀行危機與改革：以俄羅斯為例」，廣東金融學院學報，第24期第1卷，頁83-88。
11. 安兆禎，2008，「國際金融危機被警下的俄羅斯銀行業發展分析」，第35期第6卷，頁15-18。
12. 陳柳欽，2007，「金融危機後的俄羅斯銀行業結構變遷與績效改善」，上海金融學院學報，第81期第3卷，頁57-64。
13. 李新，2010，「俄羅斯經濟危機及其特點和根源」，俄羅斯東歐中亞研究，2010年第2期。
14. 宋魁，2010，「國際金融危機對俄羅斯影響及其政策走勢」，哈爾濱市委黨校學報，第70期，第4卷。
15. 趙笑蕾、李瑞琴，2010，「金融危機以來俄羅斯社會思潮新變化」，當代世界2010年第10期。
二、英文文獻
16. Baumol, William J., 1982, “The income distribution frontier and taxation of migrants Original Research Article” Journal of Public Economics 18(3): 343-361.
17. Bresnahan, T. F., 1982, “The Oligopoly Solution is Identified,” Economics Letters 10: 87-92.
18. Bikker, J. A. and J. M. Groeneveld, 2000, “Competition and Concentration in the EU Banking Industry,” Kredit und Kapital 33: 62-69.
19. Bikker, J. A. and K. Haaf, 2002, “Competition, Concentration and Their Relationship: An Empirical Analysisasurement of Conjectural Variations in of the Banking Industry,” Journal of Banking and finance 26: 2191-2214.
20. Berglöf, Eric and Bolton, P., 2002, “The great divide and beyond: Financial architecture in transition,” Journal of Economic Perspectives 16(1): 77-100.
21. Beck, T., 2004, “Financial System Development, Regulation and Economic Growth: Evidence from Russia,” The Journal of Banking and Finance, forthcoming.
22. Berglöf, Eric, and Alexander Lehmann, 2008, "Sustaining Russia’s Growth: The Role of Financial Reform," Journal of Comparative Economics 37(2): 198-206.
23. Berkowitz, Daniel, and David DeJong, 2010, "Growth in Post-Soviet Russia: A Tale of Two Transitions," Journal of Economic Behavior and Organization (forthcoming).
24. Cetorelli, Nicola and Michele Gambera, 2001, “Banking Market Structure, Financial Dependence and Growth: International Evidence from Industry Data,” Journal of Finance 56: 617-648.
25. Claessens, Stijn, Asli Demirgüc-Kunt and Harry Huizinga, 2001, “How Does Foreign Entry Affect Domestic Banking Markets?” Journal of Banking and Finance 25: 891-911.
26. Corvoisier, S. and Gropp, R., 2002, “Bank Concentration and Retail Interest Rates,”Journal of Banking and Finance 26: 2155-89.
27. Claessens, Stijn, and Luc Laeven, 2004, “What Drives Bank Competition? Some International Evi-dence,” Journal of Money, Credit and Banking 36(3): 563-583.
28. Claessens, Stijn and Luc Laeven, 2005, “Financial Dependence, Banking Sector Competition and Economic Growth,” Journal of the European Economic Association 3(1): 179-207.
29. Carbo-Valverde, Santiago, Francisco Rodriguez-Fernandez and Gregory Udell, 2009, “Bank Market Power and SME Financing Constraints,” Review of Finance 13(2): 309-340.
30. Carbo-Valverde, Santiago, David Humphrey, Joaquin Maudos and Philip Molyneux, 2009, "Cross-Country Comparisons of Competition and Pricing Power in European Banking," Journal of International Money and Finance 28: 115-134.
31. Demsetz, H., 1974, “Where is New Industrial State,” Economic Inquiry 12(1): 1-12.
32. De Bandt, O. and E. P. Davis, 2000, “Competition, Contestability and Market Structure in European Banking Sector on the Eva of EMU,” Journal of Banking and finance 24:1045-1066.
33. Easterly, W. and P. Viera de Cunha, 1993, “Financing the Storm: Macroeconomic Crises in Russia,”1992-93, World Bank, Washington, D.C.
34. EBRD, 2006, “Transition Report 2006: Finance in Transition, European Bank of Reconstruction and Development,” London.
35. Fernandez de Guevara, Juan, Joaquin Maudos and Francisco Perez, 2005, “Market Power in Euro-pean Banking Sectors,” Journal of Financial Services Research 27(2): 109-137.
36. Fernandez de Guevara, Juan and Joaquin Maudos, 2007, “Explanatory Factors of Market Power in the Banking System,” The Manchester School 75(3): 275-297.
37. Fungáčová, Zuzana and Tigran Poghosyan, 2009, “Determinants of Bank Interest Margins in Russia: Does Bank Ownership Matter?” BOFIT Discussion Paper No.22/09, Bank of Finland.
38. Fungáčová, Zuzana and Laurent Weill, 2009, “How Market Power Influences Bank Failures: Evi-dence from Russia,” BOFIT Discussion Paper No.12/09, Bank of Finland.
39. Fungáčová, Zuzana, Laura Solanko, 2009, “The Russian Banking Industry after the Financial crisis – Where to next?” Bank of Finland Bulletion 2:19-29.
40. Fungáčová, Zuzana, Laura Solanko and Laurent Weill, 2010, “Market Power in the Russia banking industry,” BOFIT Discussion Paper No.3/10, Bank of Finland.
41. Gelos, R. Gaston and Jorge Roldós, 2002, “Consolidation and Market Structure in Emerging Market Banking System,” International Capital Markets Department, IMF Working Paper 186.
42. Iwata, G., 1974, “Measurement of Conjectural Variations in Oligopoly,” Econometrica 42: 947-966.
43. Karas, A., Schoors, K. and Weill, L., 2010, “Are Private Banks More Efficient than Public Banks? Evidence from Russia,” Economics of Transition 18(1): 209–244.

44. Karas, Alexei, William Pyle and Koen Schoors, 2010, “Sophisticated Discipline in a Nascent Depo-sit Market: Evidence from Post-Communist Russia,” Oxford Economic Papers 62(1): 36-61.
45. Levine, Ross, 2005, “Finance and Growth: Theory and Evidence,” Handbook of Economic Growth 1: 865-934.
46. Nathan, A. and H. Neave, 1989, “Competition and Contestability in Canada’s Financial System: Empirical Results,” Canadian Journal of Economics 22: 576-594.
47. Panzar, J. C. and J. N. Rosse, 1987, “Testing for ‘Monopoly’ Equilibrium,” Journal of Industrial Economics 35(4):443-456.
48. Rousseeuw, P.J. and B.C. Van Zomeren, 1990, “Unmasking multivariate outliers and leverage points,” J. Am. Statist. Assoc 85:633–651.
49. Rajan, Raghuram G. and Luigi Zingales, 1998, “Financial Dependence and Growth.” AmericanEconomic Review 88: 559-587.
50. Shaffer, Sherrill, 1982, “A Nonstructural Test for Competition in Financial Market,” in Proceedings of a conference on Bank Structure and Competition, Federal Reserve Bank of Chicago, 225-243.
51. Shaffer, Sherrill and J. DiSalvo, 1994, “Conduct in a Banking Duopoly,” Journal of Banking and Finance 18:1063-1082.
52. Shaffer, Sherrill, 2004, “Patterns of competition in banking,” Journal of Economics and Business 56(4): 287-313.
53. Steinherr, Alfred, 2004, “Russian Banking since the Crisis of 1998,” Centre for European Policy Studies, CEPS Working Document No.209.
54. Vesala, J., 1995, “Testing Competition in Banking: Behavioral Evidence from Finland,” Bank of Finland Studies Working Paper, No. E: 1.
55. Vernikov, A., 2009, “Russian banking: The state makes a comeback?” BOFIT Discussion Paper No.24.
56. Worthington, P. R., 1989, “On the Distinction between Structure and Conduct: Adjustment Costs, Concentration, and Price Behavior,” Journal of Industrial Economics 37: 235-38.
57. Wilcox, R., 2003, “ Applying contemporary statistical techniques,” Amsterdam: Academic Press.
描述 碩士
國立政治大學
俄羅斯研究所
97263006
100
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0972630061
資料類型 thesis
dc.contributor.advisor 鄭士卿zh_TW
dc.contributor.advisor Jeng, Vivianen_US
dc.contributor.author (Authors) 吳靜婷zh_TW
dc.creator (作者) 吳靜婷zh_TW
dc.date (日期) 2011en_US
dc.date.accessioned 4-Sep-2013 10:13:36 (UTC+8)-
dc.date.available 4-Sep-2013 10:13:36 (UTC+8)-
dc.date.issued (上傳時間) 4-Sep-2013 10:13:36 (UTC+8)-
dc.identifier (Other Identifiers) G0972630061en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/59978-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 俄羅斯研究所zh_TW
dc.description (描述) 97263006zh_TW
dc.description (描述) 100zh_TW
dc.description.abstract (摘要) 本研究旨在衡量俄羅斯銀行業競爭程度的變化，探討2003至2010年間，其銀行行為、政府政策和國際情勢對俄羅斯銀行業競爭程度的影響。本研究以非結構法的Panzer-Rosse模型為研究主軸，並輔以結構性指標來衡量俄羅斯銀行業的競爭程度，發現俄羅斯銀行業在2003至2009年俄羅斯的銀行市場大多處於獨占性競爭。但是2010年以資產標準化的總收入為被解釋變數時卻無法拒絕市場存在獨占力或銀行間存在聯合勾結的寡占之需無假設，可能與俄羅斯政府因應全球金融危機所作的政策調整有關。
為使結果更具可靠性，本研究排除可能影響檢定結果知極端值進行敏感性檢定，將可能對市場具有獨占力的俄羅斯最大的國有銀行Sberbank排除在樣本之外，結果2010年的俄羅斯銀行市場仍然存在獨占力。另外，考慮不同地區銀行密集度的不同，將研究樣本分成中央聯邦區與非中央聯邦區，結果發現在銀行密集度較高的中央聯邦區在2005至2009年為完全競爭，但是該地區2010年的銀行市場依然存在獨占力，而非中央聯邦區的競爭程度變化較小。相較於過去的文獻，本文發現俄羅斯銀行業在考慮利息收入與非利息收入之競爭程度有所不同，尤其在2008至2010年間的差異更為明顯，而俄羅斯銀行業的競爭程度在金融危機期間也確實因為採用的被解釋變數不同，致使兩者的H統計量與市場檢定結果呈現不一致的趨勢。		zh_TW
dc.description.abstract (摘要) This paper examines the degree of market competition in Russian banking industry by analyzing the impact of bank activity, government policy and international situation over the period of 2003-2010.We use the P-R model as well as concentration ratio and Herfindall-Hirschman Index to measure the competition in order to distinguish competitive behavior on market. Evidence is found that during the period of 2003-2009 the Russian banking industry is characterized as monopolistic competition. But in 2010, the market becomes monopolistic due to the change of government policy by global financial crisis.
To do our sensitivity analysis, we exclude the outlier that might influence the results such as Sberbank, the biggest state bank of Russia. But our results remain the same. Furthermore, this paper separates the region into Central Federal District and non- Central Federal District, and we find that market is perfect competition in Central Federal District in period 2005-2009, but monopoly still exists in 2010. Compared with the previous literature, this paper finds that some differences exist between the results when dependent variable is interest revenue and the result of total revenue, especially in period of 2008-2010.		en_US
dc.description.tableofcontents 第一章 緒論 4
第一節 研究動機與目的 4
一、研究背景與動機 4
二、研究目的 7
第二節 研究方法 8
第三節 研究範圍與限制 8
第四節 研究架構與章節安排 9
一、研究架構 9
二、章節安排 10
第二章 文獻探討 11
第一節 競爭衡量之理論比較與重要性 11
第二節 Panzar and Rosse模型之發展與應用 15
第三章 俄羅斯銀行業發展及現況概述 18
第一節 銀行業發展背景 18
第二節 全球金融危機 23
第三節 俄羅斯發展現況 25
第四章 實證模型及資料分析 28
第一節 結構性分析法 28
第二節 Panzar and Rosse模型 29
第三節 市場長期均衡條件 33
第四節 資料說明及分析 34
一、資料說明 34
二、資料分析 36
第五章 實證結果分析 41
第一節 結構性指標分析 41
第二節 長期均衡檢定 46
第三節 競爭程度檢定 48
第四節 敏感性檢定 53
一、極端值處理：Hampel Identifier法 53
二、極端值處理：排除最大儲蓄銀行SberBank於樣本外 56
三、競爭程度隨地區分佈有所不同 59
四、對數關係與模型結果 67
第六章 結論 70
參考文獻74
附錄80		zh_TW
dc.format.extent 1143767 bytes-
dc.format.mimetype application/pdf-
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0972630061en_US
dc.subject (關鍵詞) 俄羅斯銀行業zh_TW
dc.subject (關鍵詞) 銀行競爭zh_TW
dc.subject (關鍵詞) Panzer and Rosse模型zh_TW
dc.subject (關鍵詞) 市場結構指標zh_TW
dc.title (題名) 俄羅斯銀行業競爭程度之研究zh_TW
dc.title (題名) The analysis on the degree of competition in Russian banking industryen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) 一、中文文獻
1. 沈中華，2004，「貨幣銀行學原理─全球的觀點」，新陸書局。
2. 楊雲明，2002，「個體經濟學」，智勝文化。
3. 洪美蘭，2002，「經濟激進轉型策略─中東歐之經驗與啟示」。
4. 蘇明發、侯宗達，1997，「銀行業市場結構與獲利之關聯」，經濟研究叢書第60種，台北銀行經濟研究室。
5. 沈中華、呂美慧，2007，「本國銀行業逐年的競爭程度及其變化分析」，證券市場發展季刊，第19期，第2卷，頁119-152。
6. 劉景中，2011，「銀行集中度及銀行效率對市場競爭度的影響: 臺灣實證研究」，經濟論文叢刊，第 39 期 第 1卷。
7. 羅任媛，2001。「新興市場國家金融危機成因之研究─以俄羅斯為例」，國立政治大學俄羅斯研究所碩士論文。
8. 徐向梅，2007，「俄羅斯國有銀行：優勢地位、私有化及啟示」，廣東金融學院學報，第22期第3卷，頁33-37。
9. 徐向梅，2009，「俄羅斯銀行改革、危機與啟示」，經濟社會體制比較，第5期，頁62-67。
10. 徐向梅，2009，「銀行危機與改革：以俄羅斯為例」，廣東金融學院學報，第24期第1卷，頁83-88。
11. 安兆禎，2008，「國際金融危機被警下的俄羅斯銀行業發展分析」，第35期第6卷，頁15-18。
12. 陳柳欽，2007，「金融危機後的俄羅斯銀行業結構變遷與績效改善」，上海金融學院學報，第81期第3卷，頁57-64。
13. 李新，2010，「俄羅斯經濟危機及其特點和根源」，俄羅斯東歐中亞研究，2010年第2期。
14. 宋魁，2010，「國際金融危機對俄羅斯影響及其政策走勢」，哈爾濱市委黨校學報，第70期，第4卷。
15. 趙笑蕾、李瑞琴，2010，「金融危機以來俄羅斯社會思潮新變化」，當代世界2010年第10期。
二、英文文獻
16. Baumol, William J., 1982, “The income distribution frontier and taxation of migrants Original Research Article” Journal of Public Economics 18(3): 343-361.
17. Bresnahan, T. F., 1982, “The Oligopoly Solution is Identified,” Economics Letters 10: 87-92.
18. Bikker, J. A. and J. M. Groeneveld, 2000, “Competition and Concentration in the EU Banking Industry,” Kredit und Kapital 33: 62-69.
19. Bikker, J. A. and K. Haaf, 2002, “Competition, Concentration and Their Relationship: An Empirical Analysisasurement of Conjectural Variations in of the Banking Industry,” Journal of Banking and finance 26: 2191-2214.
20. Berglöf, Eric and Bolton, P., 2002, “The great divide and beyond: Financial architecture in transition,” Journal of Economic Perspectives 16(1): 77-100.
21. Beck, T., 2004, “Financial System Development, Regulation and Economic Growth: Evidence from Russia,” The Journal of Banking and Finance, forthcoming.
22. Berglöf, Eric, and Alexander Lehmann, 2008, "Sustaining Russia’s Growth: The Role of Financial Reform," Journal of Comparative Economics 37(2): 198-206.
23. Berkowitz, Daniel, and David DeJong, 2010, "Growth in Post-Soviet Russia: A Tale of Two Transitions," Journal of Economic Behavior and Organization (forthcoming).
24. Cetorelli, Nicola and Michele Gambera, 2001, “Banking Market Structure, Financial Dependence and Growth: International Evidence from Industry Data,” Journal of Finance 56: 617-648.
25. Claessens, Stijn, Asli Demirgüc-Kunt and Harry Huizinga, 2001, “How Does Foreign Entry Affect Domestic Banking Markets?” Journal of Banking and Finance 25: 891-911.
26. Corvoisier, S. and Gropp, R., 2002, “Bank Concentration and Retail Interest Rates,”Journal of Banking and Finance 26: 2155-89.
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