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題名 銀行產業競爭度分析: 新方法與其應用
Two Essays on Bank Competition: New Methods and Their Applications
作者 劉南宏
Liu, Nan Hung
貢獻者 黃台心
Huang, Tai Hsin
劉南宏
Liu, Nan Hung
關鍵詞 market competition
H statistic
censored stochastic frontier model
long-run equilibrium
Copula methods
Cost efficiency
Quiet life hypothesis
market competition
H statistic
censored stochastic frontier model
long-run equilibrium
Copula methods
Cost efficiency
Quiet life hypothesis
日期 2013
上傳時間 3-Mar-2014 15:33:10 (UTC+8)
摘要 The Panzar and Rosse (1987) H-statistic and the Lerner index (Lerner, 1934), measuring the degree of market competition, are revisited in the context of the New Empirical Industrial Organization (NEIO) literature. Although these two indicators have been popularly applied by empirical researchers, they have some potential problems that remain to be solved. This dissertation aims to disentangle these problems in such a way as to consistently estimate the competitive conditions for the industry of interest.
     
     Chapter II investigates the degree of market competition in the banking industries of 17 Central and Eastern European (CEE) countries over the period 1994-2008, using the H statistic proposed by Panzar and Rosse (1987). Differing from previous works, I apply the newly developed censored stochastic frontier model (CSFM) to test whether these markets have achieved long-run equilibrium, which is an overlooked issue by previous literature. The CSFM appears to be preferable to the conventional one that requires adding a unity to the dependent variable ROA (return on assets) for all observations, making the so-derived dependent variable non-negaitive. One can then take the natural logarithm of this distorted dependent variable for a subsequent equilibrium test. Inconsistent parameter estimates may occur and lead to doubtful testing results. Empirical outcomes show that a majority of the banking markets under study experience rising H statistics during the sample period and are operating under monopolistic competition. Moreover, our results indicate that some CEE banking sectors are characterized as contestable markets that may have contributed to the recent deregulation and liberalization progress. More importantly, the CSFM confirms that most of the banking sectors are in long-run equilibrium, justifying the use of the Panzar-Rosse model, while the conventional, transformed dependent variable approach tends to reject the equilibrium hypothesis in more sample countries.
     
     Chapter III 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. The distinguishing feature of the paper is that market power and cost efficiency are estimated jointly in a single-step. I 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 non-negative Lerner index measure free from random shocks. I showcase the advantages of my 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, my model gives higher mean values of the Lerner index and smaller standard deviations. I find a significant positive relationship between cost efficiency and market power of banks, thereby rejecting the “quiet life hypothesis”.
     
     Chapter IV concludes the dissertation.
     
     
     Key Words: market competition; H statistic; censored stochastic frontier model; long-run equilibrium; Copula methods; Cost efficiency; Lerner index; Market power; Quiet life hypothesis
參考文獻 Aas, K., C. Czado, A. Frigessi, and H. Bakken (2009), “Pair-copula Constructions of Multiple Dependence,” Insurance: Mathematics and Economics, 44, 182-198.
     
     Agoraki, M. K., M. D. Delis, and F. Pasiouras (2011), “Regulations, Competition and Bank Risk-taking in Transition Countries,” Journal of Financial Stability, 7, 38-48.
     Aigner, D., C. A. K. Lovell, and P. Schmidt (1977), “Formulation and Estimation of Stochastic Frontier Production Function Models.” Journal of Econometrics, 6, 21-37.
     AI-Muharrami, S., K. Matthews, and Y. Khabari (2006), “Market Structure and Competitive Conditions in the Arab GCC Banking System,” Journal of Banking and Finance, 30, 3487-3501.
     Alegria, C. and K. Schaeck (2008), “On Measuring Concentration in Banking Systems,” Finance Research Letters, 5, 59-67.
     Amemiya, T. (1985), Advanced Econometrics, Harvard University Press, Cambridge.
     Amsler, C., A. Prokhorov, and P. Schmidt (2011), “Using Copulas to Model Time Dependence in Stochastic Frontier Models,” Working Paper.
     Angelini, P. and N. Cetorelli (2003), “The Effects of Regulatory Reform on Competition in the Banking Industry,” Journal of Money, Credit, and Banking, 35, 663-684.
     Baumol, W. J. (1982), “Contestable Markets: An Uprising in the Theory of Industry Structure,” American Economic Review, 72, 1-15.
     
     Baumol, W., J. Panzar,, and R. Willig (1982), Contestable markets and the theory of industry, San Diego: Harcourt Brace Jovanovich.
     
     Beck, T., A. Demirgüç-Kunt, and R. Levine (2006), “Bank Concentration, Competition, and Crisis: First Results,” Journal of Banking and Finance, 30, 1581-1603.
     Berg, S. A. and M. Kim (1994), “Oligopolistic Interdependence and the Structure of Production in Banking: An Empirical Evaluation,” Journal of Money, Credit, and Banking, 26, 309-322.
     Berg, S. A. and M. Kim (1998), “Bank as Multioutput Oligopolies: An Empirical Evaluation of the Retail and Corporate Banking Markets,” Journal of Money, Credit, and Banking, 30, 135-153.
     Berger, A. N. and T. H. Hannan (1998), “The Efficiency Cost of Market Power in the Banking Industry,” Review of Economics and Statistics, 8, 454-465.
     Berger, A. N., A. Demirgüç-Kunt, R. Levine, and J. G. Haubrich (2004), “Bank Concentration and Competition: An Evolution in the Making,” Journal of Money, Credit, and Banking, 36, 433-451.
     
     Berger, A. N., L. F. Klapper, and R. Turk-Ariss (2009), “Bank Competition and Financial Stability,” Journal of Financial Services Research, 35, 99-118.
     Bikker, J. A. and J. M. Groeneveld (2000), “Competition and Concentration in the EU Banking Industry,” Kredit and Kapital, 33, 62-98.
     Bikker, J. A. and K. Haaf (2002), “Competition, Concentration and Their Relationship: An Empirical Analysis of the Banking Industry,” Journal of Banking and Finance, 26, 2191-2214.
     Carbó, S., D. Humphrey, and F. Rodríguez (2003), “Deregulation, Bank Competition and Regional Growth,” Regional Studies, 37, 227-237.
     Carbó, S., D. Humphrey, J. Maudos, and P. Molyneux (2009), “Cross-country Comparisons of Competition and Pricing Power in European Banking,” Journal of International Money and Finance, 28, 115-134.
     Carta, A. and M. F. J. Steel (2010), “Modelling Multi-output Stochastic Frontiers Using Copulas,” Computational Statistics and Data Analysis, forthcoming.
     Casu, B. and C. Girardone (2006), “Bank Competition, Concentration and Efficiency in the Single European Market,” The Manchester School, 74, 441-468.
     Cherubini, U., E. Luciano, and W. Vecchiato (2004), Copula Methods in Finance, New York: John Wiley.
     Claessens, S. and L. Laeven (2004), “What Drives Bank Competition? Some International Evidence,” Journal of Money, Credit, and Banking, 36, 563-583.
     Coccorese, P. (2004), “Banking Competition and Macroeconomic Conditions: A Disaggregate Analysis,” Journal of International Financial Markets, Institutions and Money, 14, 203-219.
     Coccorese, P. (2009), “Market Power in Local Banking Monopolies,” Journal of Banking and Finance, 33, 1196-1210.
     De Bandt, O. and E. P. Davis (2000), “Competition, Contestability and Market Structure in European Banking Sectors on the Eve of EMU,” Journal of Banking and Finance, 24, 1045-1066.
     Delis, M. D. and E. G. Tsionas (2009), “The Joint Estimation of Bank-level Market Power and Efficiency,” Journal of Banking and Finance, 33, 1842-1850.
     Delis, M. D. (2010), “Competitive Conditions in the Central and Eastern European Banking Systems,” Omega, 38, 268-274.
     Drakos, K. and P. Konstantinou (2005), “Competition and Contestability in Transition Banking: An Empirical Analysis,” South-Eastern Europe Journal of Economics, 2, 183-209.
     Fernández de Guevara, J., J. Maudos, and F. Pérez (2005), “Market Power in European Banking Sectors,” Journal of Financial Services Research, 27, 109-137.
     
     Fernández de Guevara, J., J. Maudos, and F. Pérez (2007), “Integration and Competition in the European Financial Markets,” Journal of International Money and Finance, 26, 26-45.
     Frees, E. W. and E. A. Valdez (1998), “Understanding Relationships Using Copulas,” North American Actuarial Journal, 2, 1-25.
     Fries, S. and A. Taci (2005), “Cost Efficiency of Banks in Transition: Evidence from 289 Banks in 15 Post-communist Countries,” Journal of Banking and Finance, 29, 55-81.
     Gelos, R. G. and J. Roldόs (2004), “Consolidation and Market Structure in Emerging Market Banking Systems,” Emerging Markets Review, 5, 39-59.
     Green, W. H. (2003), “Simulated Likelihood Estimation of the Normal-Gamma Stochastic Frontier Function,” Journal of Productivity Analysis, 19, 179-190.
     Hondroyiannis, G., S. Lolos, and E. Papapetrou (1999), “Assessing Competitive Conditions in the Greek Banking,” Journal of International Financial Markets, Institutions and Money, 9, 377-391.
     Joe, H. (1997), Multivariate Models and Dependence Concepts, London: Chapman and Hall.
     Jondrow, J., C. A. K. Lovell, I. S. Materov, and P. Schmidt (1982), “On the Estimation of Technical Inefficiency in the Stochastic Frontier Production Function Model,” Journal of Econometrics, 19, 233-238.
     Koetter, M., J. Kolari, and L. Spierdijk (2012), “Enjoying the Quiet Life under Deregulation? Evidence from Adjusted Lerner Indices for U.S. Banks,” Review of Economics and Statistics, 94, 462-480.
     Koetter, M. and T. Poghosyan (2009), “The Identification of Technology Regimes in Banking: Implications for the Marker Power-fragility Nexus,” Journal of Banking and Finance, 33, 1413-1422.
     Kumbhakar, S. and C.A.K. Lovell (2000), Stochastic Frontier Analysis, Cambridge University Press, Cambridge, U.K.
     Lai, H. P. and C. J. Huang (2013), “Maximum Likelihood Estimation of Seemingly Unrelated Stochastic Frontier Regressions,” Journal of Productivity Analysis, 40, 1-14.
     Lerner, A. P. (1934), “The Concept of Monopoly and the Measurement of Monopoly Power,” The Review of Economic Studies, 1, 157-175.
     
     Mamatzakis, E., C. Staikouras, and N. Koutsomanoli-Fillipaki (2005), “Competition and Concentration in the Banking Sector of the South Eastern European Region,” Emerging Markets Review, 6, 192-209.
     Matthews, K., V. Murinde, and T. Zhao (2007), “Competitive Conditions among the Major British Banks,” Journal of Banking and Finance, 31, 2025-2042.
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     Maudos, J. and L. Solís (2011), “Deregulation, Liberalization and Consolidation of the Mexican Banking System: Effects on Competition,” Journal of International Money and Finance, 30, 337-353.
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描述 博士
國立政治大學
金融研究所
96352509
102
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0963525091
資料類型 thesis
dc.contributor.advisor 黃台心zh_TW
dc.contributor.advisor Huang, Tai Hsinen_US
dc.contributor.author (Authors) 劉南宏zh_TW
dc.contributor.author (Authors) Liu, Nan Hungen_US
dc.creator (作者) 劉南宏zh_TW
dc.creator (作者) Liu, Nan Hungen_US
dc.date (日期) 2013en_US
dc.date.accessioned 3-Mar-2014 15:33:10 (UTC+8)-
dc.date.available 3-Mar-2014 15:33:10 (UTC+8)-
dc.date.issued (上傳時間) 3-Mar-2014 15:33:10 (UTC+8)-
dc.identifier (Other Identifiers) G0963525091en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/64335-
dc.description (描述) 博士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 金融研究所zh_TW
dc.description (描述) 96352509zh_TW
dc.description (描述) 102zh_TW
dc.description.abstract (摘要) The Panzar and Rosse (1987) H-statistic and the Lerner index (Lerner, 1934), measuring the degree of market competition, are revisited in the context of the New Empirical Industrial Organization (NEIO) literature. Although these two indicators have been popularly applied by empirical researchers, they have some potential problems that remain to be solved. This dissertation aims to disentangle these problems in such a way as to consistently estimate the competitive conditions for the industry of interest.
     
     Chapter II investigates the degree of market competition in the banking industries of 17 Central and Eastern European (CEE) countries over the period 1994-2008, using the H statistic proposed by Panzar and Rosse (1987). Differing from previous works, I apply the newly developed censored stochastic frontier model (CSFM) to test whether these markets have achieved long-run equilibrium, which is an overlooked issue by previous literature. The CSFM appears to be preferable to the conventional one that requires adding a unity to the dependent variable ROA (return on assets) for all observations, making the so-derived dependent variable non-negaitive. One can then take the natural logarithm of this distorted dependent variable for a subsequent equilibrium test. Inconsistent parameter estimates may occur and lead to doubtful testing results. Empirical outcomes show that a majority of the banking markets under study experience rising H statistics during the sample period and are operating under monopolistic competition. Moreover, our results indicate that some CEE banking sectors are characterized as contestable markets that may have contributed to the recent deregulation and liberalization progress. More importantly, the CSFM confirms that most of the banking sectors are in long-run equilibrium, justifying the use of the Panzar-Rosse model, while the conventional, transformed dependent variable approach tends to reject the equilibrium hypothesis in more sample countries.
     
     Chapter III 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. The distinguishing feature of the paper is that market power and cost efficiency are estimated jointly in a single-step. I 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 non-negative Lerner index measure free from random shocks. I showcase the advantages of my 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, my model gives higher mean values of the Lerner index and smaller standard deviations. I find a significant positive relationship between cost efficiency and market power of banks, thereby rejecting the “quiet life hypothesis”.
     
     Chapter IV concludes the dissertation.
     
     
     Key Words: market competition; H statistic; censored stochastic frontier model; long-run equilibrium; Copula methods; Cost efficiency; Lerner index; Market power; Quiet life hypothesis		en_US
dc.description.tableofcontents Chapter I. Introduction ................................................................................................. 1
     Chapter II. Bank Competition in Transition Countries: Are Those Markets Really in
      Equilibrium?.................................................................................................4
      1. Introduction .......................................................................................................... 4
      2. Literature Review ..................................................................................................7
     3. Methodology .......................................................................................……….10
     3.1. The PR Model ..............................................................................................11
     3.2. Equilibrium test ……………………………………………………………15
     3.3. Censored Stochastic Frontier Model……………………………………….17
      4. Data Description………………………………………………………………...19
      5. Empirical Results……………………………………………………………….20
      5.1. Market Competition Test Results…………………………………………..21
      5.2. The Evolution and Competition of Russian Banking Market……………...25
      5.3. Equilibrium Test Results…………………………………………………...27
      5.4. Sensitivity Analysis………………………………………………………...29
      5.5. Market Structure, Competition and Contestability in CEE Countries……..29
      6. Conclusion………………………………………………………………………31
      Appendix…………………………………………………………………………..33
     Chapter III. Joint Estimation of the Lerner Index and Cost Efficiency Using Copula Methods…………………………………………………………………42
     1. Introduction .........................................................................................................42
      2. The Econometric Model ......................................................................................46
      2.1. Simultaneous Modeling of Costs and the Output Price……………………46
      2.2. Copula-based Joint pdf and the Likelihood Function……………………...50
     3. Empirical Application ......................................................................................55
     3.1. Data Description............................................................................................55
     3.2. Results……………………………………………………………………...56
     3.3. Market Power and Bank Efficiency………………………………………..59
      4. Concluding Remarks……………………………………………………………60
     Chapter IV. Conclusions……………………………………………………………..69
     References……………………………………………………………………………71		zh_TW
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0963525091en_US
dc.subject (關鍵詞) market competitionzh_TW
dc.subject (關鍵詞) H statisticzh_TW
dc.subject (關鍵詞) censored stochastic frontier modelzh_TW
dc.subject (關鍵詞) long-run equilibriumzh_TW
dc.subject (關鍵詞) Copula methodszh_TW
dc.subject (關鍵詞) Cost efficiencyzh_TW
dc.subject (關鍵詞) Quiet life hypothesiszh_TW
dc.subject (關鍵詞) market competitionen_US
dc.subject (關鍵詞) H statisticen_US
dc.subject (關鍵詞) censored stochastic frontier modelen_US
dc.subject (關鍵詞) long-run equilibriumen_US
dc.subject (關鍵詞) Copula methodsen_US
dc.subject (關鍵詞) Cost efficiencyen_US
dc.subject (關鍵詞) Quiet life hypothesisen_US
dc.title (題名) 銀行產業競爭度分析: 新方法與其應用zh_TW
dc.title (題名) Two Essays on Bank Competition: New Methods and Their Applicationsen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) Aas, K., C. Czado, A. Frigessi, and H. Bakken (2009), “Pair-copula Constructions of Multiple Dependence,” Insurance: Mathematics and Economics, 44, 182-198.
     
     Agoraki, M. K., M. D. Delis, and F. Pasiouras (2011), “Regulations, Competition and Bank Risk-taking in Transition Countries,” Journal of Financial Stability, 7, 38-48.
     Aigner, D., C. A. K. Lovell, and P. Schmidt (1977), “Formulation and Estimation of Stochastic Frontier Production Function Models.” Journal of Econometrics, 6, 21-37.
     AI-Muharrami, S., K. Matthews, and Y. Khabari (2006), “Market Structure and Competitive Conditions in the Arab GCC Banking System,” Journal of Banking and Finance, 30, 3487-3501.
     Alegria, C. and K. Schaeck (2008), “On Measuring Concentration in Banking Systems,” Finance Research Letters, 5, 59-67.
     Amemiya, T. (1985), Advanced Econometrics, Harvard University Press, Cambridge.
     Amsler, C., A. Prokhorov, and P. Schmidt (2011), “Using Copulas to Model Time Dependence in Stochastic Frontier Models,” Working Paper.
     Angelini, P. and N. Cetorelli (2003), “The Effects of Regulatory Reform on Competition in the Banking Industry,” Journal of Money, Credit, and Banking, 35, 663-684.
     Baumol, W. J. (1982), “Contestable Markets: An Uprising in the Theory of Industry Structure,” American Economic Review, 72, 1-15.
     
     Baumol, W., J. Panzar,, and R. Willig (1982), Contestable markets and the theory of industry, San Diego: Harcourt Brace Jovanovich.
     
     Beck, T., A. Demirgüç-Kunt, and R. Levine (2006), “Bank Concentration, Competition, and Crisis: First Results,” Journal of Banking and Finance, 30, 1581-1603.
     Berg, S. A. and M. Kim (1994), “Oligopolistic Interdependence and the Structure of Production in Banking: An Empirical Evaluation,” Journal of Money, Credit, and Banking, 26, 309-322.
     Berg, S. A. and M. Kim (1998), “Bank as Multioutput Oligopolies: An Empirical Evaluation of the Retail and Corporate Banking Markets,” Journal of Money, Credit, and Banking, 30, 135-153.
     Berger, A. N. and T. H. Hannan (1998), “The Efficiency Cost of Market Power in the Banking Industry,” Review of Economics and Statistics, 8, 454-465.
     Berger, A. N., A. Demirgüç-Kunt, R. Levine, and J. G. Haubrich (2004), “Bank Concentration and Competition: An Evolution in the Making,” Journal of Money, Credit, and Banking, 36, 433-451.
     
     Berger, A. N., L. F. Klapper, and R. Turk-Ariss (2009), “Bank Competition and Financial Stability,” Journal of Financial Services Research, 35, 99-118.
     Bikker, J. A. and J. M. Groeneveld (2000), “Competition and Concentration in the EU Banking Industry,” Kredit and Kapital, 33, 62-98.
     Bikker, J. A. and K. Haaf (2002), “Competition, Concentration and Their Relationship: An Empirical Analysis of the Banking Industry,” Journal of Banking and Finance, 26, 2191-2214.
     Carbó, S., D. Humphrey, and F. Rodríguez (2003), “Deregulation, Bank Competition and Regional Growth,” Regional Studies, 37, 227-237.
     Carbó, S., D. Humphrey, J. Maudos, and P. Molyneux (2009), “Cross-country Comparisons of Competition and Pricing Power in European Banking,” Journal of International Money and Finance, 28, 115-134.
     Carta, A. and M. F. J. Steel (2010), “Modelling Multi-output Stochastic Frontiers Using Copulas,” Computational Statistics and Data Analysis, forthcoming.
     Casu, B. and C. Girardone (2006), “Bank Competition, Concentration and Efficiency in the Single European Market,” The Manchester School, 74, 441-468.
     Cherubini, U., E. Luciano, and W. Vecchiato (2004), Copula Methods in Finance, New York: John Wiley.
     Claessens, S. and L. Laeven (2004), “What Drives Bank Competition? Some International Evidence,” Journal of Money, Credit, and Banking, 36, 563-583.
     Coccorese, P. (2004), “Banking Competition and Macroeconomic Conditions: A Disaggregate Analysis,” Journal of International Financial Markets, Institutions and Money, 14, 203-219.
     Coccorese, P. (2009), “Market Power in Local Banking Monopolies,” Journal of Banking and Finance, 33, 1196-1210.
     De Bandt, O. and E. P. Davis (2000), “Competition, Contestability and Market Structure in European Banking Sectors on the Eve of EMU,” Journal of Banking and Finance, 24, 1045-1066.
     Delis, M. D. and E. G. Tsionas (2009), “The Joint Estimation of Bank-level Market Power and Efficiency,” Journal of Banking and Finance, 33, 1842-1850.
     Delis, M. D. (2010), “Competitive Conditions in the Central and Eastern European Banking Systems,” Omega, 38, 268-274.
     Drakos, K. and P. Konstantinou (2005), “Competition and Contestability in Transition Banking: An Empirical Analysis,” South-Eastern Europe Journal of Economics, 2, 183-209.
     Fernández de Guevara, J., J. Maudos, and F. Pérez (2005), “Market Power in European Banking Sectors,” Journal of Financial Services Research, 27, 109-137.
     
     Fernández de Guevara, J., J. Maudos, and F. Pérez (2007), “Integration and Competition in the European Financial Markets,” Journal of International Money and Finance, 26, 26-45.
     Frees, E. W. and E. A. Valdez (1998), “Understanding Relationships Using Copulas,” North American Actuarial Journal, 2, 1-25.
     Fries, S. and A. Taci (2005), “Cost Efficiency of Banks in Transition: Evidence from 289 Banks in 15 Post-communist Countries,” Journal of Banking and Finance, 29, 55-81.
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