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題名 探討亞洲銀行業非利息收入與淨利差之關係及利差決定因子
The interrelationship between net interest margin and noninterest income and the determinants of net interest margin for Asian banks.
作者 林文健
貢獻者 黃台心
Huang, Tai Hsin
林文健
關鍵詞 利差
非利息收入
市場力量
勒納指數
聯立方程式迴歸
NIM
noninterest income
market power
Lerner index
simultaneous equations
日期 2012
上傳時間 3-Mar-2014 15:33:11 (UTC+8)
摘要 This paper explores the interrelationship between the net interest margin (NIM) and noninterest income and their determinants for banks in 9 Asian countries over the period 1998-2010. A simultaneous equations system is used to deal with endogenous regressors and its structural parameters are identified under a heteroskedastic covariance restriction, proposed by Lewbel (2012). The renovated Lerner Index proposed by Huang et al. (2013) is factored as a more robust proxy for market power over HHI. Our results demonstrate significantly positive relationship between the NIM and noninterest income, suggesting overall benefits for banks from income diversification. In addition, the loss-leader behavior is not supported in the sample countries.
參考文獻 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.
Allen, L., 1988. The determinants of bank interest margins: a note. Journal of Financial and Quantitative Analysis 23 (2), 231–235.
Angbazo, L., 1997. Commercial bank net interest margin, default risk, interest-rate risk, and off-balance sheet banking. Journal of Banking and Finance 21, 55-87.
Baele, L., Jonghe, O., Vennet, R., 2007. Does the stock market value bank diversification? Journal of Banking and Finance 31, 1999–2023.
Bain, J., 1956. Barriers to new competition. Harvard University press, Cambridge, MA.
Beck, T., Demirguc-Kunt, A., Levine, R., 2006. Bank Concentration, competition, and Crises: First Results. Journal of Banking and Finance 30, 1581-1603.
Berg, S. A., 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., 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, R. Turk-Ariss, 2009. Bank Competition and Financial Stability. Journal of Financial Services Research 35, 99-118.
Berger, A., 1995. The relationship between capital and earnings in banking. Journal of Money Credit and Bank 27, 432-456.
Berger, A.N., Hasan, I., Zhou, M., 2010. The effects of focus versus diversification on bank performance: Evidence from Chinese banks. Journal of Banking and Finance 34, 1417-1435.
Carbó, S., Rodríguez, F., 2007. The determinants of bank margins in European banking. Journal of Banking and Finance 31, 2043-2063.
Delis, M. D., E. G. Tsionas, 2009. The Joint Estimation of Bank-level Market Power and Efficiency. Journal of Banking and Finance 33, 1842-1850.
Fernández de Guevara, J., J. Maudos, and F. Pérez, 2005. Market Power in European Banking Sectors. Journal of Financial Services Research 27, 109-137.
Flannery, M.C. and C.M. James, 1984. The effects of interest rate changes on the common stock returns of financial institutions. Journal of Finance 39, 1141-1153.
Heffernan, S.A., Fu, X., 2010. Determinants of financial performance in Chinese banking. Applied Financial Economics 20, 1585-1600.
Ho, T., Saunders, A., 1981. The determinants of bank interest margins: theory and empirical evidence. Journal of Financial and Quantitative Analysis 16, 581-600.
Huang, T.H., Liu N. H., 2013. Formulation and Joint Estimation of the Lerner Index and Cost Efficiency for Banks Using Copula Methods. Manuscript.
James, C., 1988. The use of loan sales and standby letters of credit by commercial banks. Journal of Monetary Economics 22, 395-422.
Keeley, M.C., 1990. Deposit Insurance, Risk, and Market Power in Banking. American Economic Review 80, 1183-1200.
Koetter, M., 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. C. and C. A. K. Lovell, 2000. Stochastic Frontier Analysis. Cambridge: Cambridge University Press.
Laeven, L., Levin, R., 2007. Is there a diversification discount in financial conglomerates? Journal of Financial Economics 85, 331–367.
Lai, H. P. and C. J. Huang, 2010. Maximum Likelihood Estimation of Seemingly Unrelated Stochastic Frontier Regressions. Manuscript.
Lepetit, L., Nys, E., Rous, P., Tarazi, A., 2008. The expansion of services in European banking: Implications for loan pricing and interest margins. Journal of Banking and Finance 32, 2325-2335.
Lerner, A. P., 1934. The Concept of Monopoly and the Measurement of Monopoly Power. The Review of Economic Studies 1, 157-175.
Lewbel, A., 2012. Using heteroscedasticity to identify and estimate mismeasured and endogenous regressor models. Journal of Business and Economic Statistics 30, 67-80.
Lin, J., Chung, H., Hsieh, M., Wu, S., 2012. The determinants of interest margins and their effect on bank diversification: Evidence from Asian banks. Journal of Financial Stability 8, 96-106.
Maudos, J., Fernández de Guevara, J., 2004. Factors explaining the interest margin in the banking sectors of the European Union. Journal of Banking and Finance 28, 2259-2281.
Maudos, J., J. Fernández de Guevara, 2004. Factors Explaining the Interest Margin in the Banking Sectors of the European Union. Journal of Banking and Finance 28, 2259-2281.
Maudos, J., J. Fernández de Guevara, 2007. The Cost of Market Power in Banking: Social Welfare Loss vs. Cost Inefficiency. Journal of Banking and Finance 31, 2103-2125.
Maudos, J., Solís, L., 2009. The determinants of net interest income in the Mexican banking system: An integrated model. Journal of Banking and Finance 33, 1920-1931.
McShane, R.W., Sharpe, I.G., 1985. A time series/cross section analysis of the determinants of Australian trading bank loan/deposit interest margins: 1962-1981. Journal of Banking and Finance 9, 115-136.
Meeusen, W. and J. Van Den Broeck, 1977. Efficiency Estimation from Cobb-Douglas Production Functions with Composed Error. International Economic Review, 18, 435-444.
Nguyen, J., 2012. The relationship between net interest margin and noninterest income using a system estimation approach. Journal of Banking and Finance 36, 2429-2437.
Panzar, J. C., J. N. Rosse, 1987. Testing for Monopoly Equilibrium. Journal of Industrial Economics 35, 443-456.
Pennacchi, G., 1988. Loan sales and the cost of bank capital. Journal of Finance 43, 375-396.
Pyle, D., 1985, Discussion of off balance sheet banking, In: The search for financial stability: The past 50 years. Federal Reserve Bank of San Francisco, San Francisco, CA.
Rogers, K., Sinkey, J.F., 1999. An analysis of non-traditional activities at US commercial banks. Review of Financial Economics 41, 323-336.
Shaffer, S., 1989. Competition in the US Banking Industry. Economics Letters 29, 321-323.
Sklar, A., 1959. Functions de Répartition àn Dimensions et Leurs Marges. Publications de l’Institut de Statistique de L’Université de Paris, 8, 229-231.
Stiroh, K., 2006. A portfolio view of banking with interest and noninterest activities. Journal of Money, Credit and Banking 38, 1351–1361.
Tsay, W. J., C. J. Huang, T. T. Fu, and I. L. Ho (2012), A Simple Closed-form Approximation for the Cumulative Distribution Function of the Composite Error of Stochastic Frontier Models, Journal of Productivity Analysis, forthcoming.
Turk-Ariss, R., 2009. Competitive Behavior in Middle East and North Africa Banking Systems. The Quarterly Review of Economics and Finance 49, 693-710.
William A. Brock, 1983. Contestable markets and the theory of industry structure: A review article. Journal of Political Economy 91, 1055-1066.
描述 碩士
國立政治大學
金融研究所
100352007
101
資料來源 http://thesis.lib.nccu.edu.tw/record/#G1003520071
資料類型 thesis
dc.contributor.advisor 黃台心zh_TW
dc.contributor.advisor Huang, Tai Hsinen_US
dc.contributor.author (Authors) 林文健zh_TW
dc.creator (作者) 林文健zh_TW
dc.date (日期) 2012en_US
dc.date.accessioned 3-Mar-2014 15:33:11 (UTC+8)-
dc.date.available 3-Mar-2014 15:33:11 (UTC+8)-
dc.date.issued (上傳時間) 3-Mar-2014 15:33:11 (UTC+8)-
dc.identifier (Other Identifiers) G1003520071en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/64336-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 金融研究所zh_TW
dc.description (描述) 100352007zh_TW
dc.description (描述) 101zh_TW
dc.description.abstract (摘要) This paper explores the interrelationship between the net interest margin (NIM) and noninterest income and their determinants for banks in 9 Asian countries over the period 1998-2010. A simultaneous equations system is used to deal with endogenous regressors and its structural parameters are identified under a heteroskedastic covariance restriction, proposed by Lewbel (2012). The renovated Lerner Index proposed by Huang et al. (2013) is factored as a more robust proxy for market power over HHI. Our results demonstrate significantly positive relationship between the NIM and noninterest income, suggesting overall benefits for banks from income diversification. In addition, the loss-leader behavior is not supported in the sample countries.en_US
dc.description.tableofcontents I. Introduction 1
II. Literature Review 6
2.1. The Lerner Index 6
2.2. The Relationship and the Determinants of NIM 9
III. Methodology 14
3.1 The Lerner Index 14
3.2 The Nexus of NIM and Noninterest Income 16
IV. Data Description 19
4.1. Variables Used to Estimate The Lerner Index 19
4.2. Variables Used in Simultaneous Equations System 20
V. Empirical Results 28
5.1. The Lerner Index 28
5.2. The Nexus of NIM and Noninterest Income 29
VI. Concluding Remarks 37
Appendix 1 39
Appendix Table 1 43
Appendix Table 2 45
References 48		zh_TW
dc.format.extent 580201 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/#G1003520071en_US
dc.subject (關鍵詞) 利差zh_TW
dc.subject (關鍵詞) 非利息收入zh_TW
dc.subject (關鍵詞) 市場力量zh_TW
dc.subject (關鍵詞) 勒納指數zh_TW
dc.subject (關鍵詞) 聯立方程式迴歸zh_TW
dc.subject (關鍵詞) NIMen_US
dc.subject (關鍵詞) noninterest incomeen_US
dc.subject (關鍵詞) market poweren_US
dc.subject (關鍵詞) Lerner indexen_US
dc.subject (關鍵詞) simultaneous equationsen_US
dc.title (題名) 探討亞洲銀行業非利息收入與淨利差之關係及利差決定因子zh_TW
dc.title (題名) The interrelationship between net interest margin and noninterest income and the determinants of net interest margin for Asian banks.en_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) 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.
Allen, L., 1988. The determinants of bank interest margins: a note. Journal of Financial and Quantitative Analysis 23 (2), 231–235.
Angbazo, L., 1997. Commercial bank net interest margin, default risk, interest-rate risk, and off-balance sheet banking. Journal of Banking and Finance 21, 55-87.
Baele, L., Jonghe, O., Vennet, R., 2007. Does the stock market value bank diversification? Journal of Banking and Finance 31, 1999–2023.
Bain, J., 1956. Barriers to new competition. Harvard University press, Cambridge, MA.
Beck, T., Demirguc-Kunt, A., Levine, R., 2006. Bank Concentration, competition, and Crises: First Results. Journal of Banking and Finance 30, 1581-1603.
Berg, S. A., 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., 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, R. Turk-Ariss, 2009. Bank Competition and Financial Stability. Journal of Financial Services Research 35, 99-118.
Berger, A., 1995. The relationship between capital and earnings in banking. Journal of Money Credit and Bank 27, 432-456.
Berger, A.N., Hasan, I., Zhou, M., 2010. The effects of focus versus diversification on bank performance: Evidence from Chinese banks. Journal of Banking and Finance 34, 1417-1435.
Carbó, S., Rodríguez, F., 2007. The determinants of bank margins in European banking. Journal of Banking and Finance 31, 2043-2063.
Delis, M. D., E. G. Tsionas, 2009. The Joint Estimation of Bank-level Market Power and Efficiency. Journal of Banking and Finance 33, 1842-1850.
Fernández de Guevara, J., J. Maudos, and F. Pérez, 2005. Market Power in European Banking Sectors. Journal of Financial Services Research 27, 109-137.
Flannery, M.C. and C.M. James, 1984. The effects of interest rate changes on the common stock returns of financial institutions. Journal of Finance 39, 1141-1153.
Heffernan, S.A., Fu, X., 2010. Determinants of financial performance in Chinese banking. Applied Financial Economics 20, 1585-1600.
Ho, T., Saunders, A., 1981. The determinants of bank interest margins: theory and empirical evidence. Journal of Financial and Quantitative Analysis 16, 581-600.
Huang, T.H., Liu N. H., 2013. Formulation and Joint Estimation of the Lerner Index and Cost Efficiency for Banks Using Copula Methods. Manuscript.
James, C., 1988. The use of loan sales and standby letters of credit by commercial banks. Journal of Monetary Economics 22, 395-422.
Keeley, M.C., 1990. Deposit Insurance, Risk, and Market Power in Banking. American Economic Review 80, 1183-1200.
Koetter, M., 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. C. and C. A. K. Lovell, 2000. Stochastic Frontier Analysis. Cambridge: Cambridge University Press.
Laeven, L., Levin, R., 2007. Is there a diversification discount in financial conglomerates? Journal of Financial Economics 85, 331–367.
Lai, H. P. and C. J. Huang, 2010. Maximum Likelihood Estimation of Seemingly Unrelated Stochastic Frontier Regressions. Manuscript.
Lepetit, L., Nys, E., Rous, P., Tarazi, A., 2008. The expansion of services in European banking: Implications for loan pricing and interest margins. Journal of Banking and Finance 32, 2325-2335.
Lerner, A. P., 1934. The Concept of Monopoly and the Measurement of Monopoly Power. The Review of Economic Studies 1, 157-175.
Lewbel, A., 2012. Using heteroscedasticity to identify and estimate mismeasured and endogenous regressor models. Journal of Business and Economic Statistics 30, 67-80.
Lin, J., Chung, H., Hsieh, M., Wu, S., 2012. The determinants of interest margins and their effect on bank diversification: Evidence from Asian banks. Journal of Financial Stability 8, 96-106.
Maudos, J., Fernández de Guevara, J., 2004. Factors explaining the interest margin in the banking sectors of the European Union. Journal of Banking and Finance 28, 2259-2281.
Maudos, J., J. Fernández de Guevara, 2004. Factors Explaining the Interest Margin in the Banking Sectors of the European Union. Journal of Banking and Finance 28, 2259-2281.
Maudos, J., J. Fernández de Guevara, 2007. The Cost of Market Power in Banking: Social Welfare Loss vs. Cost Inefficiency. Journal of Banking and Finance 31, 2103-2125.
Maudos, J., Solís, L., 2009. The determinants of net interest income in the Mexican banking system: An integrated model. Journal of Banking and Finance 33, 1920-1931.
McShane, R.W., Sharpe, I.G., 1985. A time series/cross section analysis of the determinants of Australian trading bank loan/deposit interest margins: 1962-1981. Journal of Banking and Finance 9, 115-136.
Meeusen, W. and J. Van Den Broeck, 1977. Efficiency Estimation from Cobb-Douglas Production Functions with Composed Error. International Economic Review, 18, 435-444.
Nguyen, J., 2012. The relationship between net interest margin and noninterest income using a system estimation approach. Journal of Banking and Finance 36, 2429-2437.
Panzar, J. C., J. N. Rosse, 1987. Testing for Monopoly Equilibrium. Journal of Industrial Economics 35, 443-456.
Pennacchi, G., 1988. Loan sales and the cost of bank capital. Journal of Finance 43, 375-396.
Pyle, D., 1985, Discussion of off balance sheet banking, In: The search for financial stability: The past 50 years. Federal Reserve Bank of San Francisco, San Francisco, CA.
Rogers, K., Sinkey, J.F., 1999. An analysis of non-traditional activities at US commercial banks. Review of Financial Economics 41, 323-336.
Shaffer, S., 1989. Competition in the US Banking Industry. Economics Letters 29, 321-323.
Sklar, A., 1959. Functions de Répartition àn Dimensions et Leurs Marges. Publications de l’Institut de Statistique de L’Université de Paris, 8, 229-231.
Stiroh, K., 2006. A portfolio view of banking with interest and noninterest activities. Journal of Money, Credit and Banking 38, 1351–1361.
Tsay, W. J., C. J. Huang, T. T. Fu, and I. L. Ho (2012), A Simple Closed-form Approximation for the Cumulative Distribution Function of the Composite Error of Stochastic Frontier Models, Journal of Productivity Analysis, forthcoming.
Turk-Ariss, R., 2009. Competitive Behavior in Middle East and North Africa Banking Systems. The Quarterly Review of Economics and Finance 49, 693-710.
William A. Brock, 1983. Contestable markets and the theory of industry structure: A review article. Journal of Political Economy 91, 1055-1066.		zh_TW