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    题名: A New Approach to Jointly Estimating the Lerner Index and Cost Efficiency for Multi-output Banks under a Stochastic Meta-Frontier Framework
    作者: 黃台心;江典霖;趙世偉
    Huang, Tai-Hsin;Chiang, Dien-Lin;Chao, Shih-Wei
    贡献者: 金融系
    关键词: Copula-based simultaneous stochastic frontier model;Cost frontier;Output price frontier;Stochastic meta-frontier;Technology gap ratio;Potential Lerner index
    日期: 2016-09
    上传时间: 2017-06-28 14:54:51 (UTC+8)
    摘要: This paper proposes the copula-based simultaneous stochastic frontier model, composed of a cost frontier and two output price frontiers, for the banking sector in order to measure cost efficiency and market power in the markets of loans and investments. The new Lerner indices are estimated by the simultaneous equations model, consisting of three frontier equations, thus avoiding obtaining negative measures of the Lerner index. We apply the stochastic meta-frontier model of Huang et al. (2014) to estimate and compare cost efficiency and market power across five European countries over the period 1998–2010. Our approach allows for calculating the technology gap ratio and evaluating the potential Lerner indices, which consist of the Lerner index and marginal cost gap ratio. Empirical results suggest that banks reallocate their output quantities toward the one with a higher measure of the potential Lerner index in order to promote profits. Adopting advanced technology and conducting merger and acquisitions are effective ways to achieve this goal.
    關聯: Quarterly Review of Economics and Finance,
    数据类型: article
    DOI 連結: http://dx.doi.org/10.1016/j.qref.2016.09.004
    DOI: 10.1016/j.qref.2016.09.004
    显示于类别:[金融學系] 期刊論文

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