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    政大機構典藏 > 商學院 > 金融學系 > 期刊論文 >  Item 140.119/120784
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/120784


    Title: Joint estimation of the Lerner index and cost efficiency using copula methods
    Authors: Huang, Tai-Hsin
    黃台心
    Liu, Nan-Hung
    Kumbhakar, Subal C.
    Contributors: 金融系
    Keywords: Copula methods;Cost efficiency;Lerner index;Market power;Quiet life hypothesis
    Date: 2018-03
    Issue Date: 2018-10-26 17:23:11 (UTC+8)
    Abstract: This paper 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. Both market power and cost efficiency are estimated jointly in a single step. We 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 nonnegative Lerner index free from random shocks. We showcase the advantages of our 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, our model gives higher mean values of the Lerner index and smaller standard deviations. Further, we find a significant positive relationship between cost efficiency and market power of banks, thereby rejecting the "quiet life hypothesis.".
    Relation: EMPIRICAL ECONOMICS, 54(2), 799-822
    Data Type: article
    DOI 連結: http://dx.doi.org/10.1007/s00181-016-1216-z
    DOI: 10.1007/s00181-016-1216-z
    Appears in Collections:[金融學系] 期刊論文

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