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    政大機構典藏 > 商學院 > 金融學系 > 期刊論文 >  Item 140.119/65020


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    題名: Bank Competition in Transition Countries: Are Those Markets Really in Equilibrium?
    作者: Huang, Tai-Hsin;Liu, Nan-Hung
    黃台心
    貢獻者: 金融系
    關鍵詞: Market competition;H statistic;Censored stochastic frontier model;Long-run equilibrium
    日期: 2013.12
    上傳時間: 2014-03-31 15:43:19 (UTC+8)
    摘要: This paper 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 (J Ind Econ 35:443–456, 1987). Differing from previous works, this paper applies the newly developed censored stochastic frontier model (CSFM) to test whether these markets have achieved long-run equilibrium, which is an issue overlooked by previous literature. The CSFM appears to be preferable to the conventional one that requires adding a unity to the dependent variable return on assets for all observations, making the so-derived dependent variable non-negative. 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.
    關聯: Empirical Economics,2013(12)
    資料類型: article
    顯示於類別:[金融學系] 期刊論文

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