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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/76179
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/76179


    Title: 運用新共同邊界函數探討多重產出下聯立估計銀行競爭度與成本效率之影響
    A New Approach to Jointly Estimating the Lerner Index and Cost Efficiency for Multi-output Banks under a Meta-Frontier Framework
    Authors: 江典霖
    Chiang, Dien Lin
    Contributors: 黃台心
    Huang, Tai Hsin
    江典霖
    Chiang, Dien Lin
    Keywords: Lerner指數
    成本效率
    產出價格邊界
    共同邊界
    關聯結構函數
    Lerner index
    cost efficiency
    output price frontier
    meta-frontier
    copula methods
    Date: 2014
    Issue Date: 2015-07-01 14:46:33 (UTC+8)
    Abstract: 過去文獻大多使用Lerner指數來衡量銀行業之市場競爭度,但在計算過程中有可能出現其值為負之問題。為解決上述問題,本文運用關聯結構函數建立聯立隨機邊界模型,它由銀行成本邊界與兩條產出價格邊界所組成,可以同時衡量放款市場及投資市場之市場競爭度與成本效率。另外,為比較西歐五個國家的銀行市場競爭度與成本效率,本文進一步採用Huang et al. (2014)所提出的新隨機共同邊界模型,此模型除使用共同成本邊界計算技術缺口比率外,還透過產出價格共同邊界衡量潛在Lerner指數,進一步拆解成Lerner指數與MC gap ratio (MCGR)兩部分,可以比較不同國家間的市場競爭程度。
    This paper proposes the copula-based simultaneous stochastic frontier model (CSSFM), 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 index can be estimated by relying on the simultaneous equations model, consisting of three frontier equations, which avoids obtaining negative measures of the Lerner index. We then apply the new meta-frontier model to simultaneously estimate and compare cost efficiency and market power across five countries over the period 1998-2010. The salient feature of our proposed approach is that it allows for calculating the technology gap ratio on the basis of the cost frontier, as well as evaluating the potential Lerner index from price frontiers, which can be decomposed into the country-specific Lerner index and marginal cost gap ratio.
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    Description: 博士
    國立政治大學
    金融研究所
    97352508
    103
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0973525082
    Data Type: thesis
    Appears in Collections:[金融學系] 學位論文

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