Please use this identifier to cite or link to this item:
標題: 降低銀行競爭程度可以提高獲利嗎?動態追蹤資料模型的應用
Relationship between Competition and Profitability and Other Determinants in the Banking Industry:A Dynamic Panel Data Analysis
作者: 楊麗靜
Yang, Li-Jing
關鍵字: 銀行競爭程度;Bank competition;銀行獲利;追蹤資料;前四大銀行集中度;赫德芬指數;Panzar-Rosse模型;Bank profitability;Panel data;Concentration;Herfindahl-Hirschman Indax;Panzar-Rosse;Dynamic panel model;GMM difference estimator;GMM system estimator;Dynamic panel extended model
出版社: 應用經濟學系所
引用: 參考文獻 沈中華、張雲翔(2001),「銀行型態、銀行績效與政府效能-由46國資料比較分析」。台灣金融財務季刊,第2 輯第2 期,頁85-95。 沈中華、吳孟紋(2007),「銀行的市場占有率與獲利,及其影響因素之探討-全球實證分析」。當代財務金融理論與實務研討會論文集,台中市,民國96年3月23日,台中技術學院財務金融系編,頁45-85。 陳錦村(1998),「競爭、往來關係與銀行授信行為之研究」。中國財務學刊,第五卷第三期,頁61-90。 譚瑾瑜(1998),「WTO達成全球金融服務業自由化協議之影響評估」。經濟情勢濟評論季刊,第四卷第一期,頁12-23。 Abbasoğlu, O. F., A. F. Aysan, and A. Gunes (2007), ”Concentration, Competition, Efficiency and Profitability of the Turkish Banking Sector in the Post-Crises Period, ” MPRA Paper , No.5494. Akhavein, J. D., P. V. Swamy, and S. B. Taubman (1997), “A General Method of Deriving the Efficiencies of Banks From A Profit Function,” Journal of Productivity Analysis, 8 , 71-93. Alonso-Borrego, C. and R. Sánchez-Mangas (2001), “Gmm Estimation of A Production Function with Panel Data: An Application to Spanish Manufacturing Firms, ” Statistics and Econometrics Working Papers , No. ws015527. Angelini, P and C. Nicola (2000),”Bank Competition and Regulatory Reform: The Case of the Italian Banking Industry,”Temi Di Discussion Working Paper , No.380. Appelbaum, E. (1982), ”The Estimation on the Degree of Oligopoly Power,” Journal of Econometrics , 19 , 287–299. Arellano, M (2003),” The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators,” Econometrica, 71(4) , 1121-1159. Arellano, M. and O. Bover (1995),” Another Look at the Instrumental Variables Estimation of Error-Component Models,” Journal of Econometrics, 68 , 29-51. Arellano, M. and S. Bond (1991),” Some Tests of Specification for Panel Data: Monte Carlo Evidence and An Application to Employment Equations,” Review of Economic Studies, 58 , 277-297. Baltagi, B. H (2001), Econometric Analysis of Panel Data, New York: John Wiley. Barth, J.R., G. Caprio Jr , and R. Levine (2006), “The Regulation and Supervision of Banks around the World - A New Database, Volume 1,” Policy, Research Working Paper, No.wps 2588. Barth, J. R., G. Caprio Jr, and R. Levine (2001), “Banking Systems around the Globe: Do Regulations and Ownership Affect Performance and Stability?” in F.S. Mishkin, (eds.), Prudential Supervision: What Works and What Doesn’t, 31-96 , Chicago: University of Chicago Press. Beck,T., A. Demirgüç-Kunt, and R. Levine (2000), “A New Database on the Structure and Development of the Financial Sector , ”The World Bank Economic Review, 14 , 597-605. Berger, A.(1995) , “The Profit–Structure Relationship in Banking-Tests of Market Power and Efficient-Structure Hypotheses, ”Journal of Money, Credit and Banking , 27 , 404–431. Bikker, J. A. (2004), Competition and Efficiency in A Unified European Banking Market, USA: Edward Elgar. Blundell, R. and S. Bond (1998), “Gmm Estimation with Persistent Panel Data: An Application to Production Functions, ”IFS Working Papers , No. W99/04. Blundell, R., S. Bond, and F. Windmeijer (2000), “Estimation in Dynamic Panel Data Models: Improving on the Performance of the Standard Gmm Estimator, ” IFS Working Papers, No. W00/12. Bresnahan, T. F. (1981), “Duopoly Models with Consistent Conjectures,” American Economic Review, 71 , 934–945. Budd, B. (2006),”Does Record Profitability Necessarily Reflect high Efficiency Performance: An Empirical Investigation of UAE Local Banks?” 35th Australian Conference of Economists (ACE), 25-27. Casu, B. (2006), “Bank Competition, Concentration and Efficiency in the Single European Market,” The Manchester School, 74 (4) , 441-468. Cetorelli, N. and M. Gambera (2001),” Banking Market Structure, Financial Dependence and Growth: International Evidence from Industry Data,” The Journal of Finance, 56 (2) , 617–648. Claessens, S. and L. Laeven (2004),”What Drives Bank Competition? Some International Evidence,” Journal of Money, Credit , and Banking, 36 , 563-583. De Nicolo, G., J H. Boyd, and A. M. Jalal (2007),”Bank Risk-Taking and Competition Revisited : New Theory and New Evidence,” IMF Working Papers, No. 06/297. Demirgüç-Kunt, A and H. Huizinga (1999),”Determinants of Commercial Bank Interest Margins and Profitability: Some International Evidence? “World Bank Economic Review, 13 , 379-408. Demirgüç-Kunt, A., L. Laeven, and R. Levine (2004),”Regulations, Market Structure, Institutions, and the Cost of Financial Intermediation, “Journal of Money, Credit, and Banking, 36 , 593-622. Demirgüç-Kunt, A. and R. Levine (2000),”Bank Concentration: Cross-Country Evidence,” World Bank Working Paper, Mimeo. Edison, H. J., R. Levine, L. Ricci, T. Sløk (2002),”Journal of International Money and Finance,” Journal of International Money and Finance , 21 , 749–776. Evanoff, D. and D. Fortier (1988),“Re-evaluation of the Structure-Conduct-Performance Paradigm in Banking,” Journal of Financial Service Research , 1 , 277-294. Gilbert, A. (1984), “Bank Market Structure and Competition:A Survey,” Journal of Money,Credit,and Banking, 16 , 617-645. Gale, B. T. (1972),” Market Share and Rate of Return,” Review of Economics and Statistics, 54 (4) , 412-423. Goddard, J., P. Molyneux, and J. S. Wilson (2004),”The Profitability of European Banks: A Cross-Sectional and Dynamic Panel Analysis,” The Manchester School , 72 (3) , 363–381. Haron, S. (1996),”Competition and Other External Determinants of the Profitability of Islamic Banks,” Islamic Economic Studies, 4(1) , 49-64. Heggestad, A. A. and J.J. Mingo, (1977),”The Competitive Condition of US Banking Markets and the Impact of Structural Reform,”Journal of Finance, 32 , 649-661. Iwata, G. (1974), “Measurement of Conjectural Variations in Oligopoly,” Econometrica, 42 , 947–966. Kosmidou, K., F. Pasiouras, and C. Zopounidis (2003), “Assessing Performance Factors in the UK Banking Sector: A Multicriteria Methodology,” 4th annual conference of International Economics and Finance Society on Finance and the International Economy, 28-29. Lang, G. (1996),”Efficiency, Profitability and Competition: Empirical Analysis for a Panel of German Universal Banks,” Ifo Studien, 4 , 537-561. La Porta, R., F. Lopez-de-Silanes, A.Shleifer, R. W. Vishny (1998),”Law and Finance,” The Journal of Political Economy, 106 (6) , 1113-1155. Mueller, D. C. (1990), The Dynamic of Company Profits: An International Comparison, New York: Combridge University Press. Neely, M. C.and D. C. Wheelock (1997),”Why Does Bank Performance Vary Across States? ” Federal Reserve Bank of St. Louis Review , 3 , 27-40. Neal, C. and D. Vittas (1992),”Competition and Efficiency in Hungarian Banking,” Policy Research Working Paper , No. 1010. Neven, D., and L. Roller (1999),“An Aggregate Structural Model of Competition in the European Banking Industry,” International Journal of Industrial Organization, 17, 1059 -1074. Rhoades, S. (1985),”Market Share as A Source of Market Power: Implications and Some Evidence,”Journal of Economics and Business, 37 , 343-363. Rousseau, P. L. and P. Wachtel (2000), “Equity Markets and Growth: Cross-Country Evidence on Timing and Outcomes, 1980-1995,” Journal of Business and Finance, 24 , 1933-57. Shen, C. C. and H. L. Chih (2005),” Investor Protection, Prospect Theory, and Earnings Management: An International Comparison of the Banking Industry,” Journal of Banking & Finance, 29 (10) , 2625-2697. Shen, C. H. and Y.-H. Chang (2006),” Do Regulations Affect Banking Performance? Government Governance May Matter?” Contemporary Economic Policy , 24 (1) , 92–105. Short, B. (1979),”The Relation between Commercial Bank Profit Rate and Banking Concentration in Canada, Western Europe and Japan,” Journal of Banking and Finance, 3 , 209–219. Smirlock, M. (1985),”Relationship between Concentration and Profitability of Banking ,” Journal of money, credit and Banking, 17 , 69-83. Smith, R. T. (1998),”Banking Competition and Macroeconomic Performance,”Journal of Money, Credit and Banking, 30 , 793-815. Suominen, M. (1994),”Measuring Competition in Banking: A Two-Product Model,” The Scandinavian Journal of Economics, 96 , 95-110. Woo, C.Y. (1981), “Market Share Leadership - Does It Always Pay Off?” Academy of Management Proceedings, San Diego.
本文採用1992-2006年61國的追蹤資料(panel data)檢測銀行競爭程度與銀行獲利的關係,我們採用前四大銀行集中度、赫德芬指數與Panzar-Rosse模型等三個變數作為銀行競爭程度的指標。本文主要的貢獻在於解釋降低銀行競爭程度是否一定有助於銀行獲利?在不同市場結構、經濟、金融及政府制度條件下,銀行競爭程度與銀行獲利的關係是否會發生改變?我們探討的影響因素包括:市場結構、法律規定、政府治理、經濟發展程度與產業內競爭等共五類。
本文採用動態追蹤資料模型下的兩階段GMM 系統估計方法,實證結果顯示降低銀行競爭程度對銀行獲利的影響效果為不顯著的正向影響。在影響銀行競爭程度與銀行獲利關係的因素中我們發現:一、隨著市場結構的改變,政府對銀行的控制程度越高,有助於增強兩者的正向關係,亦即為提高銀行獲利,政府應加強其對銀行的控制程度。二、隨著政府法律對證券業、保險業、非金融相關業跨業規定的嚴格限制,與外商銀行是否可在本國設立銀行的法規限制下,可能減弱兩者間的正向關係。三、在政府治理的條件下,良善的司法效率與對投資人的保護下,可能減弱或不影響兩者的正向關係。四、金融體系發展健全,高所得水準的國家,可能減弱兩者間的正向關係。五、非銀行產業的規模越高,銀行業面對非銀行金融機構的競爭壓力越大,可能減弱或不影響兩者間的正向關係。由上述結果可知,一國藉降低銀行競爭程度來促進銀行獲利,無法彰顯成效,必須藉由透過市場結構、經濟、金融及政府制度條件的建立,方可達成銀行競爭程度的有效目標。接著,我們考慮變數資料是否具穩健性,在考慮修正延伸模型後,發現在影響因素為政府治理變數時,均不會改變本文的結論,支持實證結果的穩健性。而其他四種影響因素則需視銀行競爭程度指標,據以判定其對銀行競爭程度與銀行獲利的影響關係。
其他識別: U0005-3107200819550800
Appears in Collections:應用經濟學系

Show full item record

Google ScholarTM


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.