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研究生:張皓然
研究生(外文):Chang,Haojan
論文名稱:銀行競爭程度之動態模型檢定及影響因素分析-東協主要國家及亞洲四小龍實證研究
論文名稱(外文):An Analysis Of The Market Structure And Its Determinants For Commercial Banks In Major ASEAN Countries And Newly Industrialized Asian Economies Using Both Dynamic And Static Models
指導教授:簡明哲簡明哲引用關係
指導教授(外文):Chien, Mingche
口試委員:黃美瑛周秀霞
口試委員(外文):Huang,Meiying
口試日期:6/25
學位類別:碩士
校院名稱:國立臺北大學
系所名稱:經濟學系
學門:社會及行為科學學門
學類:經濟學類
論文種類:學術論文
論文出版年:2012
畢業學年度:100
語文別:中文
論文頁數:82
中文關鍵詞:動態Panzar-Rosse模型市場結構一般動差法政府治理
外文關鍵詞:Dynamic Panzar-Rosse ModelMarket StructureGMMGovernment Governance
相關次數:
  • 被引用被引用:1
  • 點閱點閱:249
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  • 下載下載:42
  • 收藏至我的研究室書目清單書目收藏:0
本研究針對2002-2009年間東南亞國協主要國家及亞洲四小龍,進行銀行競爭程度檢定及競
爭程度之影響因素分析。本研究首先應用非結構法中的Panzar-Rosse檢定法之動態模型來估計代
表各國銀行業競爭程度之H統計值,並進一步以追蹤資料迴歸分析法來探討競爭程度與銀行集中
度、規模效率、資本結構、經濟成長及獲利性間的相關性,並加入政府治理變數,以觀察政府治
理品質對競爭程度與獲利能力之間的關聯性。

本研究首先應用Arellano and Bond(1991)的一般動差法至動態Panzar-Rosse模型,實證
結果發現在非均衡狀態下使用靜態模型將造成向零偏誤之結果且忽略自我相關變數將使H估計值
出現偏誤,此結果與Goddard and Wilson(2009)看法一致。競爭程度檢定結果發現,各國銀行
業之市場結構除了南韓及菲律賓為完全競爭狀態外,香港、台灣、印尼、馬來西亞、新加坡、泰
國及越南等皆為獨佔均衡狀態,此結果顯示各國並未出現過度競爭的情形。

為了探討競爭程度之影響因素,本研究進一步使用追蹤資料分析法,以靜態模型之H值為應變數,觀察各影響因素與H值間的關係,實證結果發現當市場集中度提高時,會使獨佔力上升競爭程度降低。銀行規模效率越高,將會增加市場佔有率,競爭程度將降低。經濟越成長廠商獲利機會增加,市場競爭程度將提高,而股東權益比率與H值為負相關,表示有較好資本結構的銀行,會有較高的特許權價值,使得具有較高的獨佔力。單獨看銀行資產報酬率與競爭程度H值之直接效果皆為正,代表獲利能力增加時,銀行競爭程度會提高,但政府治理變數會減弱競爭程度與資產報酬率的正向關係,並且當政府治理評比高過某分數後,資產報酬率對銀行競爭程度之影響將由正向轉為負向關係。

The purpose of this study is to analyze the market structure and its determinants of commercial banks in five major ASEAN countries and four Newly Industrialized Asian countries using both dynamic and static specifications for the period of 2002-2009. A Generalized Method of Moment (GMM) of Arellano and Bond (1991) was first applied to a dynamic Panzar-Rosse (P-R) model to test the degree of competition for all nine Asian countries. A Panel Data Analysis was then employed to the H-statistics estimated from the static P-R model to analyze the determinants of the degree of competition in Asian banking industry.
Major empirical results are as follows. First, as found by Goddard and Wilson (2009), when market is in disequilibrium, traditional static P-R model is found to be biased toward zero, while the ignorance of autocorrelation will also result in a biased H statistics as well. GMM estimation results of dynamic P-R model show that banking industries of South Korea and Philippine exhibit a perfect competition market structure, while the rest countries of Taiwan, Hong Kong, Indonesia, Malaysia, Singapore, Thailand, and Vietnam are all found to exhibit a monopoly market structure. Results above indicate that there exists no severe overbanking problem in the banking industries of nine major Asian countries.
Second, estimation results of Panel Data Analysis on H statistics of static model show that the higher the market concentration and scale efficiency of Asian banking industry the larger the monopoly market power and the less competitiveness. The higher economic growth will increase bank profitability and its competitiveness. The lower the equity ratio of the banking industry indicating a higher franchise value of banks will result in a higher monopoly power. A positive direct effect of ROA on H statistics shows that the higher bank earnings will result in a higher degree of competition. However, government governance will indirectly weaken the positive effect of ROA on H statistics. At certain high degree of government governance, the effect of ROA on H statistics will even turn to negative.

第一章 緒論------------------------------------------------------------1
第一節 研究動機及背景--------------------------------------------------1
第二節 研究目的--------------------------------------------------------3
第三節 研究架構及流程--------------------------------------------------4
第二章 文獻回顧--------------------------------------------------------6
第一節 銀行產業競爭程度檢定之文獻回顧----------------------------------6
第二節 市場競爭程度影響因素之文獻回顧----------------------------------16
第三節 小結------------------------------------------------------------20
第三章 研究方法--------------------------------------------------------25
第一節 Panzar-Rosse市場競爭檢定----------------------------------------25
一、Panzar and Rosse檢定競爭程度的方法---------------------------------26
二、Panzar-Rosse檢定法之理論基礎---------------------------------------27
三、市場的長期均衡狀態假設---------------------------------------------30
四、Goddard and Wilson(2009)的Panzar-Rosse檢定方法之動態模型設定-----31
第二節 實證模型設定----------------------------------------------------36
一、銀行競爭程度之動態模型設定及檢定-----------------------------------36
二、競爭程度之影響因素模型設定-----------------------------------------39
第三節 銀行規模效率之估計:DEA模式-------------------------------------43
第四節 一般動差法------------------------------------------------------45
第四章 實證結果分析----------------------------------------------------47
第一節 樣本資料及來源--------------------------------------------------47
第二節 銀行競爭程度之動態模型檢定結果----------------------------------49
一、基本統計量---------------------------------------------------------49
二、動態Panzar-Rosse檢定實證結果---------------------------------------52
第三節 銀行業競爭程度之影響因素分析------------------------------------62
一、基本統計量---------------------------------------------------------62
二、銀行業競爭程度影響因素之估計結果-----------------------------------69
第四節 實證小結--------------------------------------------------------74
第五章 結論及建議------------------------------------------------------76
第一節 研究結論--------------------------------------------------------76
第二節 研究建議--------------------------------------------------------78
參考文獻---------------------------------------------------------------79
附錄-------------------------------------------------------------------82

一、中文部分

李建強、謝孟芬與楊麗靜(2010),「銀行競爭對獲利的影響效果分析-動態追蹤資料模型的應用」,公平交易季刊,第18卷第2期,頁131-170。
沈中華與張雲翔(2001),「歐系綜合銀行與美系分業銀行何者較能增加銀行績效?-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。
沈中華與吳孟紋(2010),「銀行的市場佔有率與獲利,及其影響因素之探討-全球實證分析」,財務金融學刊,第18 卷第1 期,頁1-53。
沈中華與呂美慧(2007),「本國銀行業逐年的競爭程度及其變化之分析」,證券市場發展季刊,第19卷第2期,頁119-152。
黃鏡如、傅祖壇與黃美瑛(2010),績效評估,新陸書局,台北。
劉景中(2011),「銀行集中度及效率對市場競爭度的影響:台灣實證研究」,經濟論文叢刊,第39輯第1期,頁115-173。
盧育鋒、黃炳文與李建強(2007),「金融控股公司成立對本國銀行業競爭程度影響之分析」,金融風險管理季刊,第3卷第4期,頁69-103。

二、英文部分

Al-Muharrami, S., K. Matthews and Y. Khabari (2006),“Market Structure and Competitive Conditions in the Arab GCC Banking System.” Journal of Banking & Finance, 30(12),3487–3501.
Arellano, M. and S. Bond (1991),“ Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations.” The Review of Economic Studies, 58(2), 277-297.
Bikker, J. A. and K. Haaf (2002),“Competition, Concentration and their Relationship: An Empirical Analysis of the Banking Industry.”Journal of Banking & Finance, 26, 2191-2214.
Bikker, J. A., L. Spierdijk ,and P. Finnie (2006),“Misspecification in the Panzar-Rosse Model: Assessing Competition in the Banking Industry.”De Nederlandsche Bank Working Paper 114.
Carbo, S., D. Humphrey, J. Maudos ,and P. Molyneux (2009),“Cross-county Comparisons of Competition and Pricing Power in European Banking.”Journal of International Money and Finance, 28,115–134.
Casu, B.and C. Girardone (2006),“Bank Competition and Efficiency in the Single European Market.”The Manchester School, 74(4), 441–468.
Chan, D., C. Schumacher ,and D. Tripe (2007),“Bank Competition in New Zealand and Australia.”In Centre for Financial Studies Banking and Finance Conference, Melbourne, September 2007.
Claessens, S. and L. Laeven (2004),“What Drive Bank Competition? Some International Evidence.”Journal of Money, Credit, and Banking, 36, 563–583.
Coccorese, P. (2009),“Market Power in Local Banking Monopolies.”Journal of Banking & Finance, 33,1196–1210.
Daley, J. and K. Matthews (2009),“Out of Many, Dominance by a Few? Market Power in the Jamaican Banking Sector.”Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section.
Delis, M.D. (2010),“ Competitive Conditions in the Central and Eastern European Banking Systems.” Omega, 38,268–274.
Fernandez de Guevara, J., J. Maudos and F. Perez (2005),“Market Power in European Banks.”Journal of Financial Services Research, 27,109–137.
Fernandez de Guevara, J. and J. Maudos (2007),“Explanatory Factors of Market Power in the Banking System.”The Manchester School, 75(3),275–296.
Goddard, J. and J.O.S. Wilson (2009),“Competition in Banking: A Disequilibrium Approach.” Journal of Banking & Finance, 33,2282–2292.
Matthews, K.,V. Murinde ,and T. Zhao (2007),“Competitive Conditions among the Major British Banks.” Journal of Banking & Finance, 31,2025-2042.
Mensi, S. (2010),“Measurement of Competitiveness Degree in Tunisian Deposit Banks: An Application of the Panzar and Rosse Model,”Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, 57(2),pages 189-207.
Panzar, J.C. and J.N. Rosse (1987),“Testing For "Monopoly" Equilibrium.”The Journal of Industrial Economics, 35(4),443-456.
Pastor, J.M., F. Perez ,and J. Quesada (1997),“Efficiency Analysis in Banking Firms: An International Comparison.”European Journal of Operational Research, 98,395-407.
Shaffer, S. (1982),“A Non-structural Test for Competition in Financial Markets.”in Proceedings of a Conference on Bank Structure and Competition, Federal Reserve Bank of Chicago,225-243.
Smith, R.T. (1998),“Banking Competition and Macroeconomic Performance,” Journal of Money, Credit, and Banking, 30, 793-815
Staikouras, C.and N. Koutsomanoli-Fillipaki (2006),“Competition and Concentration in the New European Banking Landscape.”European Financial Management, 12(3), 443–482.
Turk-Ariss, R. (2009),“Competitive Behavior in Middle East and North Africa Banking Systems.”The Quarterly Review of Economics and Finance, 49,693–710.
Yildirim, H.S. and G.C. Philippatos (2007),“Restructuring, Consolidation and Competition in Latin American Banking Markets," Journal of Banking & Finance, 31(3), 629-639.

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