金融コングロマリットと範囲の経済：収益面の分析（ ）
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1 3 ING
2 1 1 2 Herring and Santomero 1990 (1992) 3 2 Berger, Hanweck and Humphre(1987) (2003) 3 Group of Ten (2001) 4 24
3 Berger, Hanweck and Humphre(1987) Panzar and Willig(1981) Baumol, Panzar and Willig (1982) economies of product mix Pulle, Berger and Humphere(1994) Lang and Welzel(1998) Herring and Santomero Herring and Santomero (2003) 3 (2003) 3 ING c 1 2 c 2 5 Panzar and Willig(1981) 25
4 c 2 c 1 c 2 + t c 1 c 2 + t c 1 1:. u(c 1 ) + βu(c 2 ) 6 1 c 1 2 c 2 1 t 1 λ max u(c 1 ) + βu(c 2 ) subject to c 1 + c 2 + tc 1 + tc 2 c 1 : u (c 1 ) = λ( + t) c 2 : βu (c 2 ) = λ( + t) u (c 1 ) βu (c 2 ) = + t + t 1 p1+t p 2+t 45 1 u (c) βu (c) = 1 β + t + t < 1 β c 1 > c 2 + t + t > 1 β c 1 < c u(c 1, c 2 ) (1) 26
5 1 β < + t + t c 1 = c 2 1 β > + t + t c 1 < c 2 c 1 > c 2 + t + t 1 β 2:. c 2 + t c 1 c 2 c 1 c 2 + t c 1 3:. 1. (, ) (c 1, c 2 ) +t +t < 1 β c 1 > c 2 +t +t > 1 β c 1 < c 2 +t +t = 1 β c 1 = c t (c 1, c 2 ) t max {c 1, c 2 } 1 t max u(c 1 ) + βu(c 2 ) subject to c 1 + c 2 + t max {c 1, c 2 } 27
6 c 2 + t c 1 c 2 c 1 c 2 + t c 1 4:. 1 β < + t + t 1 β + t 1 β > + t c 1 < c 2 c 1 = c 2 c 1 > c 2 + t + t 1 β 5:. c 1 c 2 c 1 + c 2 + tc 1 = ( + t)c 1 + c 2 c 1 c 2 c 1 + c 2 + tc 2 = c 1 + ( + t)c 2 = 3 c 1 c 2 +t c 1 c 2 p1 +t u (c) βu (c) = 1 β + t 1 β + t c 1 = c 2 c 1 < c 2 + t > 1 β + t c 1 > c 2 5 < 1 β 28
7 2. (, ) t (c 1, c 2 ) p 1 2+t β p1+t = c 1 = c 2, +t > 1 β = c 1 < c 2, +t < 1 β = c 1 > c 2. c 1 = c 2 1 β c 1 < c β c 1 > c β +t +t +t < +t +t 1 β +t c 1 = c 2 +t > 1 β c 1 < c 2 +t < 1 β c 1 > c (, ) p1+t p 2+t 45 (c 0 1, c 0 2) (c 1 1, c 1 2) c 0 1 > c c 1 1 > c c 1 1 = c c 1 1 < c t +t < 1 β (, ) t (c 0 1, c 0 2) (c 1 1, c 1 2) p1+t p < 1 2+t β c0 1 > c p1+t < 1 β c1 1 > c β p1+t c 1 1 = c ( + t)c c 1 2 = +t i q i 1 ( + t, + t) ( + t, ) max u(c 1 ) + βu(c 2 ) subject to q 1 c 1 + q 2 c 2 = c1 : u (c 1 ) λq 1 = 0 c2 : βu (c 2 ) λq 2 = 0 λ : q 1 c 1 + q 2 c 2 = 29
8 u (c 1 ) 0 q 1 0 βu (c 2 ) q 2 q 1 q 2 0 u (c 1 )dc 1 q 1 dλ = λdq 1 βu (c 2 )dc 2 q 2 dλ = λdq 2 q 1 dc 1 q 2 dc 2 = d + c 1 dq 1 + c 2 dq 2 dc 1 dc 2 dλ = 1 u (c 1 ) 0 q 1 0 βu (c 2 ) q 2 q 1 q 2 0 Ax = b dc 1 dc 2 dλ λdq 1 λdq 2 d + c 1 dq 1 + c 2 dq 2 = 0 λdq 2 c 2 dq 2 A = q 2 1u (c 1 ) q 2 1βu (c 2 ) = q 2 1(u (c 1 ) + βu (c 2 )) > 0 A 1 b A q 1 A 1 = λdq 2 βu (c 2 ) q 2 = q 1 (βu (c 2 )c 2 + q 2 λ)dq 2 c 2 dq 2 q 2 0 dc 1 = A 1 A = (βu (c 2 )c 2 + q 2 λ) q 1 (u (c 1 ) + βu (c 2 )) dq 2 dc 1 = A 1 = (βu (c 2 )c 2 + q 2 λ) dq 2 A q 1 (u (c 1 ) + βu (c 2 )) A 2 b A 2 u (c 1 ) 0 q 1 A 1 = 0 λdq 2 q 2 = (q 1λ 2 q 2 u (c 1 )c 2 )dq 2 q 1 c 2 dq 2 0 (2) dc 2 = A 2 A = (q2 1λ q 2 u (c 1 )c 2 ) q 2 1 (u (c 1 ) + βu (c 2 )) dq 2 dc 2 = A 2 = (q2 1λ q 2 u (c 1 )c 2 ) dq 2 A q1 2(u (c 1 ) + βu (c 2 )) > 0 (3) 2 q 2 + t dq 2 < 0 (3) dc 2 > 2 1 (2) 1 2 t 30
9 c 2 + t c 1 c 2 c 1 c 2 + t c 1 6: (4) + t + t < 1 β + t (4) + t + t < 1 β c 1 > c 2 (4) + t 1 β + t c 1 = c 2 2 c 1 = c 2 c 1 = c 2 c ( + t)c = c = + t 1 c > c
10 1 2 µ µ > 0 c 0 1 > c (2003) ING Bureau van Dijk Bankscope ISIS Bankscope ISIS 50% 8 50% ING R Bureau van Dijk Bureau van Dijk Ownership Database total ownership Bureau van Dijk 9 32
11 net interest revenue + commission revenue gross premium written E earning assets total investments 1 ING Group , ,474 23, ,125 1,622 1, , ,562 16, ,081 Allianz Group 615 1, , , , , , , ,374 13, ,619 Credit Suisse Group 1,491 2, , ,231 59, ,692 1,096 1, , ,138 12, , , , ,842 92, ,624. 1: ln R i,t = a o + a 1 ln E i,t + a 2 ln R i,t + u i,t (5) R i,t i t E i,t t R i,t i Ēi,t i R i,t Ēi,t R i a 2 a 2 a 2 i a 2 i (5) Ēi,t (5) R i,t ln R i,t = a o + a 1 ln E i,t + a 2 ln Ēi,t + u i,t (6) 33
12 Sample a 2 (5) a 2 (6) t Adj.R 2 t Adj.R 2 ING Group Allianz Group Credit Swiss Grou ING Group * **.7723 Allianz Grou Credit Swiss Group ING Group Allianz Group Credit Swiss Grou * ** 5% * 10%. 2:. (5) (6) a 2 2 ING 5% 10% 10% (2003) 10 ((7) ) ((8) ) 10% (1) otherbank (2) other-insurance ln R i,t = a 0 + a 1 ln E i,t + a 2 R other bank i,t + a 3 R other insurance i,t + u i,t R other bank i,t a 2 R other insurance i,t a C overheads underwriting expense ln C i,t = a o + a 1 ln T i,t + a 2 ln T i,t + u i,t (7) ln C i,t = a o + a 1 ln E i,t + a 2 ln Ēi,t + ui,t (8) T E (7) (8) a 2. 7 C i,t i t T i,t t T i,t i T i,t i T i,t T i a 2 a 2 a 2 i a 2 i (8) (7) T E 34
13 Sample a 2 (7) a 2 (8) t Adj.R 2 t Adj.R 2 ING Group Allianz Group Credit Swiss Grou ING Group Allianz Grou Credit Swiss Group ING Group Allianz Group Credit Swiss Grou ** 5% * 10%. 3:. a 2 a 3 Sample t t Adj.R 2 Credit Suisse Grou * ** 5% * 10%. 4: Credit Suisse Group BankScope ISIS Allianz Deutsche Bank 4 ING ABN AMRO SNS Reaal Eureko 6 Credit Agricole S.A. BNP Paribas Caisse d Epargne Societe Generale Credit Mutuel Banque Populaire 3 Fortis Dexia Almanij 11 (1992) 35
14 2 2 2 R R 1 + R Y (Y B ) (Y I ) 5 5,199 4, ,559 3,547 2, ,834 11,595 17, , , ,922 7, ,095 60,077 86, ,450. 5: R = r B Y B + r I Y I R r B Y B r I Y I r B, r I Y B, Y I r B = r B (Y B, Y I ), r I = r I (Y B, Y I ) R = r B (Y B, Y I )Y B + r I (Y B, Y I )Y I ln R = a 0 + a B ln Y B a BB(ln Y B ) 2 + a I ln Y I a II(ln Y I ) 2 + a BI ln Y B ln Y I (9) Y B, Y I R 1 1 R(Y B, Y I ) > R(Y B, 0) + R(0, Y I ) 2 B I 2 R Y B Y I > 0 36
15 2 R = R ( 2 ln R + ln R ln R ) > 0 Y B Y I Y B Y I ln Y B ln Y I ln Y B ln Y I R Y B Y I > 0 2 ln R + ln R ln R ln Y B ln Y I ln Y B ln Y I = a BI + (a B + a BB ln Y B + a BI ln Y I ) (a I + a BI ln Y B + a II ln Y I ) SCOP E(B, I) > 0 Y B 1 Y I 1 SCOP E(B, I) = a BI + a B a I > 0 ln R ln Y B + ln R ln Y I 1 ln R + ln R 1 ln Y B ln Y I = a B + a BB ln Y B + a BI ln Y I + a I + a BI ln Y B + a II ln Y I 1 Scale(B, I) > 0 Y B 1 Y I 1 Scale(B, I) = a B + a I 1 > 0 6 R 1 R 2 SCOP E(B, I) GDP 37
16 R R 1 R 2 Y B Y I Sample Adj.R a a B.3228 ***.5105 *** a I.6661 ***.5465 *** a BB.2061 ***.2872 *** a BI *** *** a II.1614 ***.1273 *** Scale (-.0951) (.5689) SCOP E(B, I) * (.9951) ( ) *** 1% ** 5% * 10%. R 1 + R 2 ++ Scale SCOP E(B, I) ( ) t 6:. (9) Y 1 Y 2 Y ln R = a 0 + a i ln Y i a ij ln Y i ln Y j (10) 2 13 i=1 i=1 j=1 R R 1 + R Y (Y 1 ) (Y 2 ) (Y 3 ) SCOP E(i, j) = a ij + a i a j > 0 (i, j = 1, 2, 3) Deutsche Bank 4 ING ABN AMRO SNS Reaal Eureko 5 Credit Agricole S.A. BNP Paribas Caisse d Epargne Societe Generale Banque Populaire 2 Fortis Almanij 38
17 4,578 2, ,845 3,709 2, ,834 9,318 13, ,284 53,476 36,531 13, ,203 99,578 63,825 2, ,976 42,703 52, ,831. 7: Y 1 Y 2 Y 3 SCOP E(1, 2) = a 12 + a 1 a 2 > 0 SCOP E(2, 3) = a 23 + a 2 a 3 > 0 SCOP E(1, 3) = a 13 + a 1 a 3 > 0 2 SCOP E(1, 3) = a 13 + a 1 a 3 > 0 8 SCOP E(1, 3) = a 13 + a 1 a 3 > 0 1% 15 SCOP E(2, 3) = a 23 + a 2 a 3 > 0 1% Scale = a 1 + a 2 + a 3 1 > GDP 39
18 R R 1 R 2 1 Y 1 2 Y 2 Y 3 Sample Adj.R a a ***.3029 *** a **.0435 a ***.4964 *** a a a **.1441 * a a *** *** a ***.2331 *** Scale * * ( ) ( ) SCOP E(1, 2) (-.9554) (.0046) SCOP E(1, 3).4563 ***.2944 *** (6.1832) (3.8058) SCOP E(2, 3) *** *** ( ) ( ) *** 1% ** 5% * 10%. R 1 + R 2 ++ Scale SCOP E(i, j) ( ) t 3.4 8: ING ING (1) ING 1991 MNB ING % 12%
19 4 2 3 (2003) Group of Ten(2000) [1] Baumol, William, John Panzar and Robert Willig, Contestable markets and the theor of industr structure, Harcourt Brace Jovanovich, [2] Berger, Allen N., Gerald A. Hanweck and David B. Humphre, Competitive Viabilit in Banking Scale, Scope, and Product Mix Economies, Journal of Manetar Economics 20, , [3] Group of Ten, Report on consolidation in the Financial Sector, [4] Herring, Richard J. and Anthon M. Santomero, The Role of the Financial Sector in Economic Performance, Working Papers , Wharton School, Universit of Pennslvania, [5] Laurence, Pulle, B., Allen N. Berger and David B. Humphre, Do Consumers Pa for One-Stop Banking? Evidence from Non-Standard Revenue Function, Working Paper, Financial Institutions Center, The Wharton School, Universit of Pennslvania, 94-01, [6] Panzar, Joun C. and Robert D. Willig, Economics of Scope, American Economic Review 71, [7] Economies of Scope [8] June [9] November [10] No
20 [11] [12] Vol [13]
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