Econometric analysis of the behavior of the Japanese insurance firms in the 1980's - Research on corporate strategies in the Bubble Economy -

利用日本19家主要非寿险公司1969-1998年的面板数据，用极大似然法估计了由超对数成本函数和份额方程组成的联立方程模型，并计算了成本非效率。对这些低效率进行了调整，以使它们在统计上保持一致。调整后的低效率被转化为11个级别。因此，我们得到了19家公司1969-1998年间的570个成本非效率排名。为了分析排名数据，我们考虑了定性依赖变量模型，并为此选取了有序概率模型。选择了四个外生变量来捕捉等级的变化。它们是盈余、保险费、利率和总资产。从模型的估计结果可以观察到，盈余和保费对排名都有正向影响，即如果盈余或保费的数量增加，成本低效率就会降低。研究还发现，较低的利率往往会增加成本效率低下的情况。这一发现是可以理解的，因为泡沫经济破裂后的极低利率对保险公司造成了损害。然而，总资产有负面影响，规模较大的公司往往效率较低。

Using the panel data of major nineteen Japanese non-life insurance firms during 1969 - 1998, the simultaneous-equation model which consists of the translog cost function and the share-equations was estimated by maximum-likelihood method and cost inefficiencies were calculated. These inefficiencies were adjusted to make them consistent statistically. The adjusted inefficiencies were transformed into eleven ranks. Thus we have 570 ranks in terms of cost inefficiency of the nineteen firms during 1969 - 1998.Qualitative-dependent-variable models were considered for the analysis of the rank data, and we picked up an ordered-probability model for this purpose. Four exogeneous variables were selected to capture the variation in ranks. They are surplus, insurance premium, interest rate, and total assets. From the results of the estimation of the model, it was observed that both surplus and insurance premium have a positive effect on the ranks, i.e., if the amount of surplus or insurance premium increases, cost inefficiencies tend to decrease. It was also found that lower interest rates tend to increase cost inefficiencies. This finding is quite understandable because the extremely low interest rates after the collapse of the bubble economy caused damage to the insurance firms. However, total assets have a negative impact and larger firms tend to be less efficient.