Bank size distribution is an important observable measure to the central monetary authority. In a highly concentrated banking sector, a few large banks may form a certain oligopoly structure and incur economic efficiency loss. On the other hand, an over competitive banking industry could be associated with financial instability, which imposes a systemic risk to the health of the whole economy. In addition to existing parametric change-point models, we propose a novel Bayesian nonparametric distribution change framework to monitor the evolution of the back size distribution over time.
Dr. Song is a Lecturer in the Department of Economics at the University of Melbourne. His research interest includes Bayesian nonparametric modelling, financial econometrics, empirical macroeconomics, marketing, scientific computing and machine learning. He obtained his PhD degree from the University of Toronto and MA degree from Simon Fraser University in Canada. His alma mater is NanKai University in Tianjin, China. His works have been published in Journal of Applied Econometrics, Journal of Financial Econometrics, Journal of Business and Economics Statistics, and so on.