Title: On the distribution of US banks size over time
Authors: Yong Song - University of Melbourne (Australia) [presenting]
John Maheu - McMaster University (Canada)
Abstract: 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.