Эффективность российских банков с точки зрения минимизации издержек, с учетом факторов риска

Golovan, Sergei and Karminsky, Alexandr and Peresetsky, Anatoly (2008): Эффективность российских банков с точки зрения минимизации издержек, с учетом факторов риска. Published in: Экономика и математические методы , Vol. 44, No. 4 (2008): pp. 28-38.

Abstract

The paper analyses cost efficiency of Russian banks. Models of banks' production function are developed using stochastic production function approach. We consider several models, and the models of particular interest are models, which include asset quality and risk-preferences as factors. Analyzing the estimations, we reveal factors (bank's size, region, participation in deposit insurance system etc.) which influence efficiency.

• Item Type: MPRA Paper
• English Title: Cost efficiency of Russian banks. Models with risk factors
• Language: Russian
• Keywords: cost efficiency, risk factors, Russian banks
• Subjects: C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C50 - General; G - Financial Economics > G2 - Financial Institutions and Services > G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages; G - Financial Economics > G2 - Financial Institutions and Services > G29 - Other

References

Aigner, D.J., C.A.K. Lovell, and P. Schmidt (1977). Formulation and Estimation of Stochastic Frontier Production Function Models, Journal of Econometrics 6:1 (July), 21–37.

Altunbas Y., M.H. Liu (2000). Efficiency and risk in Japanese banking, Journal of Banking & Finance, vol. 24, 1605–1628.

Battese G.E., G.S. Corra (1977). Estimation of a Production Frontier Model: With Application to the Pastoral Zone of Eastern Australia, Australian Journal of Agricultural Economics 21:3, 169–179.

Berger, A.N., L.J. Mester (1997). Inside the Black Box: What Explains Differences in the Efficiencies of Financial Institutions?, Journal of Banking & Finance, 21, 895–947.

Caner S., V.K. Kontorovich (2004). Efficiency of the Banking Sector in the Russian Federation with International Comparison, Economic Journal of Higher School of Economics (Moscow, Russia), 8, issue 3, 357–375.

Cornwell,C., P. Schmidt and R.C. Sickles (1990). Production Frontiers with Cross-Sectional and Time-Series Variation in Efficiency Level, Journal of Econometrics 46:1/2 (October/November), 185–200.

Farrell, M.J. (1957). The Measurement of Productive Efficiency, Journal of the Royal Statistical Society, Series A, General, 120, Part 3, 253–81.

Isik, I., and M.K. Hassan (2002). Technical, Scale and Allocative Efficiencies of Turkish Banking Industry, Journal of Banking & Finance, 26, 719–766.

Koopmans, T.C. (1951). An Analysis of Production as an Efficient Combination of Activities in T.C.Koopmans ed., Activity Analysis of Production and Allocation, Cowless Comission for Research in Economics, Monograph No.13 New York: Wiley.

Kumbhakar, S.C., C.A.K. Lovell (2003). Stochastic Frontier Analysis, Cambridge University Press.

Laeven, L., G. Majnoni (2003). Does Judicial Efficiency Lower the Cost of Credit? World Bank Policy Research Working Paper 3159.

Leibenstein, H. (1966). Allocative Efficiency vs. “X-efficiency”, American Economic Review 56:3 (June), 392–415.

Leibenstein, H. (1975). Aspects of the X-Efficiency Theory of the Firm, Bell Journal of Economics 6:2 (Autumn), 580–606.

Meeusen, W., J. van den Broeck (1977). Efficiency Estimation from Cobb–Douglas Production Functions with Composed Error, International Economic Review 18:2 (June), 435–44.

Mester L. J. (1996). A study of bank efficiency taking into account risk-preferences, Journal of Banking & Finance, Vol. 20, 1025–1045.

Pitt, M., L.F. Lee (1981). The Measurement and Sources of Technical Inefficiency in the Indonesian Weaving Industry, Journal of Development Economics, 9, 43–64.

Schmidt P., R.C. Sickles (1984). Production Frontiers and Panel Data, Journal of Business and Economic Statistics, 2:4, 367–374.

Simon, H. (1955). A Behavioral Model of Rational Choice, Quarterly Journal of Economics, 69:1 (February), 99–118.

Simon, H. (1957). Models of Man: Social and Rationsl, New York: John Wiley and Sons, Inc.

Styrin, K. (2005). What Explains Differences in Efficiency Across Russian Banks, Economics Education and Research Consortium Russia and CIS, No.01-258.

Afanasiev, Mikhail, 2006. "A Model of the Production Potential with Managed Factors of Inefficiency," Applied Econometrics, 4 (4), 74-89.

Афанасьев, М.Ю., Н.В.Васильева (2006). Моделирование производственного потенциала фирмы с учетом факторов неэффективности и риска, Экономическая наука современной России, № 2.

Golovan, Sergei, 2006. "Factors Influencing the Efficiency of the Russian Banks Performance," Applied Econometrics, 2 (2), 3-17.