Colesnic, Olga and Kounetas, Kostas and Polemis, Michael (2018): Estimating risk efficiency in MiddleEast banks before and after the crisis.A Metafrontier framework.
Preview |
PDF
MPRA_paper_84795.pdf Download (522kB) | Preview |
Abstract
The aim of this study is two-fold. Firstly, it attempts to analyse the effect of risk on Middle East bank's efficiency levels before and after the recent financial crisis. Secondly, it seeks to determine the influence of bank size taking into consideration the possible inefficiency originated to risk abatement cost. To examine the aforementioned issues we introduce a risk efficiency index based on an output orientated directional distance function with weak and strong disposability assumptions. The methodology has been applied on a panel data of Middle East banks spanning the period 1998-2014.The empirical findings suggest that on average small banks are more efficient and their size have less negative impact on their technical efficiency and risk management. On the other hand, large banks' risk management is found to be more flexible during financial crisis. Finally, banks with higher fixed assets are associated with more costly dispose of non performing loans justifying the rejection of a positive relation between bank size and technical efficiency.
Item Type: | MPRA Paper |
---|---|
Original Title: | Estimating risk efficiency in MiddleEast banks before and after the crisis.A Metafrontier framework. |
Language: | English |
Keywords: | Risk efficiency, Middle East banks, Directional distance function, Metatechnology |
Subjects: | D - Microeconomics > D2 - Production and Organizations > D20 - General D - Microeconomics > D2 - Production and Organizations > D24 - Production ; Cost ; Capital ; Capital, Total Factor, and Multifactor Productivity ; Capacity G - Financial Economics > G1 - General Financial Markets G - Financial Economics > G2 - Financial Institutions and Services G - Financial Economics > G2 - Financial Institutions and Services > G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages |
Item ID: | 84795 |
Depositing User: | Professor Konstantinos Kounetas |
Date Deposited: | 24 Feb 2018 23:08 |
Last Modified: | 27 Sep 2019 10:54 |
References: | Almarzoqi, R., Ben Naceur, S., Scopelliti, A (2015). How Does Bank Competition Affect Solvency, Liquidity and Credit Risk? Evidence from the MENA Countries, IMF Working Paper 15/210. Anzoategui, D., Martinez Peria, M., Rocha R. (2010). Bank Competition in the Middle East and Northern Africa Region. Review of Middle East Economics and Finance 6: 26-48. Apergis N., and Polemis, M., (2016) Competition and efficiency in the MENA banking region:a non-structural DEA approach, Applied Economics, 48(54):5276-5291. Apergis, N., Fafaliou, I, Polemis, M, (2016). New evidence on assessing the level of competition in the European Union banking sector: A panel data approach, International Business Review, 25(1): 395-407. Ariff, M., Luc, C. (2008). Cost and profit efficiency of Chinese banks: A non-parametric analysis. China Economic Review, 19(2), 260-273. Ataullah, A., Cockerill, T., Le, H. (2004). Financial liberalization and bank efficiency: a comparative analysis of India and Pakistan. Applied Economics, 36(17), 1915-1924. Avkiran, N. K. (1999). The evidence on efficiency gains: The role of mergers and the benefits to the public. Journal of banking and finance, 23(7), 991-1013. Barros, C. P., Managi, S., Matousek, R. (2012). The technical efficiency of the Japanese banks: non-radial directional performance measurement with undesirable output. Omega, 40(1), 1-8. G.E. Battese, D.S.P. Rao, C.J. O'Donnell (2004).A metafrontier production function for estimation of technical efficiencies and technology gaps for firms operating under different technologies. Journal of Productivity Analysis, 21 (2004), pp. 91-103 Berger, A. N. (2007). International comparisons of banking efficiency. Financial Markets, Institutions and Instruments, 16(3), 119-144. Berger, A. N.,Mester, L. J. (1997). Inside the black box: What explains differences in the efficiencies of financial institutions?. Journal of banking and finance, 21(7), 895-947. Berger, A.N., Miller, N. H., Petersen, M. A., Rajan, R. G., and Stein, J. C. (2005).Does function follow organizational form? evidence from the lending practices of large and small banks. Journal of Financial economics, 76(2):237–269. Casu, B., Girardone, C. (2006). Bank Competition, Concentration and Efficiency in the Single European Market, The Manchester School 744: 441-468. Casu, B., and Girardone, C. (2009). Testing the relationship between competition and efficiency in banking: A panel data analysis. Economics Letters, 105(1), 134-137. Chambers, R. G., Chung, Y., and Färe, R. (1996). Benefit and distance functions. Journal of economic theory, 70(2), 407-419. Castellacci, F. (2011). Closing the technology gap?. Review of Development Economics, 15(1), 180-197. Casu, B., Ferrari, A., Girardone, C., and Wilson, J. O. (2016). Integration, productivity and technological spillovers: Evidence for eurozone banking industries. European Journal of Operational Research, 255(3), 971-983. Casu, B., Ferrari, A., and Zhao, T. (2013). Regulatory reform and productivity change in Indian banking. Review of Economics and Statistics, 95(3), 1066-1077. Casu, B., Molyneux, P. (2003). A comparative study of efficiency in European banking. Applied Economics, 35(17), 1865-1876. Chiu, C. R., Chiu, Y. H., Chen, Y. C., Fang, C. L. (2016). Exploring the source of metafrontier inefficiency for various bank types in the two-stage network system with undesirable output. Pacific-Basin Finance Journal, 36, 1-13. Chung, Y. H., Färe, R., and Grosskopf, S. (1997). Productivity and undesirable outputs: a directional distance function approach. journal of Environmental Management, 51(3), 229-240. Delis, M, Tsionas, E. (2009) The Joint Estimation of Bank-Level Market Power and Efficiency. Journal of Banking and Finance, 33: 1842–1850. Degl'Innocenti, M., Kourtzidis, S. A., Sevic, Z., Tzeremes, N. G. (2017). Bank productivity growth and convergence in the European Union during the financial crisis. Journal of Banking and Finance, 75, 184-199. Drake, L., Hall, M. J. (2003). Efficiency in Japanese banking: An empirical analysis. Journal of Banking and Finance, 27(5), 891-917. Elyasiani, E., Mehdian, S. (1995). The comparative efficiency performance of small and large US commercial banks in the pre-and post-deregulation eras. Applied Economics, 27(11), 1069-1079. Färe, R., and Grosskopf, S. (2000). Theory and application of directional distance functions. Journal of productivity analysis, 13(2), 93-103. Färe, R., and Grosskopf, S. (2013). DEA, directional distance functions and positive, affine data transformation. Omega, 41(1), 28-30. Fiordelisi, F., Marques-Ibanez, D., Molyneux, P. (2011). Efficiency and risk in European banking. Journal of Banking and Finance, 35(5), 1315-1326. Fukuyama, H., Weber, W. L. (2015). Measuring Japanese bank performance: a dynamic network DEA approach. Journal of Productivity Analysis, 44(3), 249-264. Fukuyama, H., Weber, W. L. (2008). Japanese banking inefficiency and shadow pricing. Mathematical and Computer Modelling, 48(11), 1854-1867. Halkos, G. E., and Tzeremes, N. G. (2011). Modelling the effect of national culture on multinational banks' performance: A conditional robust nonparametric frontier analysis. Economic Modelling, 28(1), 515-525. Halkos, G., Polemis, M. (2018). The impact of economic growth on environmental efficiency of the electricity sector: A hybrid window DEA methodology for the USA, Journal of Environmental Management, 211: 334-346. Hayami, Y. (1969) "Resource endowments and technological change in agriculture: U.S. and Japanese experiences in international perspective", American Journal of Agricultural Economics 51, Proceedings Issue (Dec), 1293-1303. Hayami, N and V. W. Ruttan (1971) "Agricultural development: an international perspective", The John Hopkins University Press, Baltimore. Kontolaimou, A., Kounetas, K., Mourtos, I., and Tsekouras, K. (2012). Technology gaps in European banking: Put the blame on inputs or outputs?. Economic Modelling, 29(5), 1798-1808. Kontolaimou, A., and Tsekouras, K. (2010). Are cooperatives the weakest link in European banking? A non-parametric metafrontier approach. Journal of Banking and Finance, 34(8), 1946-1957. K. Kounetas, I. Mourtos, K. Tsekouras (2009). Efficiency decompositions for heterogeneous technologies.European Journal of Operational Research, 199 (2009), 209-218. Koutsomanoli-Filippaki, A., Margaritis, D., Staikouras, C. (2012). Profit efficiency in the European Union banking industry: a directional technology distance function approach. Journal of Productivity Analysis, 37(3), 277-293. Kumar, S., Khanna, M. (2009). Measurement of environmental efficiency and productivity: a cross-country analysis. Environment and Development Economics, 14(4), 473-495. Mester, L. J. (1997). Measuring efficiency at US banks: Accounting for heterogeneity is important. European Journal of Operational Research, 98(2), 230-242. O’Donnell, C. J., Rao, D. P., and Battese, G. E. (2008). Metafrontier frameworks for the study of firm-level efficiencies and technology ratios. Empirical Economics, 34(2), 231-255. Picazo-Tadeo, A. J., Reig-Martinez, E., and Hernandez-Sancho, F. (2005). Directional distance functions and environmental regulation. Resource and Energy Economics, 27(2), 131-142. Polemis, M (2015). Does Monopolistic Competition Exist In The MENA Region? Evidence From The Banking Sector, Bulletin of Economic Research, 7(S1), 74-96. Polemis, M (2014). Did financial crisis alter the level of competition in the EMU banks?, Applied Economics Letters, 21(15): 1065-1069. Rangan, N., Grabowski, R., Aly, H. Y., Pasurka, C. (1988). The technical efficiency of US banks. Economics letters, 28(2), 169-175. Stigler, G. J. (1976). The existence of x-efficiency. The American Economic Review, 66(1):213–216. Tsekouras, K., Chatzistamoulou, N., and Kounetas, K., (2017). Productive Performance, Technology Heterogeneity and Hierarchies: Who to compare with whom. International Journal of Production Economics 193 pp.465-478. Yildirim, C. (2002). Evolution of banking efficiency within an unstable macroeconomic environment: the case of Turkish commercial banks. Applied Economics, 34(18), 2289-2301. Watanabe, M., Tanaka, K. (2007). Efficiency analysis of Chinese industry: a directional distance function approach. Energy policy, 35(12), 6323-6331. |
URI: | https://mpra.ub.uni-muenchen.de/id/eprint/84795 |