L’efficienza del sistema bancario italiano dal 2006 al 2010. Un’applicazione delle frontiere stocastiche.

Bonanno, Graziella (2012): L’efficienza del sistema bancario italiano dal 2006 al 2010. Un’applicazione delle frontiere stocastiche.

Abstract

The objective of this paper is to analyze the efficiency of the Italian Banking System over the period 2006-2010. By applying the Stochastic Frontier Approach (SFA) to a panel of 700 banks, the analysis is based on the joint estimation of a cost function and an efficiency equation (Battese and Coelli, 1995). The bank outputs are the loans, the income commission and the securities. Beside controlling variables, the efficiency equation includes an indicator of credit quality. The main results are fourfold. First, the study finds that the efficiency of the banking system ranges from 08884, observed in 2007, to 0.8713 which refers to 2009. However, cost efficiency does not show regular dynamics over time. Moreover, it indicates that the cost efficiency of cooperative banks (BCC) is always higher than that observed for other banks (SPA and popular). Third, the study suggests that the cost efficiency tends to decrease as bank size increases. Finally, as regards the role of the determinants of banks efficiency ("what makes a bank efficient"), it also shows the presence of simultaneity between efficiency and credit quality. This supports the bad management hypothesis (Berger and De Young, 1997).

• Item Type: MPRA Paper
• English Title: The Efficiency of Italian Banking System over 2006-2010. An Application of the Stochastic Frontier Approach.
• Language: Italian
• Keywords: banks, mergers, cost efficiency, credit quality, stochastic frontiers, panel data
• Subjects: D - Microeconomics > D2 - Production and Organizations > D24 - Production ; Cost ; Capital ; Capital, Total Factor, and Multifactor Productivity ; Capacity; C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C33 - Panel Data Models ; Spatio-temporal Models; G - Financial Economics > G2 - Financial Institutions and Services > G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages

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