Efficiency and Productivity Growth

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Opis: Efficiency and Productivity Growth - Fotios Pasiouras

Exploring contemporary research issues in the area of efficiency and productivity measurement in the financial sector, this text evaluates the most suitable approaches to selecting inputs and outputs, as well as the most efficient modeling techniques. An international team of experts have contributed to this comprehensive primer for anyone seeking an authoritative introduction to efficiency and productivity analysis with applications in both the finance and insurance industry. Corporate governance, stock price returns, deregulation, the impact of environment, and the efficiency in market-based versus bank-based economies are all explored.Preface xiii Contributors xvii 1 Bank efficiency in Latin America 1 Philip Molyneux and Jonathan Williams 1.1 Introduction 1 1.2 Privatization and foreign banks in Latin America 2 1.3 Methodology 4 1.4 Model specification and data 7 1.5 Estimated parameters and cost efficiency 10 1.6 Conclusion 15 References 15 2 A primer on market discipline and governance of financial institutions for those in a state of shocked disbelief 19 Joseph P. Hughes and Loretta J. Mester 2.1 Introduction 20 2.2 Assessing the performance of financial institutions 21 2.3 Market discipline, public regulation, and the federal safety net 24 2.4 Sources of market discipline 27 2.4.1 Ownership structure 27 2.4.2 Capital markets 37 2.4.3 Product markets 37 2.4.4 Labor markets 39 2.4.5 Boards of directors 40 2.4.6 Compensation 41 2.5 Conclusions 42 Appendix 2.A: Measuring performance based on the highest potential market value of assets 43 References 44 3 Modeling economies of scale in banking: Simple versus complex models 49 Robert DeYoung 3.1 Introduction 49 3.2 The increasing size of banks 50 3.3 What has allowed banks to grow larger? 53 3.3.1 New banking technologies 53 3.4 Why do banks choose to be large? 54 3.4.1 Objectives of bank management 55 3.4.2 Government subsidies 56 3.4.3 Scale economies 56 3.5 Econometric modeling of bank scale economies 57 3.5.1 Findings from 50 years of studies 58 3.6 Weaknesses in econometric modeling of bank scale economies 60 3.6.1 Few and far between 61 3.6.2 Strategic groups 62 3.6.3 External costs 68 3.7 Other evidence on bank scale economies 68 3.7.1 Survivor analysis 68 3.7.2 The market price of banks 70 3.7.3 Bank size and bank risk-return trade-offs 71 3.8 Conclusions 73 References 74 4 Optimal size in banking: The role of off-balance sheet operations 77 Jaap W.B. Bos and James W. Kolari 4.1 Literature review 78 4.2 Off-balance sheet activities of European banks 79 4.3 Methodology 83 4.3.1 Stochastic frontier analysis 83 4.3.2 Functional form 84 4.3.3 Scale economies 85 4.4 Data 86 4.5 Results 86 4.5.1 Increasing OBS operations 86 4.5.2 Nonseparability effects of OBS operations 89 4.6 Conclusion 91 References 91 5 Productivity of foreign banks: Evidence from a financial center 95 Claudia Curi and Ana Lozano-Vivas 5.1 Introduction 95 5.2 Literature overview 98 5.3 Methodology 100 5.3.1 TFP growth measures 100 5.3.2 Estimation of the TFP growth measures 102 5.4 Data and sources 103 5.5 Empirical results 109 5.5.1 Productivity growth over time 109 5.5.2 Breaking down productivity growth 111 5.6 Conclusions 116 Acknowledgments 118 References 118 6 The impact of merger and acquisition on efficiency and market power 123 Franco Fiordelisi and Francesco Saverio Stentella Lopes 6.1 Introduction 123 6.2 Literature review 125 6.3 Empirical design 125 6.3.1 Data 125 6.3.2 Variables 127 6.3.3 The econometric approach 129 6.4 Results 129 6.5 Conclusions 131 References 132 7 Backtesting superfund portfolio strategies based on frontier-based mutual fund ratings 135 Olivier Brandouy, Kristiaan Kerstens, and Ignace Van de Woestyne 7.1 Introduction 135 7.2 Frontier-based mutual funds rating models 137 7.2.1 A taxonomy 137 7.2.2 MF frontier rating models retained 142 7.3 Backtesting setup, data description, and frontier-based portfolio models 144 7.3.1 Backtesting setup 144 7.3.2 Frontier-based portfolio models 146 7.3.3 Data description 146 7.4 Empirical analysis 148 7.4.1 Descriptive statistics 148 7.4.2 Analysis of both hedonic rating models 148 7.4.3 Backtesting results for 48 different strategies 153 7.4.4 Backtesting results for MF rating models: Some plausible explanations 159 7.5 Conclusions 166 Acknowledgments 168 References 168 8 Bank efficiency measurement and network DEA: A discussion of key issues and illustration of recent developments in the field 171 Necmi K. Avkiran 8.1 Introduction 171 8.2 Global financial crisis and the importance of DEA in bank performance analysis 172 8.3 The wider contribution of DEA to bank efficiency analysis and potential improvements 173 8.4 Principal advantages and disadvantages of DEA 174 8.5 DEA versus stochastic frontier analysis 176 8.6 Drilling deeper with network DEA in search of inefficiencies 177 8.6.1 Definition of 'Network' in banking applications of NDEA 177 8.6.2 Conceptualizing bank branch production 179 8.6.3 Network slacks-based measure of efficiency 181 8.6.4 A brief numerical example 183 8.6.5 Jackknifing versus bootstrapping 185 8.7 Moving forward with DEA 186 8.8 Conclusions 187 Appendix 8.A: Jackknifing 188 References 189 9 A dynamic network DEA model with an application to Japanese Shinkin banks 193 Hirofumi Fukuyama and William L. Weber 9.1 Introduction 193 9.2 Literature review of productivity analysis in credit banks in Japan 194 9.3 Dynamic network production 196 9.3.1 The two-stage technology 196 9.3.2 Three-year dynamic DEA 199 9.4 Cooperative Shinkin banks: An empirical illustration 202 9.4.1 Defining bank inputs and outputs 202 9.4.2 NPLs in the efficiency/productivity measurement 203 9.4.3 Data 204 9.5 Estimates 205 9.6 Summary and conclusions 209 References 211 10 Effects of specification choices on efficiency in DEA and SFA 215 Michael Koetter and Aljar Meesters 10.1 Introduction 215 10.2 Bank benchmarking background 216 10.2.1 Theoretical foundations 216 10.2.2 Benchmarking techniques 217 10.2.3 Specification options 218 10.3 Methodologies 220 10.3.1 Stochastic frontier analysis 220 10.3.2 Data envelopment analysis 221 10.4 Data 221 10.5 Results 225 10.5.1 Efficiency distributions 225 10.5.2 Rank correlations 230 10.5.3 Extreme performers 231 10.5.4 Accounting-based indicators 232 10.6 Conclusion 233 References 234 11 Efficiency and performance evaluation of European cooperative banks 237 Michael Doumpos and Constantin Zopounidis 11.1 Introduction 237 11.2 Methodology 239 11.2.1 Data envelopment analysis models 239 11.2.2 Multicriteria evaluation 240 11.3 Empirical results 241 11.3.1 Data and variables 241 11.3.2 Efficiency analysis results 244 11.3.3 Multicriteria evaluation results 247 11.4 Conclusions 251 References 251 12 A quantile regression approach to bank efficiency measurement 253 Anastasia Koutsomanoli-Filippaki, Emmanuel Mamatzakis, and Fotios Pasiouras 12.1 Introduction 253 12.2 Methodology and data 254 12.2.1 Methodology 254 12.2.2 Data and specification of the frontier 256 12.3 Empirical results 257 12.3.1 Cost efficiency estimates 257 12.3.2 Determinants of cost efficiency 259 12.4 Conclusions 262 Appendix 12.A: Information on variables 262 References 265 Index 267


Szczegóły: Efficiency and Productivity Growth - Fotios Pasiouras

Tytuł: Efficiency and Productivity Growth
Autor: Fotios Pasiouras
Producent: John Wiley
ISBN: 9781119967521
Rok produkcji: 2013
Ilość stron: 288
Oprawa: Twarda


Recenzje: Efficiency and Productivity Growth - Fotios Pasiouras

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Efficiency and Productivity Growth

Exploring contemporary research issues in the area of efficiency and productivity measurement in the financial sector, this text evaluates the most suitable approaches to selecting inputs and outputs, as well as the most efficient modeling techniques. An international team of experts have contributed to this comprehensive primer for anyone seeking an authoritative introduction to efficiency and productivity analysis with applications in both the finance and insurance industry. Corporate governance, stock price returns, deregulation, the impact of environment, and the efficiency in market-based versus bank-based economies are all explored.Preface xiii Contributors xvii 1 Bank efficiency in Latin America 1 Philip Molyneux and Jonathan Williams 1.1 Introduction 1 1.2 Privatization and foreign banks in Latin America 2 1.3 Methodology 4 1.4 Model specification and data 7 1.5 Estimated parameters and cost efficiency 10 1.6 Conclusion 15 References 15 2 A primer on market discipline and governance of financial institutions for those in a state of shocked disbelief 19 Joseph P. Hughes and Loretta J. Mester 2.1 Introduction 20 2.2 Assessing the performance of financial institutions 21 2.3 Market discipline, public regulation, and the federal safety net 24 2.4 Sources of market discipline 27 2.4.1 Ownership structure 27 2.4.2 Capital markets 37 2.4.3 Product markets 37 2.4.4 Labor markets 39 2.4.5 Boards of directors 40 2.4.6 Compensation 41 2.5 Conclusions 42 Appendix 2.A: Measuring performance based on the highest potential market value of assets 43 References 44 3 Modeling economies of scale in banking: Simple versus complex models 49 Robert DeYoung 3.1 Introduction 49 3.2 The increasing size of banks 50 3.3 What has allowed banks to grow larger? 53 3.3.1 New banking technologies 53 3.4 Why do banks choose to be large? 54 3.4.1 Objectives of bank management 55 3.4.2 Government subsidies 56 3.4.3 Scale economies 56 3.5 Econometric modeling of bank scale economies 57 3.5.1 Findings from 50 years of studies 58 3.6 Weaknesses in econometric modeling of bank scale economies 60 3.6.1 Few and far between 61 3.6.2 Strategic groups 62 3.6.3 External costs 68 3.7 Other evidence on bank scale economies 68 3.7.1 Survivor analysis 68 3.7.2 The market price of banks 70 3.7.3 Bank size and bank risk-return trade-offs 71 3.8 Conclusions 73 References 74 4 Optimal size in banking: The role of off-balance sheet operations 77 Jaap W.B. Bos and James W. Kolari 4.1 Literature review 78 4.2 Off-balance sheet activities of European banks 79 4.3 Methodology 83 4.3.1 Stochastic frontier analysis 83 4.3.2 Functional form 84 4.3.3 Scale economies 85 4.4 Data 86 4.5 Results 86 4.5.1 Increasing OBS operations 86 4.5.2 Nonseparability effects of OBS operations 89 4.6 Conclusion 91 References 91 5 Productivity of foreign banks: Evidence from a financial center 95 Claudia Curi and Ana Lozano-Vivas 5.1 Introduction 95 5.2 Literature overview 98 5.3 Methodology 100 5.3.1 TFP growth measures 100 5.3.2 Estimation of the TFP growth measures 102 5.4 Data and sources 103 5.5 Empirical results 109 5.5.1 Productivity growth over time 109 5.5.2 Breaking down productivity growth 111 5.6 Conclusions 116 Acknowledgments 118 References 118 6 The impact of merger and acquisition on efficiency and market power 123 Franco Fiordelisi and Francesco Saverio Stentella Lopes 6.1 Introduction 123 6.2 Literature review 125 6.3 Empirical design 125 6.3.1 Data 125 6.3.2 Variables 127 6.3.3 The econometric approach 129 6.4 Results 129 6.5 Conclusions 131 References 132 7 Backtesting superfund portfolio strategies based on frontier-based mutual fund ratings 135 Olivier Brandouy, Kristiaan Kerstens, and Ignace Van de Woestyne 7.1 Introduction 135 7.2 Frontier-based mutual funds rating models 137 7.2.1 A taxonomy 137 7.2.2 MF frontier rating models retained 142 7.3 Backtesting setup, data description, and frontier-based portfolio models 144 7.3.1 Backtesting setup 144 7.3.2 Frontier-based portfolio models 146 7.3.3 Data description 146 7.4 Empirical analysis 148 7.4.1 Descriptive statistics 148 7.4.2 Analysis of both hedonic rating models 148 7.4.3 Backtesting results for 48 different strategies 153 7.4.4 Backtesting results for MF rating models: Some plausible explanations 159 7.5 Conclusions 166 Acknowledgments 168 References 168 8 Bank efficiency measurement and network DEA: A discussion of key issues and illustration of recent developments in the field 171 Necmi K. Avkiran 8.1 Introduction 171 8.2 Global financial crisis and the importance of DEA in bank performance analysis 172 8.3 The wider contribution of DEA to bank efficiency analysis and potential improvements 173 8.4 Principal advantages and disadvantages of DEA 174 8.5 DEA versus stochastic frontier analysis 176 8.6 Drilling deeper with network DEA in search of inefficiencies 177 8.6.1 Definition of 'Network' in banking applications of NDEA 177 8.6.2 Conceptualizing bank branch production 179 8.6.3 Network slacks-based measure of efficiency 181 8.6.4 A brief numerical example 183 8.6.5 Jackknifing versus bootstrapping 185 8.7 Moving forward with DEA 186 8.8 Conclusions 187 Appendix 8.A: Jackknifing 188 References 189 9 A dynamic network DEA model with an application to Japanese Shinkin banks 193 Hirofumi Fukuyama and William L. Weber 9.1 Introduction 193 9.2 Literature review of productivity analysis in credit banks in Japan 194 9.3 Dynamic network production 196 9.3.1 The two-stage technology 196 9.3.2 Three-year dynamic DEA 199 9.4 Cooperative Shinkin banks: An empirical illustration 202 9.4.1 Defining bank inputs and outputs 202 9.4.2 NPLs in the efficiency/productivity measurement 203 9.4.3 Data 204 9.5 Estimates 205 9.6 Summary and conclusions 209 References 211 10 Effects of specification choices on efficiency in DEA and SFA 215 Michael Koetter and Aljar Meesters 10.1 Introduction 215 10.2 Bank benchmarking background 216 10.2.1 Theoretical foundations 216 10.2.2 Benchmarking techniques 217 10.2.3 Specification options 218 10.3 Methodologies 220 10.3.1 Stochastic frontier analysis 220 10.3.2 Data envelopment analysis 221 10.4 Data 221 10.5 Results 225 10.5.1 Efficiency distributions 225 10.5.2 Rank correlations 230 10.5.3 Extreme performers 231 10.5.4 Accounting-based indicators 232 10.6 Conclusion 233 References 234 11 Efficiency and performance evaluation of European cooperative banks 237 Michael Doumpos and Constantin Zopounidis 11.1 Introduction 237 11.2 Methodology 239 11.2.1 Data envelopment analysis models 239 11.2.2 Multicriteria evaluation 240 11.3 Empirical results 241 11.3.1 Data and variables 241 11.3.2 Efficiency analysis results 244 11.3.3 Multicriteria evaluation results 247 11.4 Conclusions 251 References 251 12 A quantile regression approach to bank efficiency measurement 253 Anastasia Koutsomanoli-Filippaki, Emmanuel Mamatzakis, and Fotios Pasiouras 12.1 Introduction 253 12.2 Methodology and data 254 12.2.1 Methodology 254 12.2.2 Data and specification of the frontier 256 12.3 Empirical results 257 12.3.1 Cost efficiency estimates 257 12.3.2 Determinants of cost efficiency 259 12.4 Conclusions 262 Appendix 12.A: Information on variables 262 References 265 Index 267

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