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Efficiency under quantile regression: What is the relationship with risk in the EU banking industry?

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  • Koutsomanoli-Filippaki, Anastasia I.
  • Mamatzakis, Emmanuel C.

Abstract

This study estimates cost efficiency under a quantile regression framework. Our purpose is to investigate whether cost efficiency differs across quantiles of the conditional distribution. Efficiency scores are derived using the distribution-free approach. Results show that for higher conditional distributions, efficiency scores are lower. In a second stage analysis, we examine the relationship between efficiency and risk, measured as distance to default. Cross section regressions show that the higher the risk, the lower the level of efficiency. The magnitude and the significance of the coefficient of the distance to default increases for conditional distributions associated with lower levels of efficiency.

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Bibliographic Info

Article provided by Elsevier in its journal Review of Financial Economics.

Volume (Year): 20 (2011)
Issue (Month): 2 (May)
Pages: 84-95

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Handle: RePEc:eee:revfin:v:20:y:2011:i:2:p:84-95

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Web page: http://www.elsevier.com/locate/inca/620170

Related research

Keywords: OR in banking Cost efficiency Quantile regression Distribution-free approach Distance to default;

References

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Citations

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Cited by:
  1. Mette Asmild & Minyan Zhu, 2012. "Bank efficiency and risk during the financial crisis: Evidence from weight restricted DEA models," MSAP Working Paper Series 03_2012, University of Copenhagen, Department of Food and Resource Economics.
  2. Mamatzakis, E & Koutsomanoli-Filippaki, Anastasia & Pasiouras, Fotios, 2012. "A quantile regression approach to bank efficiency measurement," MPRA Paper 51879, University Library of Munich, Germany.
  3. Sánchez-Vidal, F. Javier, 2014. "High debt companies' leverage determinants in Spain: A quantile regression approach," Economic Modelling, Elsevier, vol. 36(C), pages 455-465.

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