Advanced Search
MyIDEAS: Login to save this article or follow this journal

Appropriate Distribution of Cost Inefficiency Estimates as Predictor of Financial Instability /La distribución de la ineficiencia estimada como predictor de inestabilidad financiera

Contents:

Author Info

  • GÓMEZ-GALLEGO, JUAN CÁNDIDO

    ()
    (Departamento Administración y Dirección de Empresas, UNIVERSIDAD CATÓLICA SAN ANTONIO, ESPAÑA.)

  • GÓMEZ-GARCÍA, JUAN

    ()
    (Departamento Métodos Cuantitativos para la Economía y la Empresa, UNIVERSIDAD DE MURCIA, ESPAÑA.)

  • PÉREZ-CÁRCELES, MARÍA CONCEPCIÓN

    ()
    (Departamento Administración y Dirección de Empresas, UNIVERSIDAD CATÓLICA SAN ANTONIO, ESPAÑA.)

Registered author(s):

    Abstract

    The study develops a hypothesis validation process to test whether estimated cost inefficiency fits the theoretical distribution of the estimate of inefficiency, given the initial assumption of a half normal distribution for the ineffi¬ciency term in the stochastic frontier model. The application of this methodology to a sample of Spanish banks in the period 2002-2007 allows us to observe the evolution of the distributions of estimated cost inefficiency. The results confirm for the existence of a relationship between estimated cost inefficiency and the financial situation of these entities. In fact, an increase in the probability of higher levels of inefficiency is observed the period of study, coin-ciding with the beginning of financial instability in the Spanish banking system. El estudio desarrolla un proceso de validación de hipótesis que pretende contrastar si la distribución de la ineficiencia en costes estimada se ajusta a la distribución teórica de la ineficiencia estimada, dado el supuesto inicial de half normalidad del término de ineficiencia en el modelo de frontera estocástica. La aplicación de esta metodología a una muestra de bancos españoles durante el periodo 2002-2007 permite observar la evolución de las distribuciones de la ineficiencia en costes estimada. Los resultados muestran evidencia de una relación entre la ineficiencia en costes estimada y la situación financiera de esas entidades. De hecho, las distribuciones muestran un incremento en la probabilidad de los mayores niveles de ineficiencia en los últimos años del estudio, coincidiendo con el comienzo de la inestabilidad financiera en el sistema bancario español.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.revista-eea.net
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Bibliographic Info

    Article provided by Estudios de Economía Aplicada in its journal Estudios de Economía Aplicada.

    Volume (Year): 30 (2012)
    Issue (Month): (Diciembre)
    Pages: 1071 (12 pags.)

    as in new window
    Handle: RePEc:lrk:eeaart:30_3_7

    Contact details of provider:
    Postal: Beatriz Rodríguez Prado. Facultad de CC.EE. y EE. Avda. Valle del Esgueva. Valladolid 47011 SPAIN
    Phone: (34) 983 423320
    Fax: (34) 983 184568
    Web page: http://www.revista-eea.net
    More information through EDIRC

    Order Information:
    Email:
    Web: http://www.revista-eea.net

    Related research

    Keywords: Frontera estocástica; ineficiencia en costes; ineficiencia estimada ; Stochastic Frontier; Cost Inefficiency; Estimated Inefficiency.;

    Find related papers by JEL classification:

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. Greene, William H., 1990. "A Gamma-distributed stochastic frontier model," Journal of Econometrics, Elsevier, vol. 46(1-2), pages 141-163.
    2. Sealey, Calvin W, Jr & Lindley, James T, 1977. "Inputs, Outputs, and a Theory of Production and Cost at Depository Financial Institutions," Journal of Finance, American Finance Association, vol. 32(4), pages 1251-66, September.
    3. Jondrow, James & Knox Lovell, C. A. & Materov, Ivan S. & Schmidt, Peter, 1982. "On the estimation of technical inefficiency in the stochastic frontier production function model," Journal of Econometrics, Elsevier, vol. 19(2-3), pages 233-238, August.
    4. Delis, Manthos D & Koutsomanoli-Filippaki, Anastasia & Staikouras, Christos & Gerogiannaki, Katerina, 2008. "Evaluating cost and profit efficiency: a comparison of parametric and nonparametric methodologies," MPRA Paper 14039, University Library of Munich, Germany.
    5. Wei Siang Wang & Peter Schmidt, 2007. "On The Distribution of Estimated Technical Efficiency in Stochastic Frontier Models," CEPA Working Papers Series WP022007, School of Economics, University of Queensland, Australia.
    6. Stevenson, Rodney E., 1980. "Likelihood functions for generalized stochastic frontier estimation," Journal of Econometrics, Elsevier, vol. 13(1), pages 57-66, May.
    7. Allen N. Berger & David B. Humphrey, 1997. "Efficiency of Financial Institutions: International Survey and Directions for Future Research," Center for Financial Institutions Working Papers 97-05, Wharton School Center for Financial Institutions, University of Pennsylvania.
    8. Maudos, Joaquin & de Guevara, Juan Fernandez, 2007. "The cost of market power in banking: Social welfare loss vs. cost inefficiency," Journal of Banking & Finance, Elsevier, vol. 31(7), pages 2103-2125, July.
    9. Wei Wang & Christine Amsler & Peter Schmidt, 2011. "Goodness of fit tests in stochastic frontier models," Journal of Productivity Analysis, Springer, vol. 35(2), pages 95-118, April.
    10. Anup Kumar Bhandari, 2011. "On the Distribution of Estimated Technical Efficiency in Stochastic Frontier Models: Revisited," International Journal of Business and Economics, College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 10(1), pages 69-80, April.
    11. Casu, Barbara & Girardone, Claudia, 2009. "Testing the relationship between competition and efficiency in banking: A panel data analysis," Economics Letters, Elsevier, vol. 105(1), pages 134-137, October.
    12. Meeusen, Wim & van den Broeck, Julien, 1977. "Efficiency Estimation from Cobb-Douglas Production Functions with Composed Error," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 18(2), pages 435-44, June.
    13. J. Maudos & J. M. Pastor, 2003. "Cost and profit efficiency in the Spanish banking sector (1985-1996): a non-parametric approach," Applied Financial Economics, Taylor & Francis Journals, vol. 13(1), pages 1-12.
    14. Rafaela Dios Palomares, 2002. "Análisis de interpretación de los parámetros de relación de varianzas en el modelo de frontera estocástica," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 20, pages 365-379, Agosto.
    Full references (including those not matched with items on IDEAS)

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:lrk:eeaart:30_3_7. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Beatriz Rodríguez Prado).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.