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A Probabilistic Approach for Assessing the Significance of Contextual Variables in Nonparametric Frontier Models: an Application for Brazilian Banks

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Author Info

  • Roberta Blass Staub
  • Geraldo da Silva e Souza

Abstract

This article presents an empirical application illustrating the use of a nonparametric frontier model relying on a probabilistic definition of the production frontier. The significance of the variable nonperforming loans in productive efficiency is assessed, for a sample of Brazilian banks, using the concepts of condicional and unconditional efficiency measures, in a context where it is not necessary to impose any particular distribution for the production data. The analysis is robust relative to the assumptions of separability.

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File URL: http://www.bcb.gov.br/pec/wps/ingl/wps150.pdf
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Bibliographic Info

Paper provided by Central Bank of Brazil, Research Department in its series Working Papers Series with number 150.

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Date of creation: Oct 2007
Date of revision:
Handle: RePEc:bcb:wpaper:150

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Web page: http://www.bcb.gov.br/?english

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Cited by:
  1. Sofia KOURTESI & Panos FOUSEKIS & Apostolos POLYMEROS, 2012. "Conditional Efficiency Estimation With Environmental Variables: Evidence From Greek Cereal Farms," Scientific Bulletin - Economic Sciences, University of Pitesti, vol. 11(1), pages 43-52.
  2. Tecles, Patricia Langsch & Tabak, Benjamin M., 2010. "Determinants of bank efficiency: The case of Brazil," European Journal of Operational Research, Elsevier, vol. 207(3), pages 1587-1598, December.
  3. De Witte, Kristof & Mika, Kortelainen, 2009. "Blaming the exogenous environment? Conditional efficiency estimation with continuous and discrete exogenous variables," MPRA Paper 14034, University Library of Munich, Germany.

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