A Probabilistic Approach for Assessing the Significance of Contextual Variables in Nonparametric Frontier Models: an Application for Brazilian Banks
AbstractThis 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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Bibliographic InfoPaper provided by Central Bank of Brazil, Research Department in its series Working Papers Series with number 150.
Date of creation: Oct 2007
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Web page: http://www.bcb.gov.br/?english
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-12-01 (All new papers)
- NEP-BAN-2007-12-01 (Banking)
- NEP-EFF-2007-12-01 (Efficiency & Productivity)
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- 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.
- 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.
- Patricia Tecles & Benjamin M. Tabak, 2010. "Determinants of Bank Efficiency: the case of Brazil," Working Papers Series 210, Central Bank of Brazil, Research Department.
- 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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