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Eficiência Bancária e Inadimplência: testes de Causalidade

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Author Info

  • Benjamin M. Tabak
  • Giovana L. Craveiro
  • Daniel O. Cajueiro

Abstract

Periods of Financial Stability are associated to low bank efficiency and high non-performing loans in credit portfolios. Therefore, this paper studies the relationship between bank efficiency and non-performing loans. To evaluate the bank efficiency, we employ a Data Envelopment Analysis. We employ the Arelano-Bond dynamic panel approach and a panel-VAR to test whether non-performing loans Granger cause bank efficiency (bad luck hypothesis) or whether bank efficiency affects loan quality (management with risk aversion). Empirical results for the Brazilian case corroborate the second hypothesis.

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File URL: http://www.bcb.gov.br/pec/wps/port/TD220.pdf
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File URL: http://www.bcb.gov.br/pec/wps/ingl/wps220.pdf
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Bibliographic Info

Paper provided by Central Bank of Brazil, Research Department in its series Working Papers Series with number 220.

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Date of creation: Oct 2010
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Handle: RePEc:bcb:wpaper:220

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

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