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Efficiency, Endogenous And Exogenous Credit Risk In The Banking Systems Of The Euro Area

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  • José Manuel Pastor Monsálvez

    (Instituto Valenciano de Investigaciones Económicas)

  • Lorenzo Serrano Martínez

    (Instituto Valenciano de Investigaciones Económicas)

Abstract

The implantation of the Euro in the eleven of the EU has driven the big banks to expand their presence in other European countries, which may have negative consequences on their credit risk in view of the disadvantages involved in entering new markets. The aim of this paper is to analyse the efficiency and the credit risk of the banks of the most important countries of the Euro area, using a one-stage parametric stochastic procedure that allows us to identify whether the behaviour towards risk of the banks analysed was more cautious or more reckless during the period analysed. The results indicate that adjustments for risk are important in the case of profit efficiency but not in the case of cost efficiency. La implantación del Euro en once paises de la EU ha impulsado a los grandes bancos aexpandir su presencia en otros países europeos. Este hecho puede tener consecuenciasnegativas sobre el riesgo de crédito en la medida en que penetrar en nuevos mercados implicaactuar en desventajas comparativas con los competidores ya instalados. El objetivo de esteartículo es analizar la eficiencia y el riesgo de credito de los bancos de los paises másimportantes del área Euro utilizando un enfoque de una sóla etapa que nos permite identificarsi el comportamiento frente al riesgo de lod bancos analizados fue más prudente o másarriesgado durante el periodo analizado. Los resultados indican que los ajustes por el riesgoimportantes en el caso de la eficiencia en beneficios, pero no el caso de la eficiencia en costes.

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File URL: http://www.ivie.es/downloads/docs/wpasec/wpasec-2000-17.pdf
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Bibliographic Info

Paper provided by Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) in its series Working Papers. Serie EC with number 2000-17.

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Length: 38 pages
Date of creation: Oct 2000
Date of revision:
Publication status: Published by Ivie
Handle: RePEc:ivi:wpasec:2000-17

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Keywords: Efficiency; European banks; credit risk; bad loans. Eficiencia; bancos europeos; riesgo de crédito; morosidad.;

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References

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  1. Rogers, Kevin E., 1998. "Nontraditional activities and the efficiency of US commercial banks," Journal of Banking & Finance, Elsevier, vol. 22(4), pages 467-482, May.
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  4. Francisco Pérez García & Javier Quesada Ibañez & José Manuel Pastor Monsálvez, 1995. "Efficiency Analysis In Banking Firms: An International Comparison," Working Papers. Serie EC 1995-18, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
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Citations

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Cited by:
  1. Koutsomanoli-Filippaki, Anastasia I. & Mamatzakis, Emmanuel C., 2011. "Efficiency under quantile regression: What is the relationship with risk in the EU banking industry?," Review of Financial Economics, Elsevier, vol. 20(2), pages 84-95, May.
  2. J. David Cummins & Georges Dionne & Robert Gagné & Abdelhakim Nouira, 2006. "Efficiency of Insurance Firms with Endogenous Risk Management and Financial Intermediation Activities," Cahiers de recherche 06-06, HEC Montréal, Institut d'économie appliquée.
  3. Fiordelisi, Franco & Marques-Ibanez, David & Molyneux, Phil, 2011. "Efficiency and risk in European banking," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1315-1326, May.
  4. Fotios Pasiouras, 2008. "International evidence on the impact of regulations and supervision on banks’ technical efficiency: an application of two-stage data envelopment analysis," Review of Quantitative Finance and Accounting, Springer, vol. 30(2), pages 187-223, February.
  5. Anastasia Koutsomanoli-Filippaki & Emmanuel Mamatzakis, 2009. "Performance and Merton-Type Default Risk of Listed Banks in EU: a panel VAR approach," Discussion Paper Series 2009_09, Department of Economics, University of Macedonia, revised Apr 2009.
  6. Pasiouras, Fotios, 2008. "Estimating the technical and scale efficiency of Greek commercial banks: The impact of credit risk, off-balance sheet activities, and international operations," Research in International Business and Finance, Elsevier, vol. 22(3), pages 301-318, September.
  7. López-Torres, Laura & Prior, Diego , 2013. "Do Parents Perceive The Technical Quality Of Public Schools? An Activity Analysis Approach," Regional and Sectoral Economic Studies, Euro-American Association of Economic Development, vol. 13(3), pages 39-60.
  8. Angelo Zago & Paola Dongili, 2011. "Credit quality and technical efficiency in banking," Empirical Economics, Springer, vol. 40(2), pages 537-558, April.
  9. Bernardo Maggi & Marco Guida, 2011. "Modelling non-performing loans probability in the commercial banking system: efficiency and effectiveness related to credit risk in Italy," Empirical Economics, Springer, vol. 41(2), pages 269-291, October.
  10. Manlagñit, Maria Chelo V., 2011. "Cost efficiency, determinants, and risk preferences in banking: A case of stochastic frontier analysis in the Philippines," Journal of Asian Economics, Elsevier, vol. 22(1), pages 23-35, February.
  11. 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.

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