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Efficiency under quantile regression: What is the relationship with risk in the EU banking industry?

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  • Koutsomanoli-Filippaki, Anastasia I.
  • Mamatzakis, Emmanuel C.

Abstract

This study estimates cost efficiency under a quantile regression framework. Our purpose is to investigate whether cost efficiency differs across quantiles of the conditional distribution. Efficiency scores are derived using the distribution-free approach. Results show that for higher conditional distributions, efficiency scores are lower. In a second stage analysis, we examine the relationship between efficiency and risk, measured as distance to default. Cross section regressions show that the higher the risk, the lower the level of efficiency. The magnitude and the significance of the coefficient of the distance to default increases for conditional distributions associated with lower levels of efficiency.

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  • 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.
  • Handle: RePEc:eee:revfin:v:20:y:2011:i:2:p:84-95
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    Cited by:

    1. 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.
    2. Sánchez-Vidal, F. Javier, 2014. "High debt companies' leverage determinants in Spain: A quantile regression approach," Economic Modelling, Elsevier, vol. 36(C), pages 455-465.
    3. Galina Besstremyannaya, 2014. "The efficiency of labor matching and remuneration reforms: a panel data quantile regression approach with endogenous treatment variables," Working Papers w0206, Center for Economic and Financial Research (CEFIR).
    4. repec:eee:empfin:v:42:y:2017:i:c:p:66-89 is not listed on IDEAS
    5. Tsionas, Euthimios G. & Mamatzakis, Emmanuel C., 2017. "Adjustment costs in the technical efficiency: An application to global banking," European Journal of Operational Research, Elsevier, vol. 256(2), pages 640-649.
    6. Galina Besstremyannaya, 2015. "Heterogeneous effect of residency matching and prospective payment on labor returns and hospital scale economies," Discussion Papers 15-001, Stanford Institute for Economic Policy Research.
    7. Mamatzakis, E & Koutsomanoli-Filippaki, Anastasia & Pasiouras, Fotios, 2012. "A quantile regression approach to bank efficiency measurement," MPRA Paper 51879, University Library of Munich, Germany.
    8. Asmild, Mette & Zhu, Minyan, 2016. "Controlling for the use of extreme weights in bank efficiency assessments during the financial crisis," European Journal of Operational Research, Elsevier, vol. 251(3), pages 999-1015.
    9. repec:spd:journl:v:67:y:2017:i:2:p:3-25 is not listed on IDEAS

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