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Appropriate Distribution of Cost Inefficiency Estimates as Predictor of Financial Instability /La distribución de la ineficiencia estimada como predictor de inestabilidad financiera

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  • GÓMEZ-GALLEGO, JUAN CÁNDIDO

    () (Departamento Administración y Dirección de Empresas, UNIVERSIDAD CATÓLICA SAN ANTONIO, ESPAÑA.)

  • GÓMEZ-GARCÍA, JUAN

    () (Departamento Métodos Cuantitativos para la Economía y la Empresa, UNIVERSIDAD DE MURCIA, ESPAÑA.)

  • PÉREZ-CÁRCELES, MARÍA CONCEPCIÓN

    () (Departamento Administración y Dirección de Empresas, UNIVERSIDAD CATÓLICA SAN ANTONIO, ESPAÑA.)

Abstract

The study develops a hypothesis validation process to test whether estimated cost inefficiency fits the theoretical distribution of the estimate of inefficiency, given the initial assumption of a half normal distribution for the ineffi¬ciency term in the stochastic frontier model. The application of this methodology to a sample of Spanish banks in the period 2002-2007 allows us to observe the evolution of the distributions of estimated cost inefficiency. The results confirm for the existence of a relationship between estimated cost inefficiency and the financial situation of these entities. In fact, an increase in the probability of higher levels of inefficiency is observed the period of study, coin-ciding with the beginning of financial instability in the Spanish banking system. El estudio desarrolla un proceso de validación de hipótesis que pretende contrastar si la distribución de la ineficiencia en costes estimada se ajusta a la distribución teórica de la ineficiencia estimada, dado el supuesto inicial de half normalidad del término de ineficiencia en el modelo de frontera estocástica. La aplicación de esta metodología a una muestra de bancos españoles durante el periodo 2002-2007 permite observar la evolución de las distribuciones de la ineficiencia en costes estimada. Los resultados muestran evidencia de una relación entre la ineficiencia en costes estimada y la situación financiera de esas entidades. De hecho, las distribuciones muestran un incremento en la probabilidad de los mayores niveles de ineficiencia en los últimos años del estudio, coincidiendo con el comienzo de la inestabilidad financiera en el sistema bancario español.

Suggested Citation

  • Gómez-Gallego, Juan Cándido & Gómez-García, Juan & Pérez-Cárceles, María Concepción, 2012. "Appropriate Distribution of Cost Inefficiency Estimates as Predictor of Financial Instability /La distribución de la ineficiencia estimada como predictor de inestabilidad financiera," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 30, pages 1071(12.)-1, Diciembre.
  • Handle: RePEc:lrk:eeaart:30_3_7
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    References listed on IDEAS

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    Keywords

    Frontera estocástica; ineficiencia en costes; ineficiencia estimada ; Stochastic Frontier; Cost Inefficiency; Estimated Inefficiency.;

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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