IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this article or follow this journal

Nonparametric estimates of technical efficiency of Russian banks and crisis impact

  • Nazin, Vladimir

    ()

    (CEMI RAS; MDM Bank, Moscow, Russia)

Registered author(s):

    The topic of the research is the impact of the financial crisis on Russian banking system. The subject is nonparametric technical efficiency estimates obtained by Date Envelopment Analysis (DEA). Efficiency estimates are compared across different groups of banks: banks with foreign shareholders vs. domestic banks, and Moscow-based banks vs. regional banks. The statistical significance of the estimates is tested through a semi-parametric approach employing bootstrap. The results of the research shed light on the efficiency of Russian banks and their susceptibility to external shocks. Specifically, foreign-owned banks are shown to be generally more efficient than domestic ones, while the difference between Moscow-based and regional banks is indistinct. The research also shows further increased separation of the groups during crisis.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL: http://pe.cemi.rssi.ru/pe_2010_4_28-52.pdf
    File Function: Full text
    Download Restriction: no

    Article provided by Publishing House "SINERGIA PRESS" in its journal Applied Econometrics.

    Volume (Year): 20 (2010)
    Issue (Month): 4 ()
    Pages: 28-52

    as
    in new window

    Handle: RePEc:ris:apltrx:0096
    Contact details of provider: Web page: http://appliedeconometrics.cemi.rssi.ru/

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

    as in new window
    1. Simar, L. & Wilson, P.W., 2000. "Performance of the Bootstrap for DEA Estimators and Iterating the Principle," Papers 2, Catholique de Louvain - Institut de statistique.
    2. Bonin, John P. & Hasan, Iftekhar & Wachtel, Paul, 2005. "Bank performance, efficiency and ownership in transition countries," Journal of Banking & Finance, Elsevier, vol. 29(1), pages 31-53, January.
    3. Robert Lensink & Aljar Meesters & Ilko Naaborg, 2008. "Bank efficiency and foreign ownership: do good institutions matter?," ULB Institutional Repository 2013/14283, ULB -- Universite Libre de Bruxelles.
    4. Paul Wachtel & John Bonin & Iftekhar Hasan, 2004. "Privatization Matters: Bank Efficiency in Transition Countries," Working Papers 04-06, New York University, Leonard N. Stern School of Business, Department of Economics.
    5. Pavlyuk, Dmitry, 2006. "Efficiency model of Russian banks," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 3(3), pages 3-8.
    6. Головань С.В. & Карминский А.М. & Пересецкий А.А., 2008. "Эффективность Российских Банков С Точки Зрения Минимизации Издержек С Учетом Факторов Риска," Журнал Экономика и математические методы (ЭММ), Центральный Экономико-Математический Институт (ЦЭМИ), vol. 44(4), октябрь.
    7. Park, B.U. & Simar, L. & Weiner, Ch., 2000. "The Fdh Estimator For Productivity Efficiency Scores," Econometric Theory, Cambridge University Press, vol. 16(06), pages 855-877, December.
    8. Golovan, Sergei, 2006. "Factors Influencing the Efficiency of the Russian Banks Performance," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 2(2), pages 3-17.
    9. Drake, Leigh & Hall, Maximilian J.B. & Simper, Richard, 2006. "The impact of macroeconomic and regulatory factors on bank efficiency: A non-parametric analysis of Hong Kong's banking system," Journal of Banking & Finance, Elsevier, vol. 30(5), pages 1443-1466, May.
    10. Alexei Karas & Koen Schoors & Laurent Weill, 2008. "Are private banks more efficient than public banks ? Evidence from Russia," Working Papers of LaRGE Research Center 2008-15, Laboratoire de Recherche en Gestion et Economie (LaRGE), Université de Strasbourg.
    11. Simar, L. & Wilson, P.W., 1998. "A General Methodology for Bootstrapping in Nonparametric Frontier Models," Papers 9811, Catholique de Louvain - Institut de statistique.
    12. Staikouras, Christos & Mamatzakis, Emmanuel & Koutsomanoli-Filippaki, Anastasia, 2008. "Cost efficiency of the banking industry in the South Eastern European region," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(5), pages 483-497, December.
    13. Charnes, A. & Cooper, W. W. & Huang, Z. M. & Sun, D. B., 1990. "Polyhedral Cone-Ratio DEA Models with an illustrative application to large commercial banks," Journal of Econometrics, Elsevier, vol. 46(1-2), pages 73-91.
    14. Mamatzakis, Emmanuel & Staikouras, Christos & Koutsomanoli-Filippaki, Anastasia, 2008. "Bank efficiency in the new European Union member states: Is there convergence?," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 1156-1172, December.
    15. Simar, Leopold & Wilson, Paul W., 2007. "Estimation and inference in two-stage, semi-parametric models of production processes," Journal of Econometrics, Elsevier, vol. 136(1), pages 31-64, January.
    16. Cook, Wade D. & Seiford, Larry M., 2009. "Data envelopment analysis (DEA) - Thirty years on," European Journal of Operational Research, Elsevier, vol. 192(1), pages 1-17, January.
    17. Styrin Konstantin, 2005. "What Explains Differences in Efficiency Across Russian Banks?," EERC Working Paper Series 01-258e-1, EERC Research Network, Russia and CIS.
    18. Drake, Leigh & Hall, Maximilian J.B. & Simper, Richard, 2009. "Bank modelling methodologies: A comparative non-parametric analysis of efficiency in the Japanese banking sector," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(1), pages 1-15, February.
    19. Laurent Weill, 2003. "Banking efficiency in transition economies," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 11(3), pages 569-592, 09.
    20. R. D. Banker & A. Charnes & W. W. Cooper, 1984. "Some Models for Estimating Technical and Scale Inefficiencies in Data Envelopment Analysis," Management Science, INFORMS, vol. 30(9), pages 1078-1092, September.
    21. Golovan, Sergei & Nazin, Vladimir & Peresetsky, Anatoly, 2010. "Непараметрические Оценки Эффективности Российских Банков
      [Nonparametric estimates of Russian banks efficiency]
      ," MPRA Paper 56037, University Library of Munich, Germany, revised 2010.
    22. Charnes, A. & Cooper, W. W. & Rhodes, E., 1978. "Measuring the efficiency of decision making units," European Journal of Operational Research, Elsevier, vol. 2(6), pages 429-444, November.
    23. Battese, G E & Coelli, T J, 1995. "A Model for Technical Inefficiency Effects in a Stochastic Frontier Production Function for Panel Data," Empirical Economics, Springer, vol. 20(2), pages 325-32.
    Full references (including those not matched with items on IDEAS)

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:ris:apltrx:0096. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Anatoly Peresetsky)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.