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Eficiência Bancária e Inadimplência: testes de Causalidade


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


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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  • Benjamin M. Tabak & Giovana L. Craveiro & Daniel O. Cajueiro, 2010. "Eficiência Bancária e Inadimplência: testes de Causalidade," Working Papers Series 220, Central Bank of Brazil, Research Department.
  • Handle: RePEc:bcb:wpaper:220

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