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Eficiência Bancária e Inadimplência: testes de Causalidade

Author

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

Abstract

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.

Suggested Citation

  • 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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    File URL: https://www.bcb.gov.br/pec/wps/port/TD220.pdf
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    File URL: https://www.bcb.gov.br/pec/wps/ingl/wps220.pdf
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    Cited by:

    1. Tabak, Benjamin M. & Takami, Marcelo & Rocha, Jadson M.C. & Cajueiro, Daniel O. & Souza, Sergio R.S., 2014. "Directed clustering coefficient as a measure of systemic risk in complex banking networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 394(C), pages 211-216.

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