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Banking output & price indicators from quarterly reporting data

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  • Paolo Guarda
  • Abdelaziz Rouabah

Abstract

La mesure de la production bancaire (et donc de la productivité) a été longtemps sujette à des multiples controverses. Cet article adopte l’approche de Fixler and Zieschang (1999) afin de mesurer la production et les prix du secteur bancaire luxembourgeois à partir des rapports trimestriels transmis à la BCL. Cette méthode consiste en l’affectation des différents flux affichés dans le compte de pertes et profits aux différents postes de l’actif et du passif bilantaires. Ainsi, un taux a été calculé pour chaque poste d’actif ou du passif en fonction des flux de revenus ou de coûts associés. Ensuite, la différence entre ce taux et un taux de référence censé capturer le coût d’opportunité du capital financier fournit le coût d’usage du poste en question. Un coût d’usage négatif permet de catégoriser un poste de l’actif ou du passif comme étant un produit, tandis qu’un coût d’usage positif revient à l’identifier comme étant un entrant dans le processus de production. Or, les deux approches traditionnelles à la production bancaire, qui sont l’approche « intermédiation » et l’approche « production », se fondent sur une classification à priori. Par contre, l’approche par le coût d’usage opère une classification issue des données et peut, théoriquement, combiner des éléments afférents aux deux approches précitées. En pratique, les résultats suggèrent qu’aucune des deux approches traditionnelles n’est tout-à-fait cohérente avec les données luxembourgeoises. Après l’identification des produits et des intrants, ceux-ci sont agrégés séparément à l’aide d’indices Törnqvist multilatéraux. Ces derniers sont construits sur la base d’une entreprise représentative qui sert de référence pour suivre l’évolution temporelle du secteur bancaire. Il ressort que la production totale a progressé à un taux annuel moyen de 11% sur la période 1994T1-2006T4. Ce taux élevé trouve son origine à la fois dans la progression de l’intégration financière européenne et dans le processus d’innovation financière traduit par l’introduction de nouveaux instruments financiers ou de nouvelles formes de régulation. La forte progression de la production est un résultat qui se révèle robuste à l’utilisation de mesures alternatives du taux de référence. La Productivité Totale des Facteurs (PTF), mesurée par la différence entre les indices de la production et des intrants, a augmenté de 4% par an sur le même échantillon. La croissance de la productivité est volatile mais les fluctuations y afférentes sont persistantes et pro-cycliques. Le niveau de la productivité a été également calculé pour les banques individuelles, où il varie fortement mais semble plus élevé dans les établissements de grande taille. Un indice des prix implicites a également été calculé, dont l’évolution suggère que les prix des services d’intermédiation financière ont baissé sur la période considérée. Ceci pourrait refléter l’introduction des nouvelles technologies d’information et de communication, dont l’impact sur les coûts serait particulièrement favorable pour le secteur bancaire. Cette baisse de prix peut être attribuée également à la tendance baissière des taux d’intérêt nominaux au cours de la dernière décennie. La compression de la marge d’intérêt qui en résulte a réduit le coût d’usage des actifs comme des passifs et par voie de conséquence le prix implicite de la production. Dans ce contexte, l’approche par le coût d’usage est particulièrement attractive parce qu’elle fournit une mesure de prix pour les services d’intermédiation financière qui ne sont pas directement facturés, c’est-à-dire ceux dont le prix ne peut pas être observé directement.

Suggested Citation

  • Paolo Guarda & Abdelaziz Rouabah, 2007. "Banking output & price indicators from quarterly reporting data," BCL working papers 27, Central Bank of Luxembourg.
  • Handle: RePEc:bcl:bclwop:bclwp027
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    References listed on IDEAS

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    2. Dennis Fixler & Kimberly Zieschang, 1999. "The productivity of the banking sector: integrating financial and production approaches to measuring financial service output," Canadian Journal of Economics, Canadian Economics Association, vol. 32(2), pages 547-569, April.
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    7. Hancock, Diana, 1986. "A model of the financial firm with imperfect asset and deposit elasticities," Journal of Banking & Finance, Elsevier, vol. 10(1), pages 37-54, March.
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    Cited by:

    1. Paolo Guarda & Abdelaziz Rouabah & Michael Vardanyan, 2013. "Identifying bank outputs and inputs with a directional technology distance function," Journal of Productivity Analysis, Springer, vol. 40(2), pages 185-195, October.
    2. Claudia Curi & Paolo Guarda & Ana Lozano-Vivas & Valentin Zelenyuk, 2013. "Is foreign-bank efficiency in financial centers driven by home or host country characteristics?," Journal of Productivity Analysis, Springer, vol. 40(3), pages 367-385, December.
    3. Curi, Claudia & Lozano-Vivas, Ana & Zelenyuk, Valentin, 2015. "Foreign bank diversification and efficiency prior to and during the financial crisis: Does one business model fit all?," Journal of Banking & Finance, Elsevier, vol. 61(S1), pages 22-35.
    4. Athanasoglou, Panayiotis P. & Georgiou, Evangelia A. & Staikouras, Christos C., 2009. "Assessing output and productivity growth in the banking industry," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(4), pages 1317-1340, November.
    5. Valentin Zelenyuk & Claudia Curi & Paolo Guarda & Ana Lozano-Vivas, 2011. "Is foreign-bank efficiency in financial centers driven by home-country characteristics?," CEPA Working Papers Series WP022011, School of Economics, University of Queensland, Australia.
    6. Claudia Curi & Ana Lozano-Vivas, 2015. "Financial center productivity and innovation prior to and during the financial crisis," Journal of Productivity Analysis, Springer, vol. 43(3), pages 351-365, June.

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    More about this item

    Keywords

    banks; total factor productivity; Törnqvist index numbers;
    All these keywords.

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • D24 - Microeconomics - - Production and Organizations - - - Production; Cost; Capital; Capital, Total Factor, and Multifactor Productivity; Capacity
    • C34 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Truncated and Censored Models; Switching Regression Models

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