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Aversión al riesgo y eficiencia de escala en los bancos: Incluyendo variables de riesgo y regulación

  • Ana María Olaya Pardo

    ()

  • Manuel Ramírez Gómez

    ()

Este artículo aplica las teorías del enfoque moderno en la medición de la actividad bancaria. Con el fin de determinar la eficiencia de escala y en nivel de aversión al riesgo en los directivos de los bancos en Colombia, utiliza una función de costos translogarítmica multiproducto, que incorpora variables de riesgo y regulación que caracterizaron y afectaron la actividad bancaria durante el período de crisis financiera. Encuentra que los directivos son adversos al riesgo y por lo tanto, la utilidad está en funcion de otras variables adicionales al beneficio. Demuestra que las medidas de regulación además de incrementar los costos generan un mayor nivel de aversión al riesgo de los directivos de los bancos, aumentando la demanda de capital financiero hasta niveles que nos les permiten minimizar costos. Por último, encuentra que no existen economías de escala al incluir en su medición variables de riesgo y de regulación durante el período de la crisis financiera.********************************************************************************************************This paper applies the theories of modern current in the measurement bankig activity. We use the translog functional form for the cost function with risk and regulation variables, to measure the scale economies and to know the level of risk-averse managers in Colombia banking during the financial crisis of 1997-2001. We find that bank managers are are risk averse and the utility depends on some revenue variables in addition to profit. The results show that the regulation instruments increase the costo and the level of the risk-averse managers, hence they choose a level of financial capital that is greater than the cost minimizing level. Moreover, there is not evidence of scale economies when it is computed by the cost function with risk and regulation variables in the financial crisis period.

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Paper provided by UNIVERSIDAD DEL ROSARIO in its series BORRADORES DE INVESTIGACIÓN with number 004346.

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Length: 34
Date of creation: 30 Nov 2004
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Handle: RePEc:col:000091:004346
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  1. Rodrigo Suescún M. & Martha Misas, . "Cambio Tecnológico, Ineficiencia de Escala e Ineficiencia X en la Banca Colombiana," Borradores de Economia 059, Banco de la Republica de Colombia.
  2. Jeffrey A. Clark, 1988. "Economies of scale and scope at depository financial institutions: a review of the literature," Economic Review, Federal Reserve Bank of Kansas City, issue Sep, pages 16-33.
  3. Joseph P. Hughes & Loretta J. Mester, 1998. "Bank Capitalization And Cost: Evidence Of Scale Economies In Risk Management And Signaling," The Review of Economics and Statistics, MIT Press, vol. 80(2), pages 314-325, May.
  4. Le Compte, Richard L B & Smith, Stephen D, 1990. " Changes in the Cost of Intermediation: The Case of Savings and Loans," Journal of Finance, American Finance Association, vol. 45(4), pages 1337-46, September.
  5. Murray, John D & White, Robert W, 1983. " Economies of Scale and Economies of Scope in Multiproduct Financial Institutions: A Study of British Columbia Credit Unions," Journal of Finance, American Finance Association, vol. 38(3), pages 887-902, June.
  6. Hunter, William C & Timme, Stephen G & Yang, Won Keun, 1990. "An Examination of Cost Subadditivity and Multiproduct Production in Large U.S. Banks," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 22(4), pages 504-25, November.
  7. Gregory Elliehausen, 1998. "The cost of banking regulation: a review of the evidence," Staff Studies 171, Board of Governors of the Federal Reserve System (U.S.).
  8. Berger, Allen N. & Hunter, William C. & Timme, Stephen G., 1993. "The efficiency of financial institutions: A review and preview of research past, present and future," Journal of Banking & Finance, Elsevier, vol. 17(2-3), pages 221-249, April.
  9. Kim, Moshe, 1986. "Banking technology and the existence of a consistent output aggregate," Journal of Monetary Economics, Elsevier, vol. 18(2), pages 181-195, September.
  10. Suescun Melo Rodrigo, 1987. "Nueva Evidencia Sobre Economias De Escala En La Banca Colombiana," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE.
  11. Berger, Allen N. & Hanweck, Gerald A. & Humphrey, David B., 1987. "Competitive viability in banking : Scale, scope, and product mix economies," Journal of Monetary Economics, Elsevier, vol. 20(3), pages 501-520, December.
  12. Mester, Loretta J, 1987. " A Multiproduct Cost Study of Savings and Loans," Journal of Finance, American Finance Association, vol. 42(2), pages 423-45, June.
  13. Goldstein, Steven J. & McNulty, James E. & Verbrugge, James A., 1987. "Scale economies in the savings and loan industry before diversification," Journal of Economics and Business, Elsevier, vol. 39(3), pages 199-207, August.
  14. Adriana Ferrufino Echeverri, 1991. "Reestimación Y Ampliación De La Evidencia Sobre Las Economías De Escala En El Sistema Financiero Colombiano," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE.
  15. Mester, Loretta J., 1991. "Agency costs among savings and loans," Journal of Financial Intermediation, Elsevier, vol. 1(3), pages 257-278, June.
  16. Santiago Herrera & Olver Bernal, 1983. "Producción, costos y economías de escala en el sistema bancario colombiano," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE.
  17. Patrick H. McAllister & Douglas A. McManus, 1992. "Diversification and risk in banking: evidence from ex post returns," Finance and Economics Discussion Series 201, Board of Governors of the Federal Reserve System (U.S.).
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