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Efficiency, Endogenous And Exogenous Credit Risk In The Banking Systems Of The Euro Area

  • José Manuel Pastor Monsálvez

    (Instituto Valenciano de Investigaciones Económicas)

  • Lorenzo Serrano Martínez

    (Instituto Valenciano de Investigaciones Económicas)

The implantation of the Euro in the eleven of the EU has driven the big banks to expand their presence in other European countries, which may have negative consequences on their credit risk in view of the disadvantages involved in entering new markets. The aim of this paper is to analyse the efficiency and the credit risk of the banks of the most important countries of the Euro area, using a one-stage parametric stochastic procedure that allows us to identify whether the behaviour towards risk of the banks analysed was more cautious or more reckless during the period analysed. The results indicate that adjustments for risk are important in the case of profit efficiency but not in the case of cost efficiency. La implantación del Euro en once paises de la EU ha impulsado a los grandes bancos aexpandir su presencia en otros países europeos. Este hecho puede tener consecuenciasnegativas sobre el riesgo de crédito en la medida en que penetrar en nuevos mercados implicaactuar en desventajas comparativas con los competidores ya instalados. El objetivo de esteartículo es analizar la eficiencia y el riesgo de credito de los bancos de los paises másimportantes del área Euro utilizando un enfoque de una sóla etapa que nos permite identificarsi el comportamiento frente al riesgo de lod bancos analizados fue más prudente o másarriesgado durante el periodo analizado. Los resultados indican que los ajustes por el riesgoimportantes en el caso de la eficiencia en beneficios, pero no el caso de la eficiencia en costes.

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File URL: http://www.ivie.es/downloads/docs/wpasec/wpasec-2000-17.pdf
File Function: Fisrt version / Primera version, 2000
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Paper provided by Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) in its series Working Papers. Serie EC with number 2000-17.

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Length: 38 pages
Date of creation: Oct 2000
Date of revision:
Publication status: Published by Ivie
Handle: RePEc:ivi:wpasec:2000-17
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  1. Wheelock, David C & Wilson, Paul W, 1995. "Explaining Bank Failures: Deposit Insurance, Regulation, and Efficiency," The Review of Economics and Statistics, MIT Press, vol. 77(4), pages 689-700, November.
  2. Allen N. Berger & Loretta J. Mester, 1997. "Inside the black box: what explains differences in the efficiencies of financial institutions?," Finance and Economics Discussion Series 1997-10, Board of Governors of the Federal Reserve System (U.S.).
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  5. Francisco Pérez García & Javier Quesada Ibañez & Joaquín Maudos Villarroya & José Manuel Pastor Monsálvez, 1999. "- Cost And Profit Efficiency In European Banks," Working Papers. Serie EC 1999-12, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  6. Jose Pastor, 2002. "Credit risk and efficiency in the European banking system: A three-stage analysis," Applied Financial Economics, Taylor & Francis Journals, vol. 12(12), pages 895-911.
  7. Richard S. Barr & Thomas F. Siems, 1994. "Predicting bank failure using DEA to quantify management quality," Financial Industry Studies Working Paper 94-1, Federal Reserve Bank of Dallas.
  8. Francisco Pérez García & Javier Quesada Ibañez & José Manuel Pastor Monsálvez, 1995. "Efficiency Analysis In Banking Firms: An International Comparison," Working Papers. Serie EC 1995-18, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  9. Allen N. Berger & Robert DeYoung, 1997. "Problem loans and cost efficiency in commercial banks," Finance and Economics Discussion Series 1997-8, Board of Governors of the Federal Reserve System (U.S.).
  10. Berger, Allen N. & Humphrey, David B., 1991. "The dominance of inefficiencies over scale and product mix economies in banking," Journal of Monetary Economics, Elsevier, vol. 28(1), pages 117-148, August.
  11. Loretta J. Mester, . "Efficiency of Banks in the Third Federal Reserve District," Rodney L. White Center for Financial Research Working Papers 2-94, Wharton School Rodney L. White Center for Financial Research.
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  13. SIMAR, Léopold, . "Estimating efficiencies from frontier models with panel data: a comparison of parametric, non-parametric and semi-parametric metods with bootstrapping," CORE Discussion Papers RP -995, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  14. Allen, Linda & Rai, Anoop, 1996. "Operational efficiency in banking: An international comparison," Journal of Banking & Finance, Elsevier, vol. 20(4), pages 655-672, May.
  15. Loretta J. Mester, 1994. "How efficient are Third District banks?," Business Review, Federal Reserve Bank of Philadelphia, issue Jan, pages 3-18.
  16. Berg, Sigbjorn Atle & Forsund, Finn R. & Hjalmarsson, Lennart & Suominen, Matti, 1993. "Banking efficiency in the Nordic countries," Journal of Banking & Finance, Elsevier, vol. 17(2-3), pages 371-388, April.
  17. José Manuel Pastor Monsálvez, 1998. "- Efficiency And Risk Management In Banking Firms: A Method To Decompose Risk," Working Papers. Serie EC 1998-10, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  18. Jose Pastor, 1999. "Efficiency and risk management in Spanish banking: a method to decompose risk," Applied Financial Economics, Taylor & Francis Journals, vol. 9(4), pages 371-384.
  19. Ana Lozano Vivas & Jesús Tadeo Pastor Ciurana & José Manuel Pastor Monsálvez, 1997. "Efficiency of European banking systems: A correction by environment variables," Working Papers. Serie EC 1997-12, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  20. Allen N. Berger & David B. Humphrey, 1990. "Measurement and efficiency issues in commercial banking," Finance and Economics Discussion Series 151, Board of Governors of the Federal Reserve System (U.S.).
  21. Joseph P. Hughes & Loretta J. Mester, . "A Quality and Risk-Adjusted Cost Function for Banks: Evidence on the "Too-Big-To-Fail" Doctrine," Rodney L. White Center for Financial Research Working Papers 25-92, Wharton School Rodney L. White Center for Financial Research.
  22. Berger, Allen N. & Hancock, Diana & Humphrey, David B., 1993. "Bank efficiency derived from the profit function," Journal of Banking & Finance, Elsevier, vol. 17(2-3), pages 317-347, April.
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