scholarly journals Computing nonperforming loan prices in banking efficiency analysis

2021 ◽  
Author(s):  
Elisa Fusco ◽  
Bernardo Maggi
Keyword(s):  
Stochastic Frontier Analysis ◽  
Panel Study ◽  
Stochastic Frontier ◽  
Efficiency Analysis ◽  
Banking Efficiency ◽  
Frontier Analysis ◽  
Nonperforming Loans ◽  
European Banks ◽  
Regulatory Interventions ◽  
Recent Financial Crisis

AbstractWithin the framework of banking efficiency analysis, we propose a methodology for computing unobservable shadow prices for nonperforming loans (NPL). Our approach is to include NPL as an undesirable output variable in a distance function stochastic frontier analysis. We conduct a panel study of US and European banks during the most recent financial crisis by adopting a semi-nonparametric Fourier specification, which ensures convergence to the true values of both the estimated function and the related efficiency. Computing NPL prices has several advantages, such as identifying approaching crises, quantifying the responsibilities of governments and banks for credit risk and determining appropriate regulatory interventions.

An Efficiency Analysis of Micro Units in a Fragile Zone: A Panel Study of the Firms in J&K, India

2021 ◽  
pp. 097492922110448
Author(s):  
Javaid Iqbal Khan ◽  
Mehak Majeed ◽  
Saeed Owais Mushtaq
Keyword(s):  
Stochastic Frontier Analysis ◽  
Small And Medium Enterprises ◽  
Panel Study ◽  
Stochastic Frontier ◽  
Negative Relationship ◽  
Jel Classification ◽  
Tobit Regression ◽  
Jammu And Kashmir ◽  
Frontier Analysis ◽  
The Government

The micro, small and medium enterprises (MSMEs) are the backbone of the community development in the developing world. In the fragile and backward regions, it is the micro enterprise that is considered to be the engine of growth and development. Being labour-intensive and requiring lesser capital input, the micro unit start-ups demand lesser investment in plant and machinery, attracting more and more potential entrepreneurs. Over the time, such units gain experience and knowledge becoming more efficient. This article studies the firms located in the fragile and geographically remote region of Jammu and Kashmir. The article uses a panel of 15 years from 2002 to 2016 based on the Annual Survey of Industries data. Using the Stochastic Frontier Analysis, the article studies the MSMEs and the micro units. From the post-estimation, technical efficiency scores are attained for both MSMEs and the micro units. The results reveal that the micro units are more efficient than the MSMEs in general. Tobit regression is used to estimate the technical inefficiency model to determine the factors that contribute to the inefficiency present in the micro units. The results show that there is a negative relationship between the efficiency of the micro unit firms and the asset-liability ratio and the loan-liability ratio, while there is a positive relationship between the private ownership of the firm and the efficiency level. Age of the firm is considered separately to validate the ‘learning theory’ by Jovanovic. The article concludes by suggesting that the government must provide adequate boost and a big-push to the micro units in order to eradicate the widespread unemployment and fragility in the region. JEL Classification: F61, L25

scholarly journals PANEL STOCHASTIC FRONTIER ANALYSIS OF PROFITABILITY AND EFFICIENCY OF TURKISH BANKING SECTOR IN THE POST CRISIS ERA / TURKIJOS BANKŲ SEKTORIAUS VEIKLOS PELNINGUMO IR EFEKTYVUMO ANALIZĖ POKRIZINIU LAIKOTARPIU

2011 ◽  
Vol 12 (4) ◽  
pp. 629-654 ◽  
Author(s):  
Ahmet Faruk Aysan ◽  
Mustafa Mete Karakaya ◽  
Metin Uyanik
Keyword(s):  
Structural Changes ◽  
Banking Sector ◽  
Stochastic Frontier Analysis ◽  
Stochastic Frontier ◽  
Foreign Banks ◽  
Efficiency Gain ◽  
Stochastic Frontier Approach ◽  
Banking Efficiency ◽  
Frontier Analysis ◽  
Efficiency Measures

This paper examines the efficiency and its relation to profitability in Turkish banking sector by employing Panel Stochastic Frontier Approach. In the post crises period, extensive structural changes have taken place and a great number of new developments have occurred, affecting the efficiency of banking sector. This is the first study that employs panel stochastic frontier approach for banking efficiency in Turkey. In this research, both cost and profit efficiency measures are estimated for the panel data consisting of 32 banks between 2002–2007. Results suggest that there is cost efficiency gain and convergence in the efficiency levels of banks. As another interesting result, foreign banks are less efficient and state banks are more efficient. This paper also analyzes the relation between efficiency and profitability and finds no robust relation between them. However, the bank size matters more for profitability. Santrauka Autoriai nagrinėja Turkijos bankų veiklą, t. y. jų pelningumą bei efektyvumą pokriziniu laikotarpiu. Šis laikotarpis buvo pasirinktas todėl, kad atsirado daug įvairių struktūrinių pokyčių, kurie turėjo įtakos bankininkystės sektoriaus efektyvumui. Tyrimui buvo pasirinkti 32 Turkijoje veikiantys bankai (jų veiklos rodikliai prieš ekonominę krizę ir po jos). Rezultatai rodo, kad Turkijoje veikiančių užsienio komercinių bankų veikla yra mažiau efektyvesnė nei valstybinių. Taip pat autoriai analizuoja bankų veiklos efektyvumo ir pelningumo santykį, tačiau, kaip rodo gauti rezultatai, stipraus ryšio tarp jų nėra.

scholarly journals Labour efficiency in construction industry in Europe based on frontier methods: data envelopment analysis and stochastic frontier analysis

2017 ◽  
Vol 23 (6) ◽  
pp. 787-795 ◽  
Author(s):  
Joanicjusz NAZARKO ◽  
Ewa CHODAKOWSKA
Keyword(s):  
Data Envelopment Analysis ◽  
Construction Industry ◽  
Technical Efficiency ◽  
Stochastic Frontier Analysis ◽  
Stochastic Frontier ◽  
Efficiency Analysis ◽  
European Countries ◽  
Personnel Cost ◽  
Data Envelopment ◽  
Frontier Analysis

The primary problems pertaining to productivity or – more precisely – efficiency are: how to define it and how to measure it. This article studies technical efficiency in Stochastic Frontier Analysis (SFA) – the input-oriented frontier model – in the construction industry and compares it with Data Envelopment Analysis (DEA) results. The models ex­plored in this paper were constructed on the basis of two outputs and personnel cost as an input. The research sample consisted of European countries. The aim was to determine whether there are substantial differences in estimation of ef­ficiency derived from those two alternative frontier approaches. The comparison of results according to the models may translate into higher reliability of the undertaken labour efficiency analysis in construction and its conclusions. Although the results are not characterized by high compatibility, the conducted analysis indicated the most attractive countries taking into account labour cost to profit and turnover ratios of enterprises. One of the determinants which should not be ignored when analysing the labour efficiency is the level of development of a country; however, it is not the sole factor affecting the efficiency of the sector.

scholarly journals TECHNICAL EFFICIENCY ANALYSIS IN INDONESIAN FISHERY PROCESSING INDUSTRY: A CASE OF FISHERY CANNED PRODUCT FIRMS

2019 ◽  
Vol 9 (1) ◽  
pp. 53
Author(s):  
Munawar Asikin ◽  
Arief Daryanto ◽  
Machfud . ◽  
Subagio Dwijosumono
Keyword(s):  
Technical Efficiency ◽  
Stochastic Frontier Analysis ◽  
Stochastic Frontier ◽  
Efficiency Analysis ◽  
Least Square ◽  
Time Varying ◽  
Efficient Manner ◽  
Processing Industry ◽  
Frontier Analysis ◽  
Ordinary Least Square

This study aims to analyze technical efficiency and evaluate the effect of some sources of inefficiency in the Indonesian fishery canned firms during the period of 1990-2015. We calculate technical efficiency using the Stochastic Frontier Analysis (SFA) method with Time Varying Decay. The average of technical efficiency in this industry during the period of 1990-2015 was only 57%. It indicates that firms in this industry still encounter a problem in allocating the resources in efficient manner.  However, during the period of 1994-2015, the efficiency in the Indonesian fishery canned industry has declined. We also employed the Ordinary Least Square (OLS) method to evaluate the sources of inefficiency. The results showed that eight variables affected to the efficiency in this industry, thereby it will reduce fishery product competitiveness in the future

scholarly journals Technical Efficiency Analysis of Wheat Crop in Arid Region of Punjab, Pakistan

2021 ◽  
pp. 1-9
Author(s):  
Muhammad Fahad Irfan ◽  
Muhammad Umer Afzal ◽  
Kaif Matloob ◽  
Irfan Ahmad Baig
Keyword(s):  
Technical Efficiency ◽  
Stochastic Frontier Analysis ◽  
Stochastic Frontier ◽  
Sampling Technique ◽  
Efficiency Analysis ◽  
Primary Data ◽  
Wheat Crop ◽  
Analysis Model ◽  
Frontier Analysis ◽  
The Mean

The present study aims to estimate the possible effects of credit on production of wheat crop in Chakwal. The research was based on primary data gathered from 120 farmers, selected by using random sampling technique belonging to two tehsils i.e. Talagang and Chakwal. SFA (Stochastic Frontier Analysis) model was adapted to analyze the data and the results show the mean technical efficiency of the wheat crop was 82 percent for borrowers and 76 percent for non-borrowers. The results proposed that the technical efficiency of wheat growers can be increased by increasing loan disbursement in the area.

Cost Efficiency Analysis in the Banking Industry

2020 ◽  
Vol 7 (2) ◽  
pp. 1-20
Author(s):  
Gazmend Nure
Keyword(s):  
Cost Efficiency ◽  
Commercial Banks ◽  
Stochastic Frontier Analysis ◽  
Banking Industry ◽  
Stochastic Frontier ◽  
Efficiency Analysis ◽  
Frontier Analysis ◽  
Relative Lack ◽  
Boundary Model ◽  
The Stability

The efficiency of commercial banks is essential for the stability of banks by implying that banks that take higher risks are more inefficient. This paper builds on a stochastic heteroscedastic boundary model, where one will analyze a sample of 70 banks in Western Balkan countries such as Albania, Northern Macedonia, Serbia, Kosovo, and Montenegro for the period 2007-2017, highlighting determinants of bank cost efficiency. Banks with less liquidity, with a lower solvency rate and a higher credit risk, are more ineffective than prudent credit institutions. The paper also aims to address the relative lack of studies on the efficiency of banks in the region through the use of the stochastic frontier analysis (SFA).

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