A Probabilistic Approach for Assessing the Significance of Contextual Variables in Nonparametric Frontier Models: An Application to Brazilian Banks*
نویسندگان
چکیده
This article presents an empirical banking application illustrating the use of a nonparametric frontier model relying on a probabilistic definition of the production frontier. It investigates the statistical significance of nonperforming loans in productive efficiency for a sample of Brazilian banks using the concepts of conditional and unconditional efficiency measures in a context where it is not necessary to impose any particular distribution on the production data. The analysis is robust relative to the assumptions of convexity and separability of the underlying technology. It is concluded that, on average, a relative increase of 1% in nonperforming loans implies a statistically significant relative reduction of 5.7% in the conditional measure of efficiency.
منابع مشابه
Efficiency Evaluation of Football Teams in English Premier League: Application of Data Envelopment Analysis
In this paper, the financial efficiency of football clubs in English Premier League during 2016-17 season is determined. From a methodological perspective, we use Data Envelopment Analysis (DEA), a deterministic nonparametric frontier method. In particular, variable returns to scale and slack based measure are employed to assess whether teams are spending more resources than they need to achiev...
متن کاملInvestigating the Performance of the Banking System in Iran: Multi-Frontier Malmquist-Luenberger Productivity Index Approach
This paper examines the efficiency and productivity of the banking industry in Iran, consideringdifferent ownership system of banks and different definations of bank's output and input. Moreover, in this study, the inclusion of undesirable outputs in the bank's performance is evaluated. The Multi-Frontier Malmquist-Luenberger Productivity Index applied to examine the performance of the bankin...
متن کاملA sequence of targets toward a common best practice frontier in DEA
Original data envelopment analysis models treat decision-making units as independent entities. This feature of data envelopment analysis results in significant diversity in input and output weights, which is irrelevant and problematic from the managerial point of view. In this regard, several methodologies have been developed to measure the efficiency scores based on common weights. Specificall...
متن کاملA Fire Ignition Model and Its Application for Estimating Loss due to Damage of the Urban Gas Network in an Earthquake
Damage of the urban gas network due to an earthquake can cause much loss including fire-induced loss to infrastructure and loss due to interruption of gas service and repairing or replacing of network elements. In this paper, a new fire ignition model is proposed and applied to a conventional semi-probabilistic model for estimating various losses due to damage of an urban gas network in an eart...
متن کاملIntroducing environmental variables in nonparametric frontier models: A probabilistic approach
This paper proposes a general formulation of a nonparametric frontier model introducing external environmental factors that might influence the production process but are neither inputs nor outputs under the control of the producer. A representation is proposed in terms of a probabilistic model which defines the data generating process. Our approach extends the basic ideas from Cazals, Florens ...
متن کامل