- PII
- S042473880000616-6-1
- DOI
- 10.7868/S0000616-6-1
- Publication type
- Article
- Status
- Published
- Authors
- Volume/ Edition
- Volume / Issue №3
- Pages
- 43-57
- Abstract
- Nonparametric estimates of the technical efficiency of Russian banks are constructed (using the DEA method). These estimates are compared with parametric estimates using the stochastic production capability boundary (SFA) method. Two estimates of the production set are considered: CCR (Charnes, Cooper, Rhodes, 1978) and BCC (Banker, Charnes, Cooper, 1984).a semi-parametric bootstrap is used to study the properties of the obtained efficiency estimates (Simar, Wilson, 2007). Models are constructed separately for each time point using three factors of production (machine maintenance costs, provisions for possible losses, and other expenses) and two components of output (net interest income and net other operating income). Models are evaluated based on quarterly reports of universal Russian banks for 2002-2006. The Spearman rank correlation coefficient values for performance estimates obtained by different methods vary between 0.72 and 0.89 for the two DEA models and between 0.56 and 0.91 for the DEA and SFA estimates, which allows us to conclude that the estimates calculated by different methods are similar. In all quarters except the second quarter of 2004, foreign banks are more efficient than domestic ones, and in the second quarter of 2004, foreign banks are less efficient (which can be explained by a crisis of confidence). Moscow banks have been less efficient than regional banks in all models since 2006.
- Keywords
- 1998 crisis, Russian banks, net assets, regional banks, competion, IAS, bank regulation, fi nancial indexes
- Date of publication
- 01.07.2010
- Year of publication
- 2010
- Number of purchasers
- 2
- Views
- 927
RAS Social ScienceЭкономика и математические методы Economics and the Mathematical Methods
- ISSN (Print) 0424-7388
- ISSN (Online) 3034-6177
NON-PARAMETRIC ESTIMATES OF THE PERFORMANCE OF RUSSIAN BANKS
Indexing
Scopus
Crossref
Higher Attestation Commission
At the Ministry of Education and Science of the Russian Federation
Scientific Electronic Library