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Bank Efficiency and Default in Brazil: Causality Tests (Tabak B.M., Craveiro G.L., Cajueiro D.O.)

Bank Efficiency Bank Products and Diversification

Abstract Periods of Financial Stability are associated to low bank efficiency and high non-performing loans in credit portfolios. Therefore, this paper studies the relationship between bank efficiency and non-performing loans. To evaluate the bank efficiency, we employ a Data Envelopment Analysis. We employ the Arelano-Bond dynamic panel approach and a panel-VAR to test whether non-performing loans Granger cause bank efficiency (bad luck hypothesis) or whether bank efficiency affects loan quality (management with risk aversion). Empirical results for the Brazilian case corroborate the second hypothesis.
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Libref/ Tabak B.M., Craveiro G.L., Cajueiro D.O. (2011) "Bank Efficiency and Default in Brazil: Causality Tests", Banco Central do Brasil Working Paper No. 253
© Программирование — Александр Красильников, 2008
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