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A Probabilistic Approach for Assessing the Significance of Contextual Variables in Nonparametric Frontier Models: An Application to Brazilian Banks
Brazilian Review of Econometrics
View Archive Info| Field | Value | |
| Title |
A Probabilistic Approach for Assessing the Significance of Contextual Variables in Nonparametric Frontier Models: An Application to Brazilian Banks
A Probabilistic Approach for Assessing the Significance of Contextual Variables in Nonparametric Frontier Models: An Application to Brazilian Banks |
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| Creator |
e Souza, Geraldo da Silva
Staub, Roberta Blass Tabak, Benjamin Miranda |
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| Description |
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.
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. |
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| Publisher |
Sociedade Brasileira de Econometria
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| Date |
2008-05-01
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion |
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| Format |
application/pdf
application/pdf |
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| Identifier |
http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/1520
10.12660/bre.v28n12008.1520 |
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| Source |
Brazilian Review of Econometrics; Vol. 28 No. 1 (2008); 111-125
Brazilian Review of Econometrics; v. 28 n. 1 (2008); 111-125 1980-2447 |
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| Language |
eng
por |
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| Relation |
http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/1520/948
http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/1520/949 |
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