Total Factor Productivity Growth in U.S. Commercial Banking for 1935-1991: A Latent Variable Approach Using the Kalman Filter

Journal of Financial Services Research

Volumn 13, Issue 2, 1998, Pages 119-135

  Daniels, Kenneth N ^a   Tirtiroǧlu, Doǧan ^b  

^a VIRGINIA COMMONWEALTH UNIVERSITY   (United States)

^b Dept of Electrical and Computer Engineering   (Canada)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0042227443     PISSN: 09208550     EISSN: None     Source Type: Journal    
DOI: 10.1023/A:1007922103037     Document Type: Article

References (25)

1. "Banks and Technology: Cure-All or Snake-Oil?" The Economist, (October 3 1992), 21-25.
2. Bauer, P.W., A.N. Berger, and D.B. Humphrey, "Efficiency and Productivity Growth in U.S. Banking." In: H.O. Fried, C.A. Knox Lovell, and S.S. Schmidt, eds., The Measurement of Productive Efficiency: Techniques and Applications. Oxford: Oxford University Press, 1993, pp. 386-413.
3. Benston, George J., "Marginal Cost and Economies of Scale in Commercial Banking," National Banking Review 2 (1965), 507-549.
4. Berger, A.N., G.A. Hanweck, and D.B. Humphrey, "Competitive Viability in Banking: Scale, Scope, and Product Mix Economies," Journal of Monetary Economics 16 (1987), 501-520.
5. Boyd, J.H., and M. Gertler, "U.S. Commercial Banking: Trends, Cycles, and Policy," working paper No. 4404, NBER Working Paper Series (1993), Cambridge, MA.
6. Chambers, R.G., Applied Production Analysis: A Dual Approach. New York: Cambridge University Press, 1988.
7. Friedman, M., and A.J. Schwartz, A Monetary History of the United States, 1867-1960. Princeton, NJ: Princeton University Press, 1971.
8. Federal Deposition Insurance Corporation, A Statistical History of the United States Banking Industry. Washington, D.C.: FDIC, 1991.
9. Evanoff, D.D., P.R. Israilevich, and R.C. Merris, "Technical Change, Regulation, and Economies of Scale for Large Commercial Banks: An Application of a Modified Version of Shephard's Lemma," working paper, Federal Reserve Bank of Chicago, 1989.
10. Glass, J.C., and D.G. McKillop, "An Empirical Analysis of Scale and Scope Economies and Technical Change in an Irish Multiproduct Banking Firm," Journal of Banking and Finance 16 (1992), 423-437.
11. Godfrey, L.G., "Testing Against General Autoregressive and Moving Average Error Models When the Regressors Include Lagged Dependent Variables," Econometrica 46 (1978), 1293-1302.
12. Hannan, T.H., and G.N. Liang, "Inferring Market Power from Time-Series Data," International Journal of Industrial Organization 11 (1993), 205-218.
13. Hunter, W.C., and S.G. Timme, "Technological Change and Production Economies in Large U.S. Commercial Banking," Journal of Business 64 (1991).
14. Humphrey, D.B., "Flow versus Stock Indicators of Banking Output: Effects on Productivity and Scale Economy Measurement," Journal of Financial Services Research 6 (1992), 115-135.
15. Humphrey, D.B., "Cost and Technical Change: Effects from Bank Deregulation," Journal of Productivity Analysis 4 (1993), 9-34.
16. Kalman, R.E., "A New Approach to Linear Filtering and Prediction Problems," Transactions of ASME, Series D: Journal of Basic Engineering 82 (1960), 35-45.
17. Kalman, R.E., and R.S. Bucy, "New Results in Linear Filtering and Prediction Theory," Journal of Basic Engineering 83 (1961), 95-108.
18. Kim, M., and J. Weiss, "Total Factor Productivity Growth in Banking: The Israeli Banking Sector 1979-1982," Journal of Productivity Analysis 1 (1989), 139-153.
19. Lewis, K.A., "A Note on the Interest Elasticity of the Transactions Demand for Cash," Journal of Finance 29 (1974), 1149-1152.
20. Noulas, A.G., S.C. Ray, and S.M. Miller, "Returns to Scale and Input Substitution for Large U.S. Banks," Journal of Money, Credit, and Banking 22 (1993), 94-108.
21. Saunders, A., Financial Institutions Management: A Modern Perspective. Burr Ridge, IL: Irwin, 1994.
22. Shumway, R.H., and D.S. Stoffer, "An Approach to Time Series Smoothing and Forecasting Using the EM Algorithm," Journal of Time Series Analysis (1982) 253-264.
23. Slade, M.E., "Modeling Stochastic and Cyclical Components of Technical Change: An Application of the Kalman Filter," Journal of Econometrics 41 (1989), 363-383.
24. Tornqvist, L. "The Bank of Finland's Consumption Price Index," Bank of Finland Monthly Review 10 (1936), 1-8.
25. White, H., "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica 48 (1980), 817-838.