The random parameters stochastic frontier cost function and the effectiveness of public policy: Evidence from bank restructuring in Mexico

International Review of Financial Analysis

Volumn 30, Issue , 2013, Pages 98-108

  Barros, Carlos Pestana ^a,b   Williams, Jonathan ^c  

^a UNIVERSITY OF LISBON   (Portugal)

^b UECE Research Unit on Complexity and Economics   (Portugal)

^c BANGOR UNIVERSITY   (United Kingdom)

Author keywords

Banks; Efficiency; Foreign banks; Mexico; Random parameters; Stochastic frontier

Indexed keywords

EID: 84880648951     PISSN: 10575219     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.irfa.2013.06.006     Document Type: Article

References (71)

1. Acharya V., Hassan I., Saunders A. Should banks be diversified? Evidence from individual bank loan portfolios. Journal of Business 2006, 79(3):1355-1412.
2. Aigner D.J., Lovell C.A.K., Schmidt P. Formulation and estimation of stochastic frontier production function models. Journal of Econometrics 1977, 6:21-37.
3. Altunbas Y., Evans L., Molyneux P. Bank ownership and efficiency. Journal of Money, Credit, and Banking 2001, 33(4):926-954.
4. Ariff M., Can L. IMF bank-restructuring efficiency outcomes: Evidence from East Asia. Journal of Financial Services Research 2009, 35:167-187.
5. Banker R.D., Charnes A., Cooper W.W. Some models for estimating technical and scale inefficiencies in data envelopment analysis. Management Science 1984, 30:1078-1092.
6. Banker R.D., Natarajan R. Evaluating contextual variables affecting productivity using data envelopment analysis. Operations Research 2008, 56(1):48-58.
7. Barnes G. Lessons from bank privatisation in Mexico. Policy Research Working Papers WPS1027 1992, World Bank.
8. Battese G.E., Coelli T.J. A model for technical inefficiency effects in a stochastic frontier production function for panel data. Empirical Economics 1995, 20:325-332.
9. Bauer P.W., Berger A.N., Ferrier G.D., Humphrey D.B. Consistency conditions for regulatory analysis of financial institutions: A comparison of frontier efficiency methods. Journal of Economics and Business 1998, 50:85-114.
10. Berger A.N. International comparisons of banking efficiency. Financial Markets, Institutions and Instruments 2007, 16(3):119-144.
11. Berger A.N., Clarke G.R.G., Cull R., Klapper L., Udell G.F. Corporate governance and bank performance: A joint analysis of the static, selection, and dynamic effects of domestic, foreign, and state ownership. Journal of Banking and Finance 2005, 29:2179-2221.
12. Berger A.N., DeYoung R. Problem loans and cost efficiency in commercial banks. Journal of Banking and Finance 1997, 21(6):849-870.
13. Berger A.N., DeYoung R., Genay H., Udell G.F. Globalisation of financial institutions: Evidence from cross-border banking performance. Brookings-Wharton Papers on Financial Services 2000, 3:23-158.
14. Berger A.N., Hannan T.H. The efficiency cost of market power in the banking industry: A test of the "quiet life" and related hypotheses. The Review of Economics and Statistics 1998, 80(3):454-465.
15. Berger A.N., Humphrey D.B. Measurement and efficiency issues in commercial banking. Output Measurement in the Service Sectors, National Bureau of Economic Research 1992, 245-279. University of Chicago Press, Chicago. Z. Griliches (Ed.).
16. Berger A.N., Humphrey D.B. Efficiency of financial institutions: International survey and directions for future research. European Journal of Operational Research 1997, April, 98(2):175-212.
17. Berger A.N., Mester L.J. Inside the black box: What explains differences in the efficiencies of financial institutions?. Journal of Banking and Finance 1997, 21:895-947.
18. Bos J.W.B., Koetter M., Kolari J.W., Kool C.J.M. Effects of heterogeneity on bank efficiency scores. European Journal of Operational Research 2009, 195:251-261.
19. Caprio G., Laeven L., Levine R. Governance and bank valuation. Journal of Financial Intermediation 2007, 16:584-617.
20. Carvalho F.J.C., Paula L.F., Williams J. Banking in Latin America. The Oxford Handbook of Banking 2009, 868-902. Oxford University Press. A. Berger, P. Molyneux, J. Wilson (Eds.).
21. Claessens S., Demirgüç-Kunt A., Huizinga H. How does foreign entry affect domestic banking markets?. Journal of Banking and Finance 2001, 25:891-911.
22. Claessens S., Jansen M. Internationalisation of financial services. WTO - World Bank (2000) 2000, Kluwer Law International.
23. Clarke G.R.G., Crivelli J.M., Cull R. The direct and indirect impact of bank privatization and foreign entry on access to credit in Argentina's provinces. Journal of Banking and Finance 2005, 29:5-29.
24. Clarke G., Cull R., Martinez Peria M.S., Sánchez S.M. Foreign bank entry: Experience, implications for developing economies, and agenda for further research. The World Bank Research Observer 2003, 18(1):25-59.
25. Crystal J.S., Dages B.G., Goldberg L. Has foreign bank entry led to sounder banks in Latin America?. Current Issues in Economics and Finance 2002, 8(1):1-6.
26. Dam L., Koetter M. Bank bailouts and moral hazard: Evidence from Germany. Review of Financial Studies 2012, 25(8):2343-2380.
27. Del Angel G.A., Haber S., Musacchio A. Bank accounting standards in Mexico. A layman's guide to changes 10years after the 1995 bank crisis. Harvard Business School Working Papers 08-090 2008, Harvard Business School.
28. Farrell M.J. The measurement of productive efficiency. Journal of the Royal Statistical Society, Series A 1957, 120(3):253-290.
29. Fiordelisi F., Marques-Ibanez D., Molyneux P. Efficiency and risk in European banking. Journal of Banking and Finance 2011, 35:1315-1326.
30. Gelos R.G., Roldós J. Consolidation and market structure in emerging market banking systems. Emerging Markets Review 2004, 5:39-59.
31. Graf P. Policy responses to the banking crisis in Mexico. Bank Restructuring in Practice, BIS Policy Papers, No. 6 1999, 164-182.
32. Greene W. Reconsidering heterogeneity in panel data estimators of the stochastic frontier model. Journal of Econometrics 2005, 126:269-303.
33. Greene W. Fixed and random effects in stochastic frontier models. Journal of Productivity Analysis 2005, 23:7-32.
34. Greene W.H. The econometric approach to efficiency analysis. The Measurement of Productive Efficiency and Productivity Growth 2008, 92-251. Oxford University Press. H.O. Fried, C.A.K. Lovell, S.S. Schmidt (Eds.).
35. Gropp R., Hakenes H., Schnabel I. Competition, risk-shifting, and public bail-out policies. Review of Financial Studies 2011, 24(6):2084-2120.
36. Gruben W.C., Welch J.H., Gunther J.W. U.S. banks, competition, and the Mexican banking system: How much will NAFTA matter?. Federal Reserve Bank of Dallas, Research Department Working Paper 94-10 1994.
37. Haber S. Mexico's experiments with bank privatization and liberalization, 1991-2003. Journal of Banking and Finance 2005, 29:2325-2353.
38. Haber S., Musacchio A. Foreign banks and the Mexican economy, 1997-2004. Stanford Center for International Development Working Paper 2005.
39. Haber S., Musacchio A. These are the good old days: Foreign entry and the Mexican banking system. NBER Working Paper Series, Working Paper 18713 2013.
40. Hakenes H., Schnabel I. Banks without parachutes: Competitive effects of government bail-out policies. Journal of Financial Stability 2010, 6:156-168.
41. Hao J., Hunter W.C., Yang W.-K. Deregulation and efficiency: The case of private Korean banks. Journal of Economics and Business 2001, 53:237-254.
42. Hoff A. Second stage DEA: Comparison of approaches for modeling the DEA score. European Journal of Operational Research 2007, 181:425-435.
43. Hoshino T. Privatization of Mexico's public enterprises and the restructuring of the private sector. The Developing Economies 1996, XXXIV-1:34-60.
44. Jondrow J., Lovell C.A., Materov I.S., Schmidt P. On estimation of technical inefficiency in the stochastic frontier production function model. Journal of Econometrics 1982, 19:233-238.
45. Kendall M. A new measure of rank correlation. Biometrika 1938, 30(1-2):81-89.
46. Laeven L., Levine R. Bank governance, regulation and risk taking. Journal of Financial Economics 2009, 93:259-275.
47. Laeven L., Valencia F. Systemic banking crises: A new database. IMF Working Paper No. 08/224 2008.
48. Laeven L., Valencia F. Resolution of banking crises: The good, the bad, and the ugly. IMF Working Paper No. 10/44 2010.
49. Laeven L., Valencia F. Systemic banking crises database: An update. IMF Working Paper WP/12/163 2012.
50. Lepetit L., Nys E., Rous P., Tarazi A. Bank income structure and risk: An empirical analysis of European banks. Journal of Banking and Finance 2008, 32:1452-1467.
51. Maudos J., Solís L. Deregulation, liberalization and consolidation of the Mexican banking system: Effects on competition. Journal of International Money and Finance 2011, 30:337-353.
52. McComb R.P., Gruben W.C., Welch J.H. Privatization and performance in the Mexican financial services industry. The Quarterly Review of Economics and Finance 2002, 34(1):217-235.
53. McDonald J. Using least squares and tobit in second stage DEA efficiency analyses. European Journal of Operational Research 2009, 197:792-798.
54. Meeusen W., van den Broeck J. Efficiency estimation from a Cobb-Douglas production function with composed error. International Economic Review 1977, 18:435-444.
55. Megginson W. The economics of bank privatization. Journal of Banking and Finance 2005, 25:1931-1980.
56. Mercieca S., Schaeck K., Wolfe S. Small European banks: Benefits from diversification?. Journal of Banking and Finance 2007, 31(7):1975-1998.
57. Mester L.J. A study of bank efficiency taking into account risk-preferences. Journal of Banking and Finance 1996, 20:1025-1045.
58. Mester L.J. Measuring efficiency at US banks: Accounting for heterogeneity is important. European Journal of Operational Research 1997, 98:230-424.
59. Montes-Negret F., Landa L. Interest rate spreads in Mexico during liberalization. Financial liberalization: How far? How fast? 2001, Cambridge University Press. G. Caprio, P. Honohan, J.E. Stiglitz (Eds.).
60. Orea L., Kumbhakar S. Efficiency measurement using a latent class stochastic frontier model. Empirical Economics 2004, 29:169-183.
61. Sanya S., Wolfe S. Can banks in emerging economies benefit from revenue diversification?. Journal of Financial Services Research 2011, 40(1):79-102.
62. Schulz H. Foreign banks in Mexico: New conquistadors or agents of change? 2006, University of Pennsylvania.
63. Sealey C., Lindley J.T. Inputs, outputs and a theory of production and cost at depository financial institution. Journal of Finance 1977, 32:1251-1266.
64. Sidaoui J. The Mexican financial system: Reforms and evolution 1995-2005. BIS Papers No. 28 2006, August.
65. Singh A., Belaisch A., Collyns C., De Masi P., Krieger R., Meredith G., et al. Stabilization and reform in Latin America: A macroeconomic perspective on the experience since the early 1990s. IMF Occasional Paper 238 2005.
66. Stiroh K. New evidence on the determinants of bank risk. Journal of Financial Services Research 2006, 30:237-263.
67. Tsionas E. Stochastic frontier models with random coefficients. Journal of Applied Econometrics 2002, 17:127-147.
68. Wang H.-J., Schmidt P. One-step and two-step estimation of the effects of exogenous variables on technical efficiency levels. Journal of Productivity Analysis 2002, 18:129-144.
69. Williams J. Determining management behaviour in European banking. Journal of Banking and Finance 2004, 28:2427-2460.
70. Williams J., Nguyen N. Financial liberalisation, crisis and restructuring: A comparative study of bank performance and bank governance in South East Asia. Journal of Banking and Finance 2005, 29(8-9):2119-2154.
71. Yeyati E.L., Micco A. Concentration and foreign penetration in Latin American banking sectors: Impact on competition and risk. Journal of Banking and Finance 2007, 31:1633-1647.