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Непараметрические Оценки Эффективности Российских Банков
[Nonparametric estimates of Russian banks efficiency]

Author

Listed:
  • Golovan, Sergei
  • Nazin, Vladimir
  • Peresetsky, Anatoly

Abstract

Non-parametric estimates of technical efficiency of Russian banks are considered for each quarter in the period of 2002–2006. Two types of DEA estimates CCR (Charnes, Cooper, Rhodes, 1978) and BCC (Banker, Charnes, Cooper, 1984), are compared with parametric SFA estimates. Semiparametric bootstrap (Simar, Wilson, 2007) is used to study statistical properties of DEA estimates. Spearman rank correlation between CCR and BCA estimates vary from 0.72 to 0.89 and between DEA and SFA from 0.56 to 0.91, hence estimates are robust. Foreign banks are more efficient than domestic banks in all quarters with the only exception of 2004Q2, which could be explained by so-called “crisis of confidence” (bank crisis in Russia in that period). Since 2006 Moscow banks are less efficient than the regional banks.

Suggested Citation

  • Golovan, Sergei & Nazin, Vladimir & Peresetsky, Anatoly, 2010. "Непараметрические Оценки Эффективности Российских Банков [Nonparametric estimates of Russian banks efficiency]," MPRA Paper 56037, University Library of Munich, Germany, revised 2010.
    • Handle: RePEc:pra:mprapa:56037
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    References listed on IDEAS

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    Cited by:

    1. O. Borzykh., 2017. "The impact of banks’ capital adequacy ratio on bank lending channel of monetary transmission in Russia," VOPROSY ECONOMIKI, N.P. Redaktsiya zhurnala "Voprosy Economiki", vol. 7.
    2. Борзых Ольга Алексеевна, 2016. "«Антиэффект» Ликвидности В Российской Банковской Системе," Higher School of Economics Economic Journal Экономический журнал Высшей школы экономики, CyberLeninka;Федеральное государственное автономное образовательное учреждение высшего образования «Национальный исследовательский университет «Высшая школа экономики», vol. 20(3), pages 377-414.

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    More about this item

    Keywords

    Russian banking system; regional banks; net assets; bank competition; bank regulation; IAS; bank balance sheets;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • D22 - Microeconomics - - Production and Organizations - - - Firm Behavior: Empirical Analysis
    • G20 - Financial Economics - - Financial Institutions and Services - - - General
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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