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

dc.creatore Souza, Geraldo da Silva
dc.creatorStaub, Roberta Blass
dc.creatorTabak, Benjamin Miranda
dc.date2008-05-01
dc.date.accessioned2022-11-03T21:17:51Z
dc.date.available2022-11-03T21:17:51Z
dc.identifierhttps://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/1520
dc.identifier.urihttps://repositorioslatinoamericanos.uchile.cl/handle/2250/5047699
dc.descriptionThis 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.en-US
dc.descriptionThis 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.pt-BR
dc.formatapplication/pdf
dc.formatapplication/pdf
dc.languageeng
dc.languagepor
dc.publisherSociedade Brasileira de Econometriaen-US
dc.relationhttps://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/1520/948
dc.relationhttps://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/1520/949
dc.sourceBrazilian Review of Econometrics; Vol. 28 No. 1 (2008); 111-125en-US
dc.sourceBrazilian Review of Econometrics; v. 28 n. 1 (2008); 111-125pt-BR
dc.source1980-2447
dc.titleA Probabilistic Approach for Assessing the Significance of Contextual Variables in Nonparametric Frontier Models: An Application to Brazilian Banksen-US
dc.titleA Probabilistic Approach for Assessing the Significance of Contextual Variables in Nonparametric Frontier Models: An Application to Brazilian Bankspt-BR
dc.typeinfo:eu-repo/semantics/article
dc.typeinfo:eu-repo/semantics/publishedVersion


Este ítem pertenece a la siguiente institución