Izzeldin, M. and Mamatzakis, Emmanuel and Murphy, A. and Tsionas, M. (2020) A novel MIMIC-style model of European bank technical efficiency and productivity growth. Working Paper. Federal Reserve Bank of Dallas, Dallas, U.S..
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Abstract
Using Bayesian Monte Carlo methods, we augment a stochastic distance function measure of bank efficiency and productivity growth with indicators of capitalization, return and risk. Our novel Multiple Indicator-Multiple Cause (MIMIC) style model generates more precise estimates of policy relevant parameters such as returns to scale, technical inefficiency, and productivity growth. We find considerable variation in the performance of EU-15 banks over the period 2008-2015. For the vast majority of banks, productivity growth – the sum of efficiency and technical changes - is negative, implying that the industry would benefit from innovation. We show that greater technical efficiency is associated with higher profitability, higher capital, a lower probability of default and lower return volatility.
Metadata
| Item Type: | Monograph (Working Paper) |
|---|---|
| Additional Information: | Working paper #2012 |
| Keyword(s) / Subject(s): | Multiple Indicators-Multiple Causes (MIMIC), technical efficiency, productivity growth, EU banks |
| School: | Other Divisions > Other Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School |
| Research Centres and Institutes: | Accounting and Finance Research Centre |
| Depositing User: | Emmanuel Mamatzakis |
| Date Deposited: | 16 Jul 2020 11:50 |
| Last Modified: | 02 Aug 2023 18:01 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/32528 |
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