Determinants of Macedonian Banks Efficiency

Vesna Micajkova

International Journal of Empirical Finance, 2015, vol. 4, issue 2, 123-130

Abstract: The purpose of this paper is to determinate the influence of risk management on efficiency of Macedonian banks. A regression models have been created where technical, pure technical and scale efficiency estimates are used as dependent variables. The efficiency estimates have been made using data envelopment analysis. Indicators from four different classes of risk (profitability, capital adequacy, assets quality and liquidity) for period 2008-2011 have been used as independent variables. The models’ results indicate that a hypothesis about existence of significant relationship between banks’ efficiency and profitability can be rejected. Significant relationship between banks’ efficiency and capital adequacy and assets quality has been detected. The relationship is negative in both cases. The strongest statistical correlation has been detected in case of banks’ efficiency and banks’ liquidity. This correlation is also negative, meaning that a rise in liquidity will lead to an efficiency decrease and vice versa.

Keywords: data envelopment analysis; Macedonia; bank efficiency; efficiency determinants; regression models (search for similar items in EconPapers)
Date: 2015
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