EFFICIENCY, ENDOGENOUS AND EXOGENOUS CREDIT RISK IN THE BANKING SYSTEMS OF THE EURO AREA

José Pastor and Lorenzo Serrano Martinez

Working Papers. Serie EC from Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie)

Abstract: The implantation of the Euro in the eleven of the EU has driven the big banks to expand their presence in other European countries, which may have negative consequences on their credit risk in view of the disadvantages involved in entering new markets. The aim of this paper is to analyse the efficiency and the credit risk of the banks of the most important countries of the Euro area, using a one-stage parametric stochastic procedure that allows us to identify whether the behaviour towards risk of the banks analysed was more cautious or more reckless during the period analysed. The results indicate that adjustments for risk are important in the case of profit efficiency but not in the case of cost efficiency. La implantación del Euro en once paises de la EU ha impulsado a los grandes bancos aexpandir su presencia en otros países europeos. Este hecho puede tener consecuenciasnegativas sobre el riesgo de crédito en la medida en que penetrar en nuevos mercados implicaactuar en desventajas comparativas con los competidores ya instalados. El objetivo de esteartículo es analizar la eficiencia y el riesgo de credito de los bancos de los paises másimportantes del área Euro utilizando un enfoque de una sóla etapa que nos permite identificarsi el comportamiento frente al riesgo de lod bancos analizados fue más prudente o másarriesgado durante el periodo analizado. Los resultados indican que los ajustes por el riesgoimportantes en el caso de la eficiencia en beneficios, pero no el caso de la eficiencia en costes.

Keywords: Efficiency; European banks; credit risk; bad loans. Eficiencia; bancos europeos; riesgo de crédito; morosidad. (search for similar items in EconPapers)
JEL-codes: G15 G21 (search for similar items in EconPapers)
Pages: 38 pages
Date: 2000-10
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Published by Ivie

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http://www.ivie.es/downloads/docs/wpasec/wpasec-2000-17.pdf Fisrt version / Primera version, 2000 (application/pdf)

Related works:
Journal Article: Efficiency, endogenous and exogenous credit risk in the banking systems of the Euro area (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:ivi:wpasec:2000-17

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