Risk in the EU banking industry and efficiency under quantile analysis

Emmanuel Mamatzakis and A Koutsomanoli

MPRA Paper from University Library of Munich, Germany

Abstract: This study estimates cost efficiency under a quantile regression framework. Our purpose is to investigate whether cost efficiency differs across quantiles of the conditional distribution. Efficiency scores are derived using the distribution-free approach. Results show that for higher conditional distributions, efficiency scores are lower. In a second stage analysis, we examine the relationship between risk, measured as distance to default and efficiency. Cross section regressions show that the higher the risk the lower the level of efficiency. The magnitude and the significance of the coefficient of the distance to default increases for conditional distributions associated with lower levels of efficiency.

Keywords: Cost efficiency; Quantile regression; Distribution-free approach; Distance to default. (search for similar items in EconPapers)
JEL-codes: G21 L25 (search for similar items in EconPapers)
Date: 2009-07-14
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:22492

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