Непараметрические оценки эффективности российских банков

Nonparametric estimates of Russian banks efficiency

Sergei Golovan, Vladimir Nazin and Anatoly Peresetsky

MPRA Paper from University Library of Munich, Germany

Abstract: Non-parametric estimates of technical efficiency of Russian banks are considered for each quarter in the period of 2002–2006. Two types of DEA estimates CCR (Charnes, Cooper, Rhodes, 1978) and BCC (Banker, Charnes, Cooper, 1984), are compared with parametric SFA estimates. Semiparametric bootstrap (Simar, Wilson, 2007) is used to study statistical properties of DEA estimates. Spearman rank correlation between CCR and BCA estimates vary from 0.72 to 0.89 and between DEA and SFA from 0.56 to 0.91, hence estimates are robust. Foreign banks are more efficient than domestic banks in all quarters with the only exception of 2004Q2, which could be explained by so-called “crisis of confidence” (bank crisis in Russia in that period). Since 2006 Moscow banks are less efficient than the regional banks.

Keywords: Russian banking system; regional banks; net assets; bank competition; bank regulation; IAS; bank balance sheets (search for similar items in EconPapers)
JEL-codes: C1 C14 C58 D22 G20 G21 (search for similar items in EconPapers)
Date: 2010, Revised 2010
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Published in Экономика и математические методы 3.46(2010): pp. 43-57

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Journal Article: Непараметрические оценки эффективности российских банков (2010)
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