EconPapers    
Economics at your fingertips  
 

Efficiency and Risk Convergence of Eurozone Financial Markets

Joerg Wild

MPRA Paper from University Library of Munich, Germany

Abstract: This paper discusses beta and sigma convergence of commercial, savings, and cooperative banks in the Eurozone from 1999 to 2012. For this purpose, concepts of the growth and efficiency convergence literature are consulted and GMM, fixed effects models, and OLS are applied. Convergence is analyzed by calculating two efficiency metrics – data envelop- ment analysis (DEA) and stochastic frontier analysis (SFA) – and two risk metrics – equity to total assets (E/TA or EQTOAS) and Z-scores (ZSCORN). For commercial banks, efficiency convergence of both metrics is found, however, savings banks show no signs of convergence and cooperative banks only show signs of SFA convergence. Banks of all three specializa- tions show E/TA convergence, but only savings banks convergence with respect to Z-scores. Nevertheless, the EU’s Single Market Program still has a long way to go to create identical conditions for all member countries’ financial markets. The discovery that there are considerable differences between banks’ specializations, and even more, that there is convergence with respect to E/TA as a risk metric are among the main academic contributions of this paper. The final published manuscript can be obtained under: http://dx.doi.org/10.1016/j.ribaf.2015.09.015.

Keywords: Bank efficiency; Financial risk; Convergence; DEA; SFA; Eurozone (search for similar items in EconPapers)
JEL-codes: C5 F36 G01 G15 G21 (search for similar items in EconPapers)
Date: 2015-09-09
New Economics Papers: this item is included in nep-eff and nep-fmk
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/68371/1/MPRA_paper_68371.pdf original version (application/pdf)

Related works:
Journal Article: Efficiency and risk convergence of Eurozone financial markets (2016) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:68371

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().

 
Page updated 2025-03-19
Handle: RePEc:pra:mprapa:68371