Bayesian analysis of dynamic effects in inefficiency : evidence from the Colombian banking sector

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dc.contributor.author Galán Camacho, Jorge Eduardo
dc.contributor.author Lopes Moreira Da Veiga, María Helena
dc.contributor.author Wiper, Michael Peter
dc.contributor.editor Universidad Carlos III de Madrid. Departamento de Estadística
dc.date.accessioned 2013-07-08T17:07:12Z
dc.date.available 2013-07-08T17:07:12Z
dc.date.issued 2013-06
dc.identifier.uri http://hdl.handle.net/10016/17275
dc.description.abstract Firms face a continuous process of technological and environmental changes that implies making managerial decisions in a dynamic context. However, costs and other constraints prevent firms from making instant adjustments towards optimal conditions and may cause inefficiency to be persistent in time. In this work, we propose a flexible dynamic model that makes possible to distinguish persistent effects in the inefficiency from firm inefficiency heterogeneity and to capture differences in the adjustment costs between firms. The new model is fitted to a ten year sample of Colombian banks. Our findings suggest that firm characteristics associated to size and foreign ownership have negative effects on inefficiency and separating these heterogeneity factors from the dynamics of inefficiency improves model fit. On the other hand, acquisitions are found to have positive and persistent effects on inefficiency. Colombian banks are found to present high inefficiency persistence but there exist important differences between institutions. In particular, merged banks present low costs of adjustment that allow them to recover rapidly the efficiency losses derived from merging processes
dc.description.sponsorship Financial support from the Spanish Ministry of Education and Science, research projects ECO2012- 3401, MTM2010-17323, ECO2009-08100 and SEJ2007-64500 is also gratefully acknowledged
dc.format.mimetype application/pdf
dc.language.iso eng
dc.relation.ispartofseries UC3M Working papers. Statistics and Econometrics
dc.relation.ispartofseries 13-18
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.other Banks efficiency
dc.subject.other Bayesian inference
dc.subject.other Dynamic effects
dc.subject.other Persistent shocks
dc.subject.other Heterogeneity
dc.subject.other Stochastic frontier models
dc.title Bayesian analysis of dynamic effects in inefficiency : evidence from the Colombian banking sector
dc.type workingPaper
dc.subject.jel C11
dc.subject.jel C22
dc.subject.jel C23
dc.subject.jel C51
dc.subject.jel D24
dc.subject.jel G21
dc.subject.eciencia Estadística
dc.rights.accessRights openAccess
dc.relation.projectID Gobierno de España. ECO2012-3401
dc.relation.projectID Gobierno de España. MTM2010-17323
dc.relation.projectID Gobierno de España. ECO2009-08100
dc.relation.projectID Gobierno de España. SEJ2007-64500
dc.type.version submitedVersion
dc.identifier.repec ws131918
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