Bayesian Inference on Technology and Cost Efficiency of Bank Branches

• Autorzy: Jerzy Marzec , Jacek Osiewalski

Warianty tytułu

Wnioskowanie bayesowskie o technologii i efektywności kosztowej oddziałów banku

• Języki publikacji: EN

Abstrakty

EN

We present Bayesian statistics and Gibbs sampling, an MCMC simulation technique, as tools for making inferences in stochastic frontier models for panel data from the banking sector. In our empirical example, the Bayesian approach is applied to estimate a short-run frontier cost function for N = 58 branches of a Polish commercial bank, observed over T = 4 quarters of one year. We use a translog cost function (with regularity conditions imposed for an 'average' branch) and treat inefficiency as a random individual effect, assuming a varying efficiency distribution (VED) specification proposed by Koop, Osiewalski and Steel (1997). (original abstract)

Prezentujemy statystykę bayesowską i próbkowanie Gibbsa (technikę symulacji typu MCMC) jako narzędzia wnioskowania w stochastycznych modelach granicznych dla danych panelowych z sektora bankowego. W naszym przykładzie empirycznym podejście bayesowskie służy do estymacji krótkookresowej granicznej funkcji kosztu dla N = 58 oddziałów polskiego banku komercyjnego, na podstawie danych z T = 4 kwartałów jednego roku. Przyjmujemy funkcję kosztu typu translog (z warunkami regularności dla "przeciętnego" oddziału), a nieefektywność traktujemy jak losowy efekt indywidualny, wykorzystując specyfikację o zmiennym rozkładzie efektywności (VED), którą zaproponowali Koop, Osiewalski i Steel (1997). (abstrakt oryginalny)

Słowa kluczowe

EN

Cost effectiveness; Bayesian inference; Costs functions; Banking sector; Banks' efficiency; Stochastic frontier model

PL

Efektywność kosztowa; Wnioskowanie bayesowskie; Funkcje kosztów; Sektor bankowy; Efektywność banków; Stochastyczny model graniczny

• Czasopismo: Bank i Kredyt
• Rocznik: 2008
• Numer: nr 9
• Strony: 29--43

Twórcy

autor

Jerzy Marzec

autor

Jacek Osiewalski

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