disentangling demand and supply shocks in the crude oil market how to check sign restrictions in structural vars given the growing dissatisfaction with exclusion and long run restrictions in structural vector autoregressive analysis sign restrictions are becoming increasingly popular so far there are no techniques for validating the shocks identied via such restrictions although in an ideal setting the sign restrictions specify shocks of interest sign restrictions may be invali dated by measurement errors data adjustments or omitted variables we model changes in the volatility of the shocks via a markov switching ms mechanism and use this devise to give the data a chance to object to sign restrictions the approach is illustrated by considering a small model for the market of crude oil

x efficiency in australian banking an empirical investigation this paper empirically investigates the x eaciency technical and allocative in australian banks a non parametric method of data envelopment analysis dea has been used to arrive at the eaciency scores banks in this sample were found to have low levels of overall eaciency compared with the banks in the european countries and in the us the results indicate that as a source of overall ineaciency the technical component was more important than the allocative component thus the ineaciency in australian banks can be attributed to wasting of inputs technical ineaciency rather than choosing the incorrect input combinations allocative ineaciency domestic banks were found to be more eacient than foreign owned banks the study has important implications such as guiding the government policy regarding deregulation and mergers since the study pinpoints the sources of ineaciency it would also help banks with strategic planning 2001 elsevier science b v all rights reserved

determinants of bank growth choice abstract we study the determinants of bank growth in a two stage logistic regression model we first compare banks that branch bank acquire or product expand with banks that do not grow externally banks that are federally chartered in states with higher income growth and with higher labor prices are less likely to grow externally larger banks are more likely to grow externally in the second stage we study determinants of growth activity for banks that expand products branch or acquire other banks depending on the time period bank structure regulatory environment performance and balance sheet characteristics determine bank growth choices

an empirical investigation of changes in scale economies for the commercial banking firm 1979 1986 the period of the 1980s represents a particularly turbulent time for the banking industry a number of technological and regulatory changes have occurred including the elimination of regulation q which had limited the explicit interest payments that banks could pay on some types of deposits it would be expected that these changes would affect the structure of costs for banks the behavior of the cost function is studied over the 1979 1986 time period and in contrast to previous studies using earlier data increasing economies of scale are found in the later years for banks in both unit and branch banking states these results indicate that there may be increased cost pressure for smaller banks to become larger either through mergers and acquisitions or through internal growth this may lead to further consolidation pressures within the industry and reductions in the overall number of banking firms copyright 1991 by ohio state university press

commercial bank offices and the mobilisation of private savings in selected sub saharan african countries the mobilisation of domestic savings has remained a thriving issue in discussions of ways and means of harnessing resources for development in africa this work attempts to examine the role of a deliberate policy of extending offices of banks to the rural areas in savings mobilisation efforts using ordinary least squares methods data from five african countries that have pursued this policy in recent times are examined to see if there is any significant relationship between the savings rate and their population per bank office ratio our results are consistent with the hypothesis that the extension of branch offices of banks to rural areas could help attenuate the poor savings performance in most african economies

economies of scale and scope in the securities industry abstract economies of scale and scope for the securities industry are estimated for the first time using previously unavailable survey data and employing the translog multiproduct cost function model the results reveal economies of scale for smaller specialized firms and diseconomies of scale for larger more diversified firms economies of scope do not appear to be important in the industry if the glass steagall restrictions are relaxed the results suggest that banks can enter the securities industry with a brokerage division of moderate scale of about 30 million in revenues the five million in new equity required suggests that only banks with assets over 1 billion and over 60 million in capital can enter the industry with a relatively modest investment there are however a substantial number of banks with over 1 billion in assets who can be considered as potential entrants

unlimited liability as a barrier to entry many but not all firms have the freedom to choose liability rules in some countries service professions have unlimited liability rules imposed by government historically banks in some countries faced unlimited liability why do governments impose unlimited liability this is the question we address with a simple model we illustrate the agency conflicts in firms limited liability solves these conflicts efficiently unlimited liability raises the cost of capital inefficiently small firms result but under some conditions selectively applied unlimited liability rules protect rents we test several propositions with data on scottish banking and u s law firms

high yield bond and energy markets abstract high yield bonds hold a particularly unique space in the debt market from many aspects literature suggests these assets to behave more like stocks than bonds given the significant similarities between the high yield bond and stock markets it is expected for these markets to be similarly affected by certain outside factors some shocks including the ones from energy markets are known to impact the entire stock market and not just related company shares since high yield bond portfolios include some amount of energy company debt the recent volatility in energy prices has been particularly concerning to market participants however the question of whether price and volatility shocks only impact energy company bonds or the entire high yield bond market as they do with the stock market still remains unanswered this study attempts to address that question by exploring the dynamic relationships between the high yield bond and energy markets price transmission tests which account for gradual structural shifts suggest oil and ethanol markets significantly impacting the high yield bond market furthermore volatility tests find uni directional volatility transmitting from energy markets to the high yield bond market

correspondent services and cost economies in commercial banking abstract prior bank cost function studies have ignored the fact that some banks obtain a substantial amount of services from their correspondents if these services are paid for with compensating deposit balances their cost to the purchasing bank is not reflected in standard expense reports this paper investigates whether explicit consideration of theese correspondent costs materially affects estimated bank returns to scale the results indicate that the level of banksoperating costs is underreported by as much as 15 while scale economy estimates for unit banks are not significantly affected by the addition of correspondent service costs prior studies have overestimated branch bank scale economies by a small but statistically significant amount

competition and geographical integration in commercial bank lending abstract this paper tests the hypothesis that interest rates on bank commercial loans in the regions of the united states are generated in an integrated national market the tests of a joint hypothesis compounded of integration behavioral models and the absence of systematic errors in the data are applied to 60 series of data short term and long term loans in five size classes in six regions the joint hypothesis is not rejected for five of the six regions and four of the five size classes the exceptional region is the southeast the exceptional loan size class is 1 000 to 9 000 the smallest in the sample

taxation of interest income deregulation and the banking industry removing interest rate ceilings on bank deposits or reducing the tax rate applicable to the interest earned on such deposits are alternative means of increasing the after tax return to depositors these alternatives however have differing impacts on the structure of a competitive banking industry this paper develops a model which focuses on a bank s choice between paying an explicit interest rate on its deposits and paying a return in the form of services the model allows banks to differ in their production technologies and depositors in their marginal tax rates and preferences for services the effects of tax rate changes and a ceiling on the explicit deposit interest rate are analyzed coinciding with the rise in market interest rates to levels significantly above regulation ceiling rates on bank and savings and loan deposits has been a move to reduce the level of taxation on interest income general proposals to reduce the tax on interest income seem to have gained support as a means of increasing after tax rates of return in order to increase aggregate savings while proposals to allow banks and savings and loans to offer tax free savings certificates are supported as a means of reducing the cost of funds for such thrift institutions for example the tax exempt all savers certificates were designed to yield higher after tax rates of return for some individuals while simultaneously lowering the cost of funds to the issuing institutions as a means of providing a higher return to depositors an obvious alternative to reducing the tax on interest income would be to speed the removal of interest rate ceilings which apply to deposits at banks and savings and loans tax changes and deregulation would both affect the banking industry by leading to changes in the after tax interest rate on deposits the composition of deposit return between explicit taxable interest payments and the provision at below cost of nontaxable services might also be affected along with the optimum level of deposits for an individual bank and the size of the banking industry unfortunately none of these implications all of which are relevant for analyzing recent tax and deregulation proposals have been studied within the framework of a model of the banking industry this paper develops a model which focuses on the bank s choice between paying an explicit interest rate on its deposits and paying a return in the form of services previous models have often ignored this choice assuming that only the total return and not its composition mattered to the bank kareken 11 klein

the evolution of a free banking system the institutional features of models of unregulated monetary systems have often been arbitrarily and implausibly assumed this paper instead provides realistic grounding for important features by constructing a logical evolutionary account of free banking sophisticated and orderly arrangements are shown to emerge from competition and the pursuit of less costly methods of payment the emergence of standardized commodity money is followed by the development in turn of basic money transfer banking easily transferable bank liubilities and clearinghouses the features of an evolved free banking system differ from those assumed in recent models of competitive payments systems

scale and scope economies in the multi product banking firm abstract the multi product nature of the banking firm is examined utilizing the translog cost function this analysis indicates that contrary to conventional wisdom natural monopoly scale economies and product specific decreasing costs are not robust characterizations of the banking industry there is however evidence that the cost function is characterized by economies of scope the implications of these results are discussed and extensions of this approach suggested

scale economies and cost complementarities in commercial banks on and off balance sheet activities abstract bank off balance sheet obs activities have grown dramatically and have become significantly important especially at large banks we investigate whether failure to incorporate obs products may lead to a misspecification problem models that exclude deposits from the output specification suggest economies of scale which vanish when deposits are included we find that inclusion of obs products has little effect on the scale economies measures with only a few exceptions the results provide no evidence of cost complementarities in joint production the tremendous growth of bank obs activities in the 1980s may be explained by the very small approximately zero pecuniary cost of these activities

scale economies in banking a restructuring and reassessment the issue of scale economies in banking has a rich history most earlier studies report modest operating cost scale economies for small institutions those with less than about 50 million of deposits in 1968 dollars but are unclear where these economies might end if at all unfortunately these studies are limited in four important respects first those that were well specified did not measure the total cost of banking operations but concentrated on estimating scale economies for individual banking functions e g demand deposits separately from commercial loans second an average cost curve that could take a u shape over the full range of banks was not fitted either because larger banks were not included or because of the functional form used cobb douglas consequently the optimum or minimum cost size of a bank or office could not be determined third the variables measuring the costs of branching were misspecified fourth the branch

a note on cost structure and economies of scale in greek banking abstract this note studies the greek banking industry in 1980 1989 in order to estimate a representative cost structure functional form and search for economies of scale the constructed model uses a translogarithmic cost function that includes the size of assets capital labor and technological progress by using this model which has been used by benston et al 1982 hunter and timme 1986 and others we have been able to estimate for the first time an econometric form of the costs in greek banking and we have been able to investigate economies of scale in the greek banking industry although operating cost scale economies do exist total cost scale economies were not present this has been shown through the utilization of a large sample of pooled data of all greek banks for a period of ten years and the use of two other samples of large and small banks moreover by exploiting the properties of the model we shall be able to show whether technological progress has been a factor which lowers bank costs

the multibank holding company effect on cost efficiency in banking abstract this paper tests the hypothesis that differences in the organizational form embodied in independent banks one bank holding companies and multibank holding companies result in differences in operating cost efficiency the transaction and agency cost paradigms for analysis of organizational efficiency provide theoretical motivation for the hypothesis the effects of organizational form on bank operating expenses for individual banks are evaluated on subsamples divided into quartiles based on total revenue results indicate that for banks having revenues in the lowest quartile both one bank and multibank holding company affiliates are cost efficient relative to independent banks multibank holding company affiliates are cost efficient relative to both one bank affiliates and independent banks for banks in the interquartile range no significant differences in cost efficiency are noted banks in the highest revenue quartile relative efficiency at the organizational level is also evaluated results provide evidence of lower operating costs for banking operations of both multibank and one bank holding company organizations relative to independent banks taken as a whole the results imply that holding company affiliation conveys cost advantages to banking units below the 75th revenue percentile

the robustness of output measures in property liability insurance efficiency studies abstract we empirically examine two methods for measuring output in property liability insurer efficiency studies the value added approach and the flow or financial intermediation approach the approaches are not mutually consistent the value added approach is closely related to traditional measures of firm performance but the flow approach is not in addition efficient value added approach firms are less likely to go insolvent while firms characterized as efficient by the flow approach are generally more likely to fail we also find that the theoretical concern regarding the value added approach s use of losses as a measure of output is not validated empirically

quantifying the speculative component in the real price of oil the role of global oil inventories abstract one of the central questions of policy interest in recent years has been how many dollars of the inflation adjusted price of oil must be attributed to speculative demand for oil stocks at each point in time we develop statistical tools that allow us to address this question and we use these tools to explore how the use of two alternative proxies for global crude oil inventories affects the empirical evidence for speculation notwithstanding some differences overall these inventory proxies yield similar results while there is evidence of speculative demand raising the price in mid 2008 by between 5 and 14 dollars depending on the inventory specification there is no evidence of speculative demand pressures between early 2003 and early 2008 as a result current policy efforts aimed at tightening the regulation of oil derivatives markets cannot be expected to lower the real price of oil in the physical market we also provide evidence that the libyan crisis in 2011 shifted expectations in oil markets resulting in a price increase of between 3 and 13 dollars depending on the inventory specification with regard to tensions with iran in 2012 the implied price premium ranges from 0 to 9 dollars

economies of superscale in commercial banking most previous studies of scale economies in banking have excluded banks larger than 1 billion in assets thus study by contrast estimates cost functions for the 100 largest us commercial banks hedonic terms are incorporated to correct for the aggregated nature of the call report data available for these banks in addition we attempt to quantify the cost benefit of diversification in the model we estimate efficient bank scale to range from 15 billion to 37 billion in total assets a thousandfold increase over some previous findings these results are supported by comparison of actual average costs as well as by casual historical observation and the level of widespread concern over interstate banking our findings suggest some cost incentive or benefit to expansion or consolidation among large regional banks including interstate expansion or consolidation

threshold effects of financial status on the cost frontiers of financial institutions in nondynamic panels this article applies hansen s 1999 2000 threshold regression model to estimate translog cost frontiers in the hope of shedding light on the banking industry s production processes and the extent of its technical efficiency te the threshold technique allows for the existence of multiple technologies of production distinguished by an exogenous threshold variable strong evidence of multiple technologies is found in the industry irrespective of which financial indicator as constructed by factor analysis defines the threshold variable cost savings and scale economies among the various underlying technologies are compared herein we also highlight the differences between the threshold results and the conventional cost frontier

second round effects after oil price shocks evidence for the euro area and germany abstract we investigate second round effects caused by oil price shocks calculating wage responses net of those movements that are induced through cpi changes results show no strong evidence for second round effects in the euro area and even less so in germany

cross country differences in the effects of oil shocks abstract we compare the macroeconomic consequences of several types of oil shocks across a set of industrialized countries that are structurally very diverse with respect to the role of oil and other forms of energy in the economy the results crucially depend on the underlying source of the oil price shift when a rise in oil prices is caused by increased global economic activity or a rise in oil specific demand almost all countries experience respectively a temporary increase and transitory decline of real gdp the role of oil and other forms of energy cannot explain the differences in the effects of both shocks across countries in contrast this role is very important to explain asymmetries in the effects of exogenous oil supply shocks whereas net oil and energy importing countries typically face a permanent fall in economic activity the impact is insignificant or even positive in net energy exporting countries in addition countries that improved their net energy position the most over time became less vulnerable to oil supply shocks relative to other countries

branching scale economies and banking costs abstract in this paper we develop and estimate a model of bank costs based on a theory of the branch cost function first we show that convenient branch location is important to banking customers and implies that banks do not necessarily operate branches at minimum average cost this theoretical result provides a rationale for including branch variables in the bank cost function second we estimate a statistical cost equation derived explicitly from assumptions about the branch cost function and including branch output variables our empirical results suggest substantial economies of scale at the branch level but no economies from expansion by branching finally we show that the resulting cost structure of the banking industry does not imply that a highly concentrated banking structure is necessary for efficiency thus economies of scale would not be expected to force small banks out of the market even if current restrictions on interstate banking are liberalized

the impacts of nonferrous metal price shocks on the macroeconomy in china from the perspective of resource security abstract in recent years the price of international nonferrous metals has undergone drastic fluctuations which could exert significant shock effects on macroeconomic variables based on the perspective of resource security this paper reveals the relationship between the nonferrous metal price shocks and china s macroeconomic variables by establishing a dynamic stochastic general equilibrium dsge model embedded with nonferrous metal consumption and means of production blocks the model is based on the optimal decision making behaviours of three departments that satisfy multiple constraints to realize optimal policy making furthermore the structural vector autoregression svar method is applied to verify the shock effects of nonferrous metal price and obtain more robust results the bayesian results show that there is consistency among nonferrous metal price shocks consumer reference shocks wage bonus shocks technical shocks and price adjusted shocks the impulse response function results indicate that the stimulation of an international nonferrous metal price increase would have significant positive impacts on the macroeconomic variables of investment money supply consumption and total output but negative effects on labour demand in addition the impulse responses of wage levels and the rate of inflation to nonferrous metal price shocks present obvious lagging effects

economies of scale in the us savings and loan industry 1973 83 the question addressed in this research is whether or not there exist economies of scale in the us savings and loan sl b that from 1979 to 1983 the minimum efficient scale for associations declined c that a substantial change has occurred in operating costs and the estimated augmented elasticity

cost efficiency and scale economies in the turkish insurance industry this article examines the cost efficiency and scale economies of insurance firms in the turkish insurance industry over a 15 year period 1990 2004 using the stochastic cost frontier model cost efficiency scores and scale economies were estimated for each firm in the sample the results show that mean cost inefficiencies range between 18 3 and 36 9 of total costs and they do not tend to decrease over time on average small firms are more cost efficient than large firms economies of scale appear present and significant for any class size the results suggest that there is a substantial difference in scale economies between small and large insurance firms

global economic activity indexes revisited abstract this study contributes to the debate about two measures of global real economic activity real shipping costs and world industrial production we show that once both measures are transformed in the same way both can predict commodity prices moreover we demonstrate that real shipping costs lead world industrial production

bank regulation and monetary policy the depository institutions deregulation and monetary control act 1980 and the garn st germain depository institutions act 1982 are the two most significant pieces of bank legislation since the 193os their significance stems from the fact that they have sought to roll back a number of the regulations and restrictions imposed on bank activity and competition in the 1933 80 period among the important provisions of these acts are a gradual elimination of regulation q ceilings on time and savings deposits by march 1986 the amelioration of state imposed usury ceilings on loans the nationwide provision of interest bearing transaction type accounts negotiable order of withdrawal now and super now accounts permission for thritts to expand into bank like products such as commercial and industrial loans consumer loans and credit cards and the development of new types of savings accounts such as mmdas l in addition to legislative deregulation we have also witnessed homemade deregulation as banks have sought to exploit often with great success loopholes in the bank holding

financial costs operating costs and specialization of spanish banking firms as distribution dynamics there exists a remarkable concern among financial analysts and policy makers about the high level of cost dispersion in banking a model of distribution dynamics is applied to the spanish banking companies in order to analyse whether such a dispersion is so high and if some factors like for instance specialization factors might somewhat influence the dynamics of both financial and operating expenses results show that there does not appear to exist a decrease in the level of cost dispersion although firms relative positions are changing yet when controlling for the varying output mixes firms produce results which differ much as dispersion assessed by means of density functions estimated nonparametrically decreases substantially suggesting concurrence is higher among firms with similar output mixes

mergers and technical efficiency in spanish savings banks a stochastic distance function approach abstract the aim of this paper is to test the temporal variation of technical efficiency of spanish savings banks during the period 1985 1998 furthermore we test whether merged and non merged firms have different levels and temporal patterns of technical efficiency a stochastic output distance function r w shephard theory of cost and production functions princeton university press princeton nj is employed to accommodate multiple output technology the distance function provides the advantage that it does not need information about prices so it can accommodate the multi product nature of the financial sector only using the quantities as data an important point when the assumptions about perfectly competitive markets are unlikely to be met the temporal variation of efficiency is modeled extending the battese and coelli journal of productivity analysis 3 1992 153 169 approach in two ways relaxing the monotonicity of the temporal variation pattern of the efficiency term and allowing for different patterns of efficiency change between merged and non merged firms

evaluating the cost efficiency of the italian banking system what can be learned from the joint application of parametric and non parametric techniques abstract research on bank efficiency has developed in two separate streams econometric studies and data envelopment analysis a linear programming technique these two branches of literature have developed quickly but separately in this paper these two approaches have been tested on a common panel of 270 italian banks and this has suggested the following i econometric and linear programming results do not differ dramatically when based on the same data and conceptual framework ii when differences arise they can be explained by going back to the intrinsic features of the models moreover some findings on italian banks may be of interest also to the international reader i efficiency scores show a high variance ii the banking system is split in two between northern and southern banks iii there is a direct rather than inverse relationship between productive efficiency and asset quality iv the efficiency of italian banks did not increase over the period 1988 1992

branching restrictions and banking costs abstract previous research of banking costs has been limited by the choice of the functional form irregularities in the estimated cost functions and a failure to rigorously examine the difference between banks in branching states and banks in unit banking states this paper addresses these shortcomings banks are modelled as three input three output cost minimizing firms a three equation system is estimated using 1985 functional cost analysis data the findings indicate that banks in unit banking states experience diseconomies of scale banks in branching states experience diseconomies of scale at the bank level but economies of scale at the branch level we also find evidence of economies of scope for branch state banks but not for unit state banks

a small open economy in depression lessons from canada in the 1930s this paper tests the hypothesis that idiosyncratic u s disturbances and their inter national propagation can account for the global depression exploiting common stochastic trends in u s and canadian interwar data we estimate a small open economy model for canada that decomposes output fluctuations into sources identifiable with world and country specific disturbances we find that the onset depth and duration of output collapse in both canada and the united states are primarily attributable to a common permanent output shock leaving little significant role for idiosyncratic disturbances originating in either economy

cost structures in multinational and domestic banking abstract prior research on international banking has proposed many reasons for the multinationalization of u s banks but provided little empirical support for its propositions using a pooled time series data set from 1987 to 1990 this study analyzes the ray and expansion path scale economies and expansion path subadditivity of u s based multinational banks mnbs both at the firm and the plant levels it also measures and analyzes inefficiencies for these banks inefficiencies are measured relative to a thick frontier cost function a similar analysis is conducted for domestic banks dbs for comparison purposes no support is found for the prior belief that similar cost structures exist for mnbs and dbs in general we find that mnbs are able to fully exploit economies of scale and face lesser diseconomies from joint production and lower inefficiencies than dbs

the social costs of unit banking restrictions abstract many u s commercial banks are prohibited from establishing more than one full service office location in the absence of free entry to the banking industry this constraint may force unit banks to operate with a socially inefficient combination of inputs moreover entry to the industry in unit banking states may be more difficult than in branching states where market entrants need not necessarily acquire a new charter if so existing unit banks could price their output above marginal social cost earning excess profits and imposing allocational inefficiencies this paper demonstrates empirically that unit banking restrictions in the united states impose statistically and economically significant deadweight social costs

time varying macroeconomic effects of energy price shocks a new measure for china abstract in this paper we examine the effects of world energy price shocks on china s macroeconomy over the past two decades we begin by showing that the use of oil prices as a proxy for more general energy price dynamics is not appropriate for the case of china having established this fact we propose a new energy price index which accurately reflects the structure of china s energy expenditure shares and intertemporal fluctuations in international energy prices we then employ a sufficiently rich set of time varying vars identified through a new set of agnostic sign restrictions to estimate the effects of energy price shocks on china s macroeconomy our main result is that positive energy price shocks generate statistically significant reductions in real gdp growth and increases in inflation interestingly both the sets of responses have consistently declined over the sample period next the interest rate responses are found to be consistently positive over the sample period given the aforementioned stagflation result this suggests that the pboc is more focused on inflation stabilization as compared to facilitating output growth all presented results are shown to be robust under both official national data and those developed by chang et al 2015 thus strengthening our conclusion that energy price shocks have significant time varying effects on china s macroeconomy

how much did oil market developments contribute to the 2009 recession in germany in this paper we use a structural vector autoregressive model to study the effects of oil market developments on the german economy we find that higher oil prices are always associated with a decline in private consumption expenditures but the response of gross domestic product gdp crucially depends on the underlying shock while a disruption in oil supply provokes a recession positive world demand shocks prompt a temporary increase in exports and investment which initially outweigh the cutback on consumption in a counterfactual analysis we show that the world demand shocks that led to the 2007 2008 oil price rise triggered a delayed 0 8 percent decrease in german gdp in 2009 and therefore notably contributed to the recession of that year

the macroeconomic effects of oil price shocks evidence from a statistical identification approach we analyze the dynamics in the global crude oil market based on a structural vector autoregressive model we identify the model by presuming that reduced form residuals can be traced back to structural shocks that are independently distributed over the cross equation dimension the resulting point estimates of the impulse response functions allow for a direct comparison with the outcomes of more conventional identification approaches our results are remarkably similar to the results regarding oil market dynamics in kilian and murphy 2012 and inoue and kilian 2013 even though they rely on statistical arguments instead of a set of theory based a priori restrictions based on the results from our statistical approach we investigate the cumulative contributions of different oil shocks on the rapid fall in oil prices at the end of 2008 and 2014 as well as the effects of different oil shocks on macroeconomic aggregates in the us the euro area and china