testing for nonlinear dependence in daily foreign exchange rates the purpose of this article is to investigate whether daily changes in five major foreign exchange rates contain any nonlinearities although the data contain no linear correlation evidence indicates the presence of substantial nonlinearity in a multiplicative rather than additive form further examination reveals that a generalized autoregressive conditional heteroskedasticity model can explain a large part of the nonlinearities for all five exchange rates copyright 1989 by the university of chicago

the federal funds rate and the channels of monetary transmission the authors show that the interest rate on federal funds is extremely informative about future movements of real macroeconomic variables then they argue that the reason for this forecasting success is that the funds rate sensitively records shocks to the supply of bank reserves that is the funds rate is a good indicator of monetary policy actions finally using innovations to the funds rate as a measure of changes in policy the authors present evidence consistent with the view that monetary policy works at least in part through credit i e bank loans as well as through money i e bank deposits copyright 1992 by american economic association

nonmonetary effects of the financial crisis in propagation of the great depression this paper examines the effects of the financial crisis of the 1930s onthe path of aggregate output during that period our approach is complementary to that of friedman and schwartz who emphasized the monetary impact of the bank failures we focus on non monetary primarily credit related aspects of the financial sector output link and consider the problems of debtors as well as those of the banking system we argue that the financial disruptions of 1930 33 reduced the efficiency of the credit allocation process and that the resulting higher cost and reduced availability of credit acted to depress aggregate demand evidence suggests that effects of this type can help explain the unusual length and depth of the great depression this abstract was borrowed from another version of this item

turkish bank efficiency bayesian estimation with undesirable outputs this paper analyzes the productivity and efficiency of turkish banks from 2002 to 2010 we obtained estimates of efficiency productivity growth and efficiency growth using a bayesian stochastic frontier approach and focused on accounting for non performing loans npls for use in our model specifically we introduce npls as a bad output in an input distance function and estimate a system of non linear equations subject to endogeneity we confirm that the productivity growth of turkish banks was positive over the period of this study which was mainly due to the improvement in technology while efficiency growth continued to be negative over the same period methodologically we also prove that not accounting for npls in estimating the frontier model might seriously distort the efficiency and productivity results the study also provides measures of shadow prices for npl and discusses the results in terms of several interesting trends in turkish banking finally the paper provides efficiency and productivity comparisons between domestic and foreign banks

the nonparametric risk adjusted efficiency measurement an application to taiwan s major rural financial intermediaries in this article a nonparametric approach is used to incorporate risk into the measurement of technical efficiencies of the major financial intermediaries in rural taiwan risk is treated as a joint but undesirable output given the fact that various regulatory actions may prevent its free disposability three risk indicators nonperforming loans allowance for loan losses and risky assets are employed alternatively in the empirical work results suggest that all three risk constraints are binding regulations on controlling risky assets and loan loss reserves are effective but more burdensome than those on controlling loan quality

financial supervision regimes and bank efficiency international evidence abstract there exists a lively debate as for the appropriate architecture of the financial supervision regime with a long list of theoretical advantages and disadvantages associated with each one of its key dimensions the present study investigates whether and how bank profit efficiency is influenced by the central bank s involvement in financial supervision the unification of financial authorities and the independence of the central bank the results show that efficiency decreases as the number of the financial sectors that are supervised by the central bank increases additionally banks operating in countries with greater unification of supervisory authorities are less profit efficient finally central bank independence has a negative impact on bank profit efficiency

x efficiency and economies of scale in pension fund administration and investment pension funds operating costs impair pension benefits so it is crucial for pension funds to operate at the lowest cost possible in practice we observe substantial differences in costs per member for dutch pension funds both across and within pension fund size classes this article presents new estimates of scale economies of pension funds and is the first that also measures pension fund x inefficiency we use a unique supervisory data set which distinguishes between administrative and investment costs and apply various approaches and models our estimates show large economies of scale for pension fund administrations but modest diseconomies of scale for investment activities we also found that many pension funds have substantial x inefficiencies for both administrative and investment activities the two kinds of inefficiency differ across types of pension funds therefore most pension funds should be able to improve their cost performance and hence increase pension benefits

nonlinear nonparametric nonessential exchange rate estimation a wide variety of empirical exchange rate mo dels have been estimated over the years but despite the considerable energies that have been devoted to this work the economics profession has remarkably little to show for itself there is little evidence that conclusively links the bilateral exchange rates of typical oecd countries to fundamental macroeconomic determinants of exchange rates such as money output relative prices or interest differentials coefficient estimates are notoriously unstable and frequently mis signed compared with theoretical predictions exchange rate equations do not fit particularly well and forecast no better than the simplest naive alternatives recently a new class of exchange rate models was introduced by paul krugman 1988 these models provide a potential reason for the poor performance of traditional exchange rate models because they are nonlinear if the exchange rate actually depends in a nonlinear way on exogenous macroeconomic fundamentals linear exchange rate models may work poorly even though the exchange rate is closely linked to fundamentals in this paper we provide a brief sketch of some of this work as well as some preliminary evidence on the actual performance of these nonlinear models in our empirical analysis we use a nonparametric estimator that can handle a wide variety of nonlinear phenomena we examine fixed exchange rate regimes where nonlinearities should be quite easy to detect however we do not find strong empirical support for the hypothesis that the incorporation of nonlinear effects significantly improves models of exchange rate determination in section i we briefly review the theoretical literature on nonlinear target zone exchange rate models linking this work to the tests for intrinsic bubbles we draw heavily on recent papers by kenneth froot and maurice obstfeld 1989a b our methodology and data are discussed in section ii section iii contains new empirical tests for nonlinearities in exchange rate models

the behavior of the currency deposit ratio during the great depression comment in the coefficient of assets from 1 14 or 1 22 to 0 66 is not entirely due to economies of scale or a change in the mix of activities our results agree with revell 1980 in identifying the source of efficiency improvement as productivity gains proper second the sample group uses its offices more intensively than do the top 150 in either 1967 or 1979 this sample group has 14 29 employees per office versus 9 81 in 1967 and 7 69 in 1979 for the top 150 banks finally it is noteworthy that the smaller banks used fewer branches and employees relative to their assets than did the 1979 top 150 this is consistent with some recent evidence in tschoegl 1982 suggesting the possible existence of diseconomies of scale it is also consistent with the findings of benston et al 1982 for a sample of united states banks that where possible the banks expanded output by opening more offices as well as through output growth in each office and that this results in operating cost scale diseconomies

distinguishing between stochastic and deterministic behavior in foreign exchange rate returns further evidence abstract the nature of non linear dependence in hourly exchange rate returns is scrutinized while the brock dechert and scheinkman bds test results reject i i d behavior various correlation dimension estimates reveal little evidence in favor of a low dimensional attractor in the time series

the effects of proximate determinants of the money supply in the interwar period recent studies of the role of monetary policy in the interwar period and the great depression of 1929 33 typically focus on the money supply or the monetary base for several reasons however it is instructive to study the separate impact of money s three proximate determinants in this paper we focus on the interwar period and present empirical evidence on the importance of the three proximate determinants of the money supply in explaining fluctuations in output and prices we define the interwar period as july 1922 june 1938 for reasons explained in beard and mcmillin 2 as developed by friedman and schwartz 15 and extended by cagan 10 changes in the m2 stock of money can be attributed arithmetically to changes in three proximate determinantsthe monetary base the ratio of currency to deposits the currency ratio and the ratio of reserves to deposits the reserve ratio 2 the three proximate determinants are affected by different economic forces or react differently to the same variables each is under the immediate control of different economic agents changes in any one of the three proximate determinants can have and have had important effects on the stock of money cagan 10 analyzed in detail the contribution of changes in each of the three proximate determinants to cyclical fluctuations in the rate of change in the money stock over the long period 1877 to 1954 the base and the reserve ratio were each responsible for about one fourth of these variations the currency ratio was the most important single contributor being responsible for roughly one half of the variations while the contribution of the currency ratio varied from cycle to cycle major deviations occurred at times of financial panics when it often played a dominant role cagan found that the establishment of the federal reserve reduced the relative importance of changes in the reserve ratio and increased the relative importance of changes in the base while the amplitude of cyclical movements in the reserve ratio fell after 1914 and the ratio itself trended downward there was a sharp increase in the reserve ratio in the 1930s

can mergers ensure the survival of credit unions in the third millennium abstract the survival of small financial institutions in the third millennium depends on their competitiveness against large bank rivals accordingly credit unions in australia and the united states have attempted to increase efficiency through mergers our paper uses the data envelopment analysis methodology to evaluate the post merger gains in technical and scale efficiency achieved by 31 australian credit union mergers in 1993 1994 and 1994 1995 relative to non merging credit unions when compared with the only us study of credit union mergers journal of banking finance 23 1999 367 386 our findings suggests that mergers are not associated with improvements in efficiency superior to those achieved by internal growth

efficiency and risk in taiwan banking sbm super dea estimation in this study we adopt the two data envelopment analysis dea methods including banker charnes cooper bcc and slacks based measure sbm super efficiency to investigate whether a bank s technical efficiency index s results incorporating account risk and not incorporating account risk differ significantly the information is obtained from 43 taiwanese banks for the period 1998 to 2002 we also employ the nonradial and slacks based malmquist total factor productivity tfp index to measure the impact of productivity change on the panel data our empirical results from the dea approach are summarized as follows 1 loan quality factors have an impact on a bank s efficiency in general the bank with a higher degree of problem loans drops down its efficiency by incorporating account risk however the bank with a lower degree of problem loans increases its efficiency by incorporating account risk 2 super efficiency provides a good framework for ranking efficient units 3 based on the nonradial an

the dominance of inefficiencies over scale and product mix economies in banking abstract this study measures and analyzes inefficiencies for all u s banks in 1984 inefficiencies are measured relative to a thick frontier cost function and are found to dominate measured scale and product mix economies most inefficiencies are operational in nature involving the overuse of physical inputs rather than financial involving overpayment of interest also technical inefficiencies proportionate overuse of all inputs dominate allocative inefficiencies improper mix of inputs these results suggest that competitive pressures in banking from deregulation will be focused primarily on banks that do not control costs rather than on those of a particular size or product mix

how well have social economy financial institutions performed during the crisis period exploring financial and social efficiency in spanish credit unions as social economy financial institutions credit unions have traditionally been considered less efficient than traditional banking entities however like banks and savings banks they have to be as efficient and competitive as possible to survive in today s business environment especially at times of crisis to date there have been very few studies on their efficiency and practically none for the crisis period moreover almost all the existing studies assess only financial efficiency without considering their social function this study examines the levels of both financial and social efficiency in spanish credit unions as well as their main determinants during the recent crisis we apply the two stage double bootstrap data envelopment analysis dea methodology based on panel data corresponding to all the credit unions active in spain between 2008 and 2013 the empirical results indicate that financial and social efficiency achieved an acceptable level although on average the former was slightly greater than the latter we also find that both age and merger and acquisition activity were positively influential on the financial efficiency of credit unions but had a significant negative effect on their social efficiency moreover the regional location of such entities and the financial crisis were also crucial determinants of both types of efficiency our findings are therefore useful for all the stakeholders of credit unions to know if these entities have been efficient according to a double bottom line accounting in the crisis period and hence to maintain successful social management that is compatible with satisfactory financial efficiency

how significant is the alleged unfair advantage enjoyed by state owned banks in germany the european commission argues that the state owned banks in germany enjoy an unfair advantage over the private sector banks in the cost of borrowing funds in the financial markets because of state guarantees that public sector banks are perceived to enjoy this note demonstrates that the blame for the comparatively poor profitability of private sector banks in germany cannot be laid at the door of the relatively cheaper funds that the public sector banks can raise in the wholesale markets copyright 2006 oxford university press

chaotic dynamics in economic time series abstract there has recently been considerable interest in chaotic dynamics in a variety of disciplines this paper introduces and then surveys some of the associated literature and techniques applications to economic theory are discussed but the primary focus is on empirical applicability in addition to surveying the literature we also provide an example of the use of these techniques in economics we conclude by highlighting the importance of the techniques for empirical work as well as considering their context in econometric methodology

a study of bank efficiency taking into account risk preferences abstract i use the stochastic cost frontier approach to investigate efficiency of banks operating in the third federal reserve district accounting for the quality and riskiness of bank output in addition to the mean and mode of the conditional distribution of the one sided error term i calculate confidence intervals for the inefficiency measures based on the conditional distribution the results indicate that third district banks are operating at cost efficient output levels and product mixes but are not efficiently using their inputs the second part of the article relates the inefficiency measures to several correlates

the dynamic effects of aggregate demand and supply disturbances we interpret fluctuations in gnp and unemployment as due to two types of disturbances disturbances that have a permanent effect on output and disturbances that do not we interpret the first as supply disturbances the second as demand disturbances demand disturbances have a hump shaped mirror image effect on output and unemployment the effect of supply disturbances on output increases steadily over time peaking after two years and reaching a plateau after five years

traditional and nontraditional banking an information theoretic approach abstract this paper uses a multiproduct approach to analyze the costs of a sample of large banks where bank outputs are measured to account for the different types of information produced by banks diseconomies of scope are found between traditional banking activities of originating and monitoring loans and nontraditional activities of loan selling and buying this suggests maintaining fire walls between commercial bank functions and investment bank functions after the glass steagall act is repealed will not sacrifice joint production economies it also suggests that arguments for repeal of the act based on the existence of such economies are ill founded

inefficiency and heterogeneity in turkish banking 1990 2000 recent studies have stressed the importance of privatization and openness to foreign competition for bank efficiency and economic growth we study bank efficiency in turkey an emerging economy with great heterogeneity in bank types and ownership structures earlier studies of turkish banking had three limitations i excessive reliance on cost function frontier analyses wherein volume of loans is a measure of banking output ii pooling all banks or imposing ad hoc heterogeneity assumptions and iii lack of a comprehensive panel data set for proper analysis of productivity and heterogeneity we use an estimation classification procedure to find likelihood driven classification of bank technologies in an 11 year panel in addition we augment traditional cost frontier analysis with a labour efficiency analysis we conclude that state banks are not particularly inefficient overall but that they do utilize labour inefficiently this partially supports recent calls for privatization we also conclude that special finance houses or islamic banks utilize the same technology as conventional domestic banks and do so relatively efficiently this suggests that they do not cause harm to the financial system finally we conclude that foreign banks utilize a different technology from domestic ones this suggests that one should not overstate their value to the financial sector copyright 2005 john wiley sons ltd

productivity and efficiency change and shareholder value evidence from the spanish banking sector productivity change and shareholder value have been analysed in the banking sector in the last few years although it should be noted that these two important aspects have been studied separately in this regard the main contribution of our study is to link these two lines of research by verifying whether those banks characterized by higher levels of efficiency and productivity change have a higher shareholder value to measure changes in efficiency and productivity we use the malmquist nonparametric technique which is calculated from data envelopment analysis dea linear programming approach the malmquist total factor productivity index enables separation of the catching up effect i e changes over time in technical efficiency from technological change i e the shift of best practice frontier over time due to technological progress our results for a sample of listed spanish banks in the period 2000 to 2004 confirm that those banks with higher efficiency and productivity changes have a higher

the euro dollar exchange rate chaotic or non chaotic a continuous time model with heterogeneous beliefs abstract the aim of this paper is to develop a continuous time exchange rate model that allows for heterogeneity of the agents beliefs in order to explore non linearities and possible chaotic behaviour the theoretical model contains an intrinsic non linearity that gives rise to a jerk differential equation which is in principle capable of generating chaos the model is econometrically estimated in continuous time with euro dollar data and examined for the possible presence of chaotic motion our results indicate that the possibility of chaotic dynamics in our model is rejected

a study on long run inefficiency levels of a panel dynamic cost frontier under the framework of forward looking rational expectations abstract this paper aims to provide a theoretical underpinning of the dynamic efficiency model pioneered by ahn s c good d h sickles r c 2000 estimation of long run inefficiency levels a dynamic frontier approach econometric reviews 19 461 492 in the context of a quadratic loss function this paper formulates a multi period forward looking rational expectations model on the evolution of the technical inefficiency level which correctly produces a dynamic panel data model the model is illustrated using panel data of 112 french banks encouraging evidence of superiority in favor of the model is reached substantial cost inefficiency prevails in this industry where the constituent banks are characterized as having volatile adjustment speeds toward their long run steady states the sample banks exhibit increasing returns to scale and product mix economies

the determinants of cost efficiency in cooperative financial institutions australian evidence abstract previous studies of efficiency in cooperative financial institutions assume subsidies to be a normal part of business operations using a sample of australian credit unions cus this paper shows that ignoring subsidies biases estimates of cost efficiency and efficiency rankings time varying cost efficiency is estimated using stochastic frontier and generalised within approaches and compared with the distribution free df approach assuming constant efficiency despite significant industry rationalisation average efficiency shows little improvement over the period 1985 1993 however efficiency rankings change considerably second stage regressions suggest bond type size age average deposit size and interest rate spreads are significant determinants of relative cost efficiency

asymmetry in the ems new evidence based on non linear forecasts abstract in this paper we provide new evidence on the hypothesis of german leadership and asymmetric performance in the ems in the framework of causality tests using daily data given the evidence about non linearity in financial series we propose applying non linear forecasting methods based on the literature on complex dynamic systems our analysis covers nine countries and the sample period runs until 30 april 1998 so including the more recent events in the ems history a comparison of our results with those obtained from standard linear econometric techniques leads us to conclude that inference on causality based on our non linear predictors would be preferable to that based on the standard linear approach

statistical inference based upon non linear science abstract this paper discusses testing for the presence of deterministic chaos and presents probems surrounding such research statistical inference methods arising from the study of non linear dynamics are presented along with research utilizing these methods the general goal of these inference methods is to test for evidence of hidden structures in economic time series data which may lead to a greater understanding of how the economy functions while evidence of significant non linear structure has been demonstrated in many economic and financial time series precisely how important these structures are to economic science is a relevant issue

the nonmonetary effects of financial factors during the interwar period i introduction in a monetary history of the united states friedman and schwartz 1963 attributed the enormous decline in real output and prices during the great depression of 1929 1933 to an unprecedented fall in the supply of money while there is much support today for the view that money played an important role in this episode many economists feel that this variable alone does not provide a sufficiently complete explanation of the link between the chaotic conditions in the u s financial sector and aggregate output and prices bernanke 1983 contended in an influential paper that financial shocks had important nonmonetary effects on aggregate economic activity in addition to their effects via the supply of money rather than consider the 1929 33 episode outside of its context bernanke widened his sample to include the entire interwar period which he defined as january 1919 december 1941 the major purpose of this paper is to present empirical evidence on the importance of the nonmonetary effects of financial factors in explaining fluctuations in real output and prices during the interwar period we define the interwar period as august 1922 june 1938 by omitting from our sample a few years immediately following world war i and immediately preceding world war ii we avoid the potential problems connected with war related government expenditures and autonomous gold flows discussed in joines 1985 our interwar period corresponds closely to the four peacetime cycles identified by firestone 1960 the theoretical literature on the nonmonetary effects of financial factors focuses on two related but distinct aspects 1 first studies by bernanke and blinder 1988 williamson 1987a 1987b bernanke and gertler 1987 and scheinkman and weiss 1986 demonstrate that the efficiency with which banks perform their intermediation function is an independently important determinant of the level of real economic activity second bernanke and gertler 1989 1990 gertler and hubbard 1988 and calomiris and hubbard 1990 focus on the effects of shocks to borrowers net worth positions on aggregate economic activity this approach suggests that exogenous shocks to borrowers net worth may be a source of economic fluctuations therefore for example to the extent that a deflation is unanticipated it is likely to erode borrowers net worth and thereby adversely affect aggregate economic activity beginning with fisher 1933 this deflation story has played an important role in studies such as bernanke 1983 hamilton 1987 and bernanke and james 1990 that attempt to explain the great depression in evaluating the effects of financial sector shocks during the great depression bernanke 1983 argued that in addition to the traditional monetary effects of adverse shocks to financial intermediation stressed by friedman and schwartz 1963 these shocks increased the cost of credit intermediation which in turn led to credit contraction rejection of otherwise profitable projects and subsequent falls in output to test this hypothesis bernanke included the deposits of failing banks and the liabilities of failing businesses as joint proxies for the cost of credit intermediation in a barro 1977 type output equation that also included unanticipated money both the deposits of failing banks and liabilities of failing businesses were found to be significant moreover dynamic simulations of the path of output for the period between mid 1930 and march 1933 accounted for substantially more of the actual decrease in output than was captured when only unanticipated money was included in the output equation in place of the joint proxies bernanke also used the yield differential between baa corporate and long term u s government bonds as a proxy for credit intermediation costs in all cases entry of the credit cost proxies significantly increased the percentage of the decline in output that was captured

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

an historical decomposition of the great depression to determine the role of money abstract the innovation accounting technique of historical decomposition seems ideally suited as a vehicle for a re examination of money s role during the depression its application using u s monthly data for 1919 to 1941 reveals that innovations in money exerted a considerable influence on prices and output after october 1929 although the depth of the depression and the extent of the subsequent recovery cannot be attributed solely to monetary factors an important albeit occasionally diminished monetary effect is also identified even when a passive contemporaneous response by money to price and output fluctuations is assumed not to contribute to the effect

indian bank efficiency and productivity changes with undesirable outputs a disaggregated approach the objective of this study is to examine technical efficiency and productivity growth in the indian banking sector over the period from 2004 to 2011 we apply an innovative methodological approach introduced by chen et al 2011 and barros et al 2012 who use a weighted russell directional distance model to measure technical inefficiency we further modify and extend that model to measure tfp change with npls we find that the inefficiency levels are significantly different among the three ownership structure of banks in india foreign banks have strong market position in india and they pull the production frontier in a more efficient direction spbs and domestic private banks show considerably higher inefficiency we conclude that the restructuring policy applied in the late 1990s and early 2000s by the indian government has not had a long lasting effect

what is the impact of bankrupt and restructured loans on japanese bank efficiency the japanese banking system provides a distinctive platform for the examination of the long lasting effect of problem loans on efficiency we measure technical efficiency by modifying a translog enhanced hyperbolic distance function with two undesirable outputs identified as problem loans and problem other earning assets our unique database allows us to distinguish between bankrupt and restructured loans to investigate the underlying causality between these loans and efficiency from the flexible panel vector autoregression specification primary results reveal that bankrupt loans have a positive impact on efficiency related to the moral hazard skimping hypothesis with the causality originating from bankrupt loans in contrast findings for the relationship between restructured loans and efficiency support the bad luck hypothesis

exchange rates forecasting local or global methods exchange rates forecasters usually assume that local methods nearest neighbour dominate the global ones neural networks or genetic programming for example in this article first we use different generalizations of the standard nearest neighbours to predict the dynamic evolution of the yen us and pound sterling us exchange rates one period ahead second we compare our results with those employing global methods such as neural networks genetic programming data fusion and evolutionary neural networks finally we find out the existence of predictable structures periods ahead our results reveal a slightly but significant forecasting ability for one period ahead which is lost when more periods ahead are considered and no important predictive differences between local and global methods have been found

measuring efficiency at u s banks accounting for heterogeneity is important abstract estimates of bank cost efficiency can be biased if bank heterogeneity is ignored i compare x inefficiency derived from a model constraining the cost frontier to be the same for all banks in the u s and a model allowing for different frontiers and error terms across federal reserve districts i find that the data reject the single cost function model x inefficiency measures based on the single cost function model are on average higher than those based on the separate cost functions model the distributions of the one sided error terms are wider for the single cost function model than for the separate cost functions model and the ranking of districts by the level of x inefficiency differs in the two models the results suggest it is important when studying x inefficiency to account for differences across the markets in which banks are operating and that since x inefficiency is by construction a residual it will be particulary sensitive to omissions in the basic model

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

an examination of cost subadditivity and multiproduct production in large u s banks this paper examines the subadditivity of costs for a sample of the largest commercial banks in the u s we introduce into the bank production literature the grid approach developed by evans and heckman 1984 we estimate two models of the bank cost function one where deposits are treated as outputs while in the other deposits are treated as inputs the models are estimated using the commonly used translog and the more flexible miniflex laurent viewed narrowly the findings imply that cost complementarities are not the raison d etre for multiproduct production in the largest commercial banks subadditive costs however are sufficient but not necessary for multiproduct production it is quite possible for multiproduct production to be optimal when output are produced independently levy and haber 1986 and teece 1980 1982 it is only required that inputs be shareable as opposed to joint copyright 1990 by ohio state university press

testing nonlinear forecastability in time series theory and evidence from the ems abstract this paper proposes a procedure based on nearest neighbour predictors for testing the existence of nonlinear forecastable dependencies in time series an empirical application to ems exchange rates illustrates the performance of the test

a comprehensive analysis of the effects of risk measures on bank efficiency evidence from emerging asian countries this study investigates the role of risk in determining the cost efficiency of international banks in eight emerging asian countries researchers of this paper consider three distinct risk aspects under a total of eight risk measures credit risk operational risk and market risk we apply a heteroscedastic stochastic frontier model to estimate bank cost efficiency in our analysis additionally this study analyzes the marginal effects of all risk measures on the inefficiency effect in order to explore a more detailed relationship between risks and efficiency the empirical results indicate that the risk measures represent significant effects on both the level and variability of bank efficiency we also find that these effects vary across countries and over time

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

efficiency in the savings and loan industry abstract the stochastic econometric cost frontier approach is modified to investigate efficiency in mutual and stock s ls using 1991 data on u s s ls this methodology allows both the cost frontier and error structures to differ between s ls of these two ownership forms a likelihood ratio test indicates that the data support this unrestricted model which implies efficient mutual and stock s ls use different production technologies various measures of inefficiency show that on average stock s ls are less efficient than mutual s ls the second part of the article relates the inefficiency measures to several correlates

cross country comparisons of efficiency evidence from the uk and italian investment firms abstract this paper compares and reconciles two new methods for cross country comparisons of the cost efficiency of uk and italian investment firms over the period 1995 1998 it employs four different specifications of the stochastic frontier methodology using a translog cost function in order to measure x efficiency the traditional common frontier reveals that italian investment firms are nearly as efficient as uk firms to overcome traditional limitations two methods are used in this paper they provide consistent results the first method shows differences between the efficiency of the two countries by incorporating environmental variables into the cross country common frontier the second method shows differences in the efficiency of the domestic versus foreign investment firms in the two countries by testing the ability to monitor and control on a cross border basis finally to identify investment firms that are both cost and profit efficient we undertake a profitability test

unexpected monetary disturbances during the gold standard era abstract this empirical paper uses the barro methodology of estimating unexpected monetary shocks to determine the effect these shocks had on real output in the u s during the gold standard era between 1880 and 1913 it also investigates whether changes in a measure of financial intermediation had real effects the results indicate that neither expected nor unexpected money shocks affected output changes in financial intermediation however were significantly correlated with output this result lends support to theories which stress the endogeneity of broad measures of the money supply

is there a single frontier in a single european banking market abstract this paper attempts to estimate comparable efficiency scores for european banks operating in the single market in the eu using a data set of more than 5000 large commercial banks from all major european banking markets over the period 1993 2004 the application of meta frontiers enables us to assess the existence of a single and integrated european banking market we find evidence in favor of a single european banking market characterized by cost and profit meta frontiers however compared to the meta frontier estimations pooled frontier estimations tend to underestimate efficiency levels and correlate poorly with country specific frontier efficiency ranks

how money affects real output this paper decomposes the money stock into constituent parts to examine the relationship between monetary variables and real economic activity using vector autoregression for 1954 to 1979 the first decomposition reveals that innovations in money multiplier growth rates are approximately three times more influential in determining real output growth than are monetary base growth innovations the second decomposition includes components of the money multiplier to identify the importance of actions of the public the banking community and the monetary authority the results suggest that the public and the fed had a significant impact on influencing real output growth copyright 1989 by ohio state university press

expectations and chaotic dynamics empirical evidence on exchange rates abstract the paper investigates the dynamic behavior of exchange rates expectations using four different currencies the test follows developments advanced by fernandez rodriguez et al fernandez rodriguez f sosvilla rivero s andrada felix j 2005 testing chaotic dynamics via lyapunov exponents journal of applied econometrics 20 911 930 the evidence however does not favor the presence of chaotic dynamics in exchange rate expectations

chaotic behaviour in exchange rate series first results for the peseta u s dollar case abstract we test for the presence of deterministic chaos on daily data for the spot and forward spanish peseta u s dollar exchange rates the finding of a chaotic behaviour in the series allows us to make short run predictions which in general outperform those from the random walk model

monetary factors in the great depression this paper examines the role of monetary policy in the early stages of the great depression and considers the mechanism whereby this policy may have affected real activity i conclude that the depression was preceded by a dramatic shift towards a highly contractionary monetary policy the economic impact of this policy seems unlikely to have come through the conventional keynesian channels of a shortage of liquidity and high ex ante real interest rates but instead may have operated through unanticipated deflation and after 1930 through the disruption of financial intermediation as a consequence of the banking panics

how do banks adjust to changing input prices a dynamic analysis of u s commercial banks before and after the crisis abstract the 2000 2013 period was characterized by substantial regulatory monetary and technological change especially after the onset of the global financial crisis this study assesses the total impact of these policy shifts and technological changes on u s commercial banks short run and long run substitution elasticities an endogenous break test divides the sample into a pre crisis period and a post crisis period during the former period banks inputs tend to be inelastic substitutes after the onset of the crisis particularly the long run substitutability of most input factors decreases to even lower levels due to changes in both cost technology and economic conditions at the same time banks response to input price changes becomes more sluggish hence especially after the onset of the crisis banks have little flexibility regarding input factor usage and are thus sensitive to input price changes from a cost perspective

operational efficiency in banking an international comparison reply to the comment abstract to avoid problems associated with jensen s inequality we use a corrected inefficiency measure to compare the estimate of inefficiency obtained using the distribution free df method with the estimate obtained using the stochastic cost frontier scf the results of the paper are unchanged the df method yields measures of inefficiency that are significantly higher than measures obtained using the scf