Inefficiency and Bank Failures: A Joint Bayesian Estimationof a Stochastic Frontier Model and a Hazards Model

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dc.contributor.authorSánchez González, Jim
dc.contributor.authorRestrepo Tobón, Diego
dc.contributor.authorRamírez Hassan, Andrés
dc.contributor.eafitauthorjsanch83@eafit.edu.co
dc.contributor.eafitauthordrestr16@eafit.edu.co
dc.contributor.eafitauthoraramir21@eafit.edu.co
dc.coverage.spatialMedellín de: Lat: 06 15 00 N degrees minutes Lat: 6.2500 decimal degrees Long: 075 36 00 W degrees minutes Long: -75.6000 decimal degreeseng
dc.date.accessioned2018-10-05T19:33:47Z
dc.date.available2018-10-05T19:33:47Z
dc.date.issued2018-08-27
dc.description.abstractIn modeling bank failure, estimating inefficiency separately from the hazards modelresults in inefficient, biased, and inconsistent estimators. We develop a method to si-multaneously estimate a stochastic frontier model and a hazards model using Bayesiantechniques. This method overcomes issues related to two-stage estimation methods,allows for computing the marginal effects of the inefficiency over the probability offailure, and facilitates statistical inference of the functions of the parameters such aselasticities, returns to scale, and individual inefficiencies. Simulation exercises showthat our proposed method performs better than two-stage maximum likelihood, spe-cially in small samples. In addition we find that inefficiency plays a statistically andeconomically significant role in determining the time to failure of U.S. commercialbanks during 2001 to 2010.eng
dc.identifier.jelC11
dc.identifier.jelG21
dc.identifier.jelG33
dc.identifier.urihttp://hdl.handle.net/10784/12964
dc.language.isoengeng
dc.publisherUniversidad EAFITspa
dc.publisher.departmentEscuela de Economía y Finanzasspa
dc.rights.accessrightsinfo:eu-repo/semantics/openAccesseng
dc.rights.localAcceso abiertospa
dc.subject.keywordTechnical Inefficiencyspa
dc.subject.keywordProportional Hazards Modelspa
dc.subject.keywordBank Failuresspa
dc.titleInefficiency and Bank Failures: A Joint Bayesian Estimationof a Stochastic Frontier Model and a Hazards Modeleng
dc.typeworkingPapereng
dc.typeinfo:eu-repo/semantics/workingPapereng
dc.type.hasVersiondrafteng
dc.type.localDocumento de trabajo de investigaciónspa

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