The Influence of Risk-taking on Bank Efficiency : Evidence from Colombia

Serie

• EBC Discussion Paper

Resumen

• This paper shows evidence on the influence of risk-taking on bank efficiency in emerging markets and identifies heterogeneity in the way risk affects banks with different characteristics. We fit a stochastic frontier model with random inefficiency parameters to a sample of Colombian banks. The model provides accurate cost and profit efficiency estimates. The effects of risk-taking on efficiency vary with size and affiliation. Large and foreign banks benefit more from higher exposure to credit and market risk, while domestic and small banks from being more capitalised. We identify some channels explaining these differences and provide insights for prudential regulation.

autores

• Sarmiento, Miguel 
• Galán, Jorge E.

fecha de publicación

• 2015

Área temática

• C11 - Análisis bayesiano: generalidades
• C23 - Modelos uniecuacionales; variables simples: Modelos con datos de panel; Modelos espacio-temporales
• C51 - Construcción de modelos y estimación
• D24 - Producción; Coste; Productividad del capital; Productividad total de los factores; (PTF) Productividad factorial; Capacidad
• G21 - Bancos; Instituciones de depósito; Instituciones Microfinancieras; Hipotecas
• G32 - Política de financiación; riesgo financiero y gestión de riesgos; Estructura del capital y de la propiedad; Valor de empresa; fondo de comercio

Enfoque geográfico

• Colombia  Country
• South America  Continent

Líneas de investigación

• Bank Efficiency
• Bayesian Inference
• Heterogeneity
• Random Parameters
• Risk-Taking
• Stochastic Frontier Models

Issue

• 2015-008