Banks Financial crisis: Inefficiencies or Responsibilities?
| Componente | Categoria |
|---|---|
| Stefano Fachin | Componenti il gruppo di ricerca |
| Componente | Qualifica | Struttura | Categoria |
|---|---|---|---|
| Daniela Palatta | funzionario statistico | BNL | Altro personale Sapienza o esterni |
| Berardino Barile | funzionario statistico | Ministero per lo Sviluppo Economico | Altro personale Sapienza o esterni |
| Elisa Fusco | funzionario statistico | SOSE | Altro personale Sapienza o esterni |
Thinking about the relatively recent financial world crisis, it is crucial to investigate weather it was matter of banks inefficiencies or responsibilities, and in the latter case if the responsibilities are to be imputed to banks or governments.
With this aim, we propose a methodology capable to analyze the quality of the banks problem loans and their level of efficiency.
Our approach is based on the inclusion of the "Non performing loans'' variable (NPLs), as an undesirable output, in the distance-revenue function stochastic frontier, which lets us calculate the non-observable NPLs shadow price. Then, we consider the contribution to the degree of risk of the lending system deriving from governments and banks in order to evaluate their responsibilities, and draw some policy implications.
We conduct a panel study on all the US and European banks per each member state for the period pertaining the 2007-8 financial crisis by adopting -to our knowledge for first in the distance function context- the semi-nonparametric Fourier specification, which, among the functional flexible forms, ensures the convergence of both the estimated parameters and the related efficiency to their true values.