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....

We analyze the determinants of bank branch location in Spain controlling for geography explicitly. After a long period of intense expansion, most savings banks are now involved in merger processes. However, given the contributions of this type of bank to combatting financial exclusion, this...

We augment a standard monetary DSGE model to include a banking sector and financial markets. We fit the model to Euro Area and US data. We find that agency problems in financial contracts, liquidity constraints facing banks and shocks that alter the perception of market risk and hit financial...

Using Bayesian Monte Carlo methods, we augment a stochastic distance function measure of bank efficiency and productivity growth with indicators of capitalization, return and risk. Our novel Multiple Indicator-Multiple Cause (MIMIC) style model generates more precise estimates of policy relevant...

We contribute to the empirical literature on the impact of shocks to bank capital in the euro area by estimating a Bayesian VAR model identified with sign restrictions. The variables included in the VAR are those typically used in monetary policy analysis, extended to include aggregate banking...

How can the public assess the performance of regulators who administer the resolution of troubled banks? Economic theory indicates that regulators best serve the public interest when they act to discourage moral hazard and preserve channels of financial intermediation. I study the resolution of...

This paper identifies shocks to bank credit supply based on firms’ aggregate debt composition. I use a model where firms fund production with bonds and loans. Only bank shocks imply opposite movements in the two types of debt as firms adjust their debt composition to new credit conditions. I...

We investigate the transmission of financial shocks through the macroeconomy. To that end we develop an endogenous regime-switching structural vector autoregressive model with time-varying transition probabilities. First, we allow for the transition probabilities to be dependent on the state of...

We estimate a stochastic frontier model with random inefficiency parameters, which allows us not only to identify the role of bank risk-taking on driving cost and profit inefficiency, but also to recognize heterogeneous effects of risk exposure on banks with different characteristics. We account...

In credit portfolio modeling the asset correlation parameter is used to describe the degree of default rates fluctuations. In this article we estimate the asset correlation parameter for banks and other industry sectors from default data. We find that estimates of the asset correlation vary...