Bank Efficiency, Risk, and Capital in the Visegrad Group Countries
| Název práce v češtině: | Bankovní efektivnost, riziko a kapitál v zemích Visegrádské čtyřky |
|---|---|
| Název v anglickém jazyce: | Bank Efficiency, Risk, and Capital in the Visegrad Group Countries |
| Klíčová slova: | bankový sektor, nákladová efektívnosť, rizikovosť, kapitál, stochastic frontier analysis, Česká republika, Maďarsko, Poľsko, Slovensko |
| Klíčová slova anglicky: | banking sector, cost efficiency, risk, capital, stochastic frontier analysis, the Czech Republic, Hungary, Poland, Slovakia |
| Akademický rok vypsání: | 2012/2013 |
| Typ práce: | diplomová práce |
| Jazyk práce: | angličtina |
| Ústav: | Institut ekonomických studií (23-IES) |
| Vedoucí / školitel: | prof. PhDr. Petr Teplý, Ph.D. |
| Řešitel: | skrytý - zadáno vedoucím/školitelem |
| Datum přihlášení: | 06.06.2013 |
| Datum zadání: | 08.06.2013 |
| Datum a čas obhajoby: | 23.09.2015 00:00 |
| Místo konání obhajoby: | IES |
| Datum odevzdání elektronické podoby: | 31.07.2015 |
| Datum proběhlé obhajoby: | 23.09.2015 |
| Oponenti: | PhDr. Jitka Lešanovská, Ph.D. |
| Kontrola URKUND: | |
| Seznam odborné literatury |
| 1. Aigner, D., Lovell, K., and Schmidt, P., 1977. Formulation and Estimation of Stochastic Frontier Production Function Models. Journal of Econometrics, 6, pp. 21-37.
2. Altunbas, Y., Carbo, S., Gardener, E. P. M., and Molyneux, P., 2007. Examining the Relationships between Capital, Risk and Efficiency in European Banking. European Financial Management, 13, pp. 49-70. 3. Berger, A. N. and De Young, R., 1997. Problem loans and cost efficiency in commercial Banking. Journal of Banking and Finance, 21, pp. 849-870. 4. Berger, A. N. and Humphrey, D. B., 1997. Efficiency of Financial Institutions: International Survey and Directions for Future Research. Center for Financial Institutions Working Papers 97-05, Wharton School Center for Financial Institutions, University of Pennsylvania. 5. Coelli, T. J., Rao, D. S. P., O’Donnel, C. J., Battese, G. E., 2005. An Introductionto Efficiency and Productivity Analysis. 2nd Edition. New York: Springer Science + Business Media, Inc. 6. Freixas, X. and Rochet, J.-Ch., 2008. Microeconomics of Banking. 2nd edition, MIT Press. 7. Fried, H., Lovell, K., and Schmidt, S., 2008. The Measurement of Productive Efficiency and Productivity. Oxford University Press. 8. Girardone, C., Molyneux, P., and Gardener, E. P. M., 2004. Analysing the Determinants of Bank Efficiency: The Case of Italian Banks. Applied Economics, 36(3), pp. 215-227. 9. Iršová, Z., 2010. Bank Efficiency in Transitional Countries: Sensitivity to Stochastic Frontier Design. Working Papers IES 2010/13, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies. 10. Iršová, Z. and Havránek, T., 2010. Measuring Bank Efficiency: A Meta-Regression Analysis. Prague Economic Papers, 2010, issue 4, pp. 307-328. |
| Předběžná náplň práce |
| The banking sector is a fundamental part of modern economies. When functioning well, banks serve as financial intermediaries that facilitate efficient allocation of resources and transformation of risks, which is essential for steady economic growth. Hence, naturally, regulators, stakeholders, and market participants are being concerned with the soundness of the banking sector and they strive to undertake the measures that make the banks operate more efficiently. This is especially important in the countries that underwent an economic transformation process from centrally planned to market economies, such as the Czech Republic, Hungary, Poland, and Slovakia, jointly referred to as the Visegrad Group.
The stakeholders of the banking sector need methods that may help them to assess and quantify the performance of the banks. In this respect, several approaches exist how the performance of the banks might be quantified. Their profitability, productivity or efficiency-the notions that are not interchangeable-might be examined. The cornerstone of this thesis is the measurement of the cost efficiency on the bank-specific level. The class of these measurement methods, which evaluate how efficiently the individual banks spend the resources that are needed for the production of their outputs, has its roots in microeconomic theory. In the thesis, we shall introduce one of these methods that is called stochastic frontier analysis and utilize it in order to calculate the efficiency of the banks from the aforementioned countries during the period spanning from the year 2008 to 2013. Over the years, the belief that the efficiency of the banks, their risk-taking, and capital position are interrelated emerged among the researchers. In the literature, a plethora of explanations might be found why these relationships should exist between the bank efficiency, their risk-taking, and capital. For instance, less efficient banks might employ poor management that has also poor control over its loan portfolio, resulting in an increased credit risk of the bank. Competitive pressure might provide incentives for the management to increase its short-term profits at the expense of increased risk exposure. To avoid this problem, regulators tend to limit the impacts of increased risk-taking by imposing the minimal capital requirements, which are believed to diminish the probability of bank failure and increase the overall safety of the banking sector. Building on the past empirical research conducted in this area of literature, we strive to examine the relationships between these variables in the aforementioned countries |
| Předběžná náplň práce v anglickém jazyce |
| The banking sector is a fundamental part of modern economies. When functioning well, banks serve as financial intermediaries that facilitate efficient allocation of resources and transformation of risks, which is essential for steady economic growth. Hence, naturally, regulators, stakeholders, and market participants are being concerned with the soundness of the banking sector and they strive to undertake the measures that make the banks operate more efficiently. This is especially important in the countries that underwent an economic transformation process from centrally planned to market economies, such as the Czech Republic, Hungary, Poland, and Slovakia, jointly referred to as the Visegrad Group.
The stakeholders of the banking sector need methods that may help them to assess and quantify the performance of the banks. In this respect, several approaches exist how the performance of the banks might be quantified. Their profitability, productivity or efficiency-the notions that are not interchangeable-might be examined. The cornerstone of this thesis is the measurement of the cost efficiency on the bank-specific level. The class of these measurement methods, which evaluate how efficiently the individual banks spend the resources that are needed for the production of their outputs, has its roots in microeconomic theory. In the thesis, we shall introduce one of these methods that is called stochastic frontier analysis and utilize it in order to calculate the efficiency of the banks from the aforementioned countries during the period spanning from the year 2008 to 2013. Over the years, the belief that the efficiency of the banks, their risk-taking, and capital position are interrelated emerged among the researchers. In the literature, a plethora of explanations might be found why these relationships should exist between the bank efficiency, their risk-taking, and capital. For instance, less efficient banks might employ poor management that has also poor control over its loan portfolio, resulting in an increased credit risk of the bank. Competitive pressure might provide incentives for the management to increase its short-term profits at the expense of increased risk exposure. To avoid this problem, regulators tend to limit the impacts of increased risk-taking by imposing the minimal capital requirements, which are believed to diminish the probability of bank failure and incr |