The influence of risk-taking on bank efficiency: Evidence from Colombia |
| |
| Institution: | 1. Financial Stability Department, Banco de la República, Carrera 7 # 14-78, Bogotá, Colombia;2. CentER and European Banking Center, Tilburg University, The Netherlands;3. Financial Stability Department, Banco de España, Alcalá 48, Madrid 28014, Spain;1. Financial Stability Department, Banco de la República, Carrera 7 # 14-78, Bogotá, Colombia;2. CentER and European Banking Center, Tilburg University, The Netherlands;3. Financial Stability Department, Banco de España, Alcalá 48, Madrid 28014, Spain;1. Université Paris 1, 12, place du Panthéon, 75231 Paris cedex 05, France;2. DRM, CNRS, [UMR 7088], Université Paris-Dauphine, PSL Research University, 75016 Paris, France;1. Edwards School of Business, University of Saskatchewan, Canada;2. Department of Economics and Finance, University of New Orleans, USA;1. Laboratoire d''étude des Transferts en Hydrologie et Environnement (LTHE), UMR 5564, Bâtiment OSUG-B, Domaine universitaire, BP 53, 38041 Grenoble Cedex 09, France;2. Aix Marseille Université, Institut Universitaire de France, CEREGE, UM 34, Europôle Méditerranéen de l''Arbois, B.P. 80, 13545 Aix en Provence Cedex, France |
| |
| Abstract: | 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. |
| |
| Keywords: | |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
