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Master's Dissertation
DOI
10.11606/D.12.2006.tde-12122006-014817
Document
Author
Full name
Thomas Fujiwara
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
São Paulo, 2006
Supervisor
Committee
Nakane, Marcio Issao (President)
Costa, Ana Carla Abrão
Igliori, Danilo Camargo
Title in Portuguese
A mensuração do produto, eficiência e economias de escala dos bancos brasileiros
Abstract in Portuguese
Este trabalho aplica metodologia de Wang (2003a, 2003b) para definir uma nova medida do produto de bancos brasileiros. Acredita-se que tal medida seja superior às comumente utilizadas na literatura por se tratar de uma variável de fluxo, incorporar os depósitos bancários de maneira teoricamente embasada e levar em consideração a exposição ao risco. Esta nova variável de produção é utilizada na estimação de fronteiras estocásticas de produção e custo para o setor bancário brasileiro, visando a mensurar sua eficiência técnica e econômica, assim como a magnitude de suas economias de escala. As fronteiras estimadas apresentam especificação dada pela forma funcional flexível de Fourier e incorporam variáveis determinantes da eficiência. Os resultados apontam para uma acentuada ineficiência do setor bancário, assim como para a ocorrência de retornos crescentes de escala.
Title in English
Measuring output, efficiency and economies of scale in the Brazilian banking sector
Keywords in English
Brazilian banking
Fourier flexible form
Stochastic frontier
Abstract in English
This work applies the Wang (2003a, 2003b) methodology to define Brazilian banks' output. It is believed that this new output measure is superior to the ones commonly used by the literature, since it treats output as a flow variable, provides a theoretical basis for defining the role of deposits and takes account of risk exposure in defining output. This new measure is applied to the estimation of stochastic production and cost frontiers for the Brazilian banking sector, aiming at measuring its technical and economic efficiency, and also the size of its scale economies. The frontiers follow a Fourier flexible functional form especification and incorporate efficiency determinants. The results point to the existence of high inneficiency in the banking industry, and also to the ocurrence of increasing returns to scale.
 
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Dissertacao_Final.pdf (390.36 Kbytes)
Publishing Date
2007-02-09
 
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