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Meranie Bankovej Efektivity
Iršová, Zuzana ; Jakubík, Petr (advisor) ; Michalíková, Eva (referee)
This thesis provides an empirical insight on the frontier efficiency estimation methods in banking and their sensitivity toward the change in definition of particular characteristics in the techniques used. The two methods, stochastic frontier approach (SFA) and deterministic data envelopment analysis (DEA) are compared over several variations, results of which are supported by the meta-regression part including 32 studies on the USA and 14 on the transitional countries. The main findings of this study include: the efficiency score is highly dependent on the methodological design, the largest variation in the estimated scores of SFA and DEA are due to Fourier-flexible functional form application, and the rank order correlation between these methods raises with an increase of the homogeneity degree in the sample. JEL Classification C13, C61, G21, L25, P27 Keywords Bank Efficiency, Stochastic Frontier Approach, Data Envelopment Analysis, Meta-Regression Analysis Author's e-mail zuzana.irsova@gmail.com Supervisor's e-mail petr.jakubik@cnb.cz
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Measuring Bank Efficiency
Iršová, Zuzana ; Jakubík, Petr (advisor) ; Michalíková, Eva (referee)
This thesis provides an empirical insight on the frontier efficiency estimation methods in banking and their sensitivity toward the change in definition of particular characteristics in the techniques used. The two methods, stochastic frontier approach (SFA) and deterministic data envelopment analysis (DEA) are compared over several variations, results of which are supported by the meta-regression part including 32 studies on the USA and 14 on the transitional countries. The main findings of this study include: the efficiency score is highly dependent on the methodological design, the largest variation in the estimated scores of SFA and DEA are due to Fourier-flexible functional form application, and the rank order correlation between these methods raises with an increase of the homogeneity degree in the sample. JEL Classification C13, C61, G21, L25, P27 Keywords Bank Efficiency, Stochastic Frontier Approach, Data Envelopment Analysis, Meta-Regression Analysis Author's e-mail zuzana.irsova@gmail.com Supervisor's e-mail petr.jakubik@cnb.cz
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Meranie Bankovej Efektivity
Iršová, Zuzana ; Jakubík, Petr (advisor) ; Michalíková, Eva (referee)
This thesis provides an empirical insight on the frontier efficiency estimation methods in banking and their sensitivity toward the change in definition of particular characteristics in the techniques used. The two methods, stochastic frontier approach (SFA) and deterministic data envelopment analysis (DEA) are compared over several variations, results of which are supported by the meta-regression part including 32 studies on the USA and 14 on the transitional countries. The main findings of this study include: the efficiency score is highly dependent on the methodological design, the largest variation in the estimated scores of SFA and DEA are due to Fourier-flexible functional form application, and the rank order correlation between these methods raises with an increase of the homogeneity degree in the sample. JEL Classification C13, C61, G21, L25, P27 Keywords Bank Efficiency, Stochastic Frontier Approach, Data Envelopment Analysis, Meta-Regression Analysis Author's e-mail zuzana.irsova@gmail.com Supervisor's e-mail petr.jakubik@cnb.cz
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Measuring Bank Efficiency
Iršová, Zuzana ; Jakubík, Petr (advisor) ; Michalíková, Eva (referee)
This thesis provides an empirical insight on the frontier efficiency estimation methods in banking and their sensitivity toward the change in definition of particular characteristics in the techniques used. The two methods, stochastic frontier approach (SFA) and deterministic data envelopment analysis (DEA) are compared over several variations, results of which are supported by the meta-regression part including 32 studies on the USA and 14 on the transitional countries. The main findings of this study include: the efficiency score is highly dependent on the methodological design, the largest variation in the estimated scores of SFA and DEA are due to Fourier-flexible functional form application, and the rank order correlation between these methods raises with an increase of the homogeneity degree in the sample. JEL Classification C13, C61, G21, L25, P27 Keywords Bank Efficiency, Stochastic Frontier Approach, Data Envelopment Analysis, Meta-Regression Analysis Author's e-mail zuzana.irsova@gmail.com Supervisor's e-mail petr.jakubik@cnb.cz
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Bank Efficiency and Interest Rate Pass-Through: Evidence from Czech Loan Products
Havránek, Tomáš ; Iršová, Zuzana ; Lešanovská, Jitka
An important component of monetary policy transmission is the pass-through from financial market interest rates, directly influenced or targeted by central banks, to the rates that banks charge firms and households. Yet the available evidence on the strength and speed of the pass-through is mixed and varies across countries, time periods, and even individual banks. We examine the pass-through mechanism using a unique data set of Czech loan and deposit products and focus on bank-level determinants of pricing policies, especially cost efficiency, which we estimate employing both stochastic frontier and data envelopment analysis. Our main results are threefold: First, the long-term pass-through was close to complete for most products before the financial crisis, but has weakened considerably afterward. Second, banks that provide high rates for deposits usually charge high loan markups. Third, cost-efficient banks tend to delay responses to changes in the market rate, smoothing loan rates for their clients.
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Dynamic Elasticities of Tax Revenue: Evidence from the Czech Republic
Havránek, Tomáš ; Iršová, Zuzana ; Schwarz, Jiří
Tax revenue elasticities with respect to tax bases are key parameters for the modeling of public finances. Yet the existing studies estimating these elasticities for post-transition countries disregard the effects of tax reforms on tax revenue, which renders their estimates inconsistent. We use a unique data set from the Czech Republic to account for the effects of reforms and estimate both short- and long-run tax revenue elasticities. Our results suggest that the long-run elasticities are 1.4 for wage tax, 0.9 for value added tax, 1.7 for profit tax, and 1 for social security contributions. The adjustment process for value added tax and social security contributions is fast, but for the remaining two categories it is important to distinguish between the short- and long-run elasticities: the initial response of revenue to changes in the bases is weak. In the case of wage tax it takes half a year for the elasticity to surpass unity.
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Do Borders Really Slash Trade?: A Meta-Analysis
Havránek, Tomáš ; Iršová, Zuzana
National borders reduce trade, but most estimates of the border effect seem puzzlingly large. We show that major methodological innovations of the last decade combine to shrink the border effect to a one-third reduction in international trade flows worldwide. The border effect varies across regions: it is substantial in emerging countries, but relatively small in OECD countries. For the computation we collect 1,271 estimates of the border effect reported in 61 studies, codify 32 aspects of study design that may influence the estimates, and use Bayesian model averaging to take into account model uncertainty in meta-analysis. Our results suggest that methods systematically affect the estimated border effects. Especially important is the level of aggregation, measurement of internal and external distance, control for multilateral resistance, and treatment of zero trade flows. We find no evidence of publication bias.
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Cross-Country Heterogeneity in Intertemporal Substitution
Havránek, Tomáš ; Horváth, Roman ; Iršová, Zuzana ; Rusnák, Marek
We collect 2,735 estimates of the elasticity of intertemporal substitution in consumption from 169 published studies that cover 104 countries during different time periods. The estimates vary substantially from country to country, even after controlling for 30 aspects of study design. Our results suggest that income and asset market participation are the most effective factors in explaining the heterogeneity: households in rich countries and countries with high stock market participation substitute a larger fraction of consumption intertemporally in response to changes in expected asset returns. Micro-level studies that focus on sub-samples of rich households or asset holders also find systematically larger values of the elasticity.
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