This thesis contributes via the concept of efficiency in four distinct fields of the fi nancial economics and banking literature: technological heterogeneity, liquidity creation, profitability, and stability of banks. In Chapter 1 we motivate the analysis by presenting the main developments that have been taking place in the banking sector as far as these four elds are concerned and highlight their importance to the appropriate functioning of the nancial system and of the economy overall. In Chapter 2 we address the issue that conventional surveys on bank efficiency draw conclusions based on the assumption that all banks in a sample use the same production technology. However, efficiency estimates can be severely distorted if the existence of unobserved differences in technological regimes is not taken into consideration. We estimate the unobserved heterogeneity in banking technologies using a latent class stochastic frontier model. In order to arrive at a policy implication that is valid across time and markets, we present two applications of the model using separately data from the UK and Greek banking sector over the periods 1987-2011 and 1993-2011 respectively. To increase the precision of our inferences, we adopt two distinct empirical methodologies: a panel data method and a pooled cross-section modelling strategy. Our results reveal that bank-heterogeneity in both banking sectors can be controlled for two technological regimes. We find a trade-o¤ between the level of sophistication within a fi nancial system and its level of aggregate efficiency. Consistency among the results is established under both methodologies. Further, we propose a methodology with regard to M&As activity of UK and Greek banks within a latent class context. We examine numerous potential M&A scenarios among banks that belong to different technological regimes, and we test whether there is a transition of the new banks to a more efficient technological class resulting from this M&A activity. We find strong evidence that new financial institutions can be better equipped to withstand potential adverse economic conditions. Finally, we cast doubt on what the true motivation for M&A activity is and we extract important policy inferences in terms of social welfare. In Chapter 3 we introduce the "Cost Efficiency - Liquidity Creation Hypothesis" (CELCH) according to which a rise in a bank s cost efficiency level increases its level of liquidity creation. By employing a novel stress test scenario under a PVAR methodology, we test the CELCH and the direction of causality among liquidity creation and cost efficiency variables in the UK and Greek banking sector. Moreover using new measures of liquidity creation (Berger and Bouwman, 2009) we address the question of whether potential M&As can enhance liquidity creation and create additional credit channels in the economy. We evaluate and compare the robustness of potential consolidation scenarios by employing half - life measures (Chortareas and Kapetanios 2013). We show a positive impact of cost efficiency on liquidity creation in line with CELCH. The empirical evidence further suggests that potential consolidation activity can enhance the ow of credit in the economy. Bank shocks seem to be the most persistent on both liquidity creation and cost efficiency and the UK banking system is found to withstand more effectively adverse economic conditions. Finally, we cast doubts on the strategy followed by policy authorities regarding the recent wave of M&As in the Greek banking sector. In Chapter 4, we attempt to shed light on the trade-o¤ between fi nancial stability and efficiency. We highlight that current tests of banking efficiency do not take into account whether banks managers are taking too much or too little risk relative to the value maximising amount. We assume that moving from an intermediary bank type balance sheet to an investment bank type not only changes the risk-return combination of the balance sheet but also increases the banks degree of instability, that is the probability of insolvency when adverse effects occur. To this extent, we propose a new efficiency measure which incorporates all the aforementioned ambiguous points. An empirical investigation of US commercial banks between 2003-2012 suggests that our proposed risk-adjusted index has superior explanatory power with respect to banks profi tability and gives better predictions compared to conventional banking efficiency measures. This holds after various robustness checks. Chapter 5 summarizes the main findings of all three distinct studies and concludes by highlighting the importance and the contributing points of the thesis in the banking and financial economics literature.

China has undertaken a series of comprehensive economic and banking reform programs over the past three decades. As part of the WTO agreement, the domestic financial sector is fully open to foreign investors from WTO member countries in 2006. To answer the challenges, the policy makers and management of SOCB have been introducing two major steps to improve the Competitiveness of the commercial banks: transfer the bad debts to asset management companies and inject foreign exchange reserves to capital. However, the qualitative study shows that the general performance of the state-owned commercial banks is unstable during this period. It is high time that the consequences and efficiency of the reform were examined on an objective basis. This research offers a careful and rigorous examination of the condition and determinants of banking efficiency and competitiveness in China, with the focus on the state-owned commercial banks. The key contribution of this study is to develop a comprehensive empirical framework to measure and explain the performance of the state-owned commercial banks during the crucial transitional period from 1998 to 2003. This research examines the banking market conditions on the basis of a synthesis of the traditional Structure-Conduct-Performance paradigm and other alternative hypotheses. The thesis reveals that the state-owned commercial banks still dominate in both retail and business banking markets. The interest earnings remain the dominant source of commercial revenues. Due to the special relationship with government and their operational characters in the financial market, the state-owned commercial banks are not sensitive to monetary policy adjustments. The competition from other type of commercial banks has been strengthening, but the impact is rather limited. The main contribution of this study to the empirical literature on the Chinese banking market is the employment of the Data Envelopment Analysis to measure the efficiency of the state-owned commercial banks at provincial level, followed by a panel econometric investigation into the differences in banking efficiency across the stat-owned commercial banking groups as well as individual provinces. The results show that the level of banking efficiency was generally very low and there was a significant extent of input surplus among the provincial branches. The source of inefficiency is different among individual banking groups. The econometric study reveals that the SOCBs benefit from the concentrated market structure and strong complementary relationship with their traditional business areas. The empirical results have also shed light on further policy measures to enhance banking competition and performance in China.

Os benefícios que a Tecnologia da Informação (TI) tem trazido à sociedade e às organizações vem aumentado ao longo do tempo. A TI tem se desenvolvido com uma rapidez muito grande, prometendo ganhos de eficiência e aumentos na produtividade das empresas. Nos últimos anos, inúmeras organizações têm investido altas quantias em TI, independentemente do setor em que atuam. Dentro deste contexto, observa-se que o setor bancário tem se destacado, pois os recursos destinados para investimentos em TI crescem em ritmo acelerado. Entretanto, a falta de boas medidas quantitativas para mensurar o impacto destes investimentos na produtividade dificulta sua comprovação. Desta forma, fazem-se necessários estudos que apliquem métodos de análise temporal dos investimentos em TI, já que este tipo de investimento não apresenta resultado imediato. Buscando sanar esta lacuna, este trabalho utilizou a metodologia Análise Envoltória de Dados (DEA), que visa analisar eficiência de instituições homogêneas de forma relativa. A partir desta técnica, buscou-se analisar o efeito das variações dos investimentos em TI de um ano para outro nas variações da eficiência relativa dessas instituições em até quatro períodos seguintes ao investimento, visando identificar uma possível regularidade cíclica. Utilizou-se um banco de dados contendo treze anos de informações contábeis de 260 bancos em atuação no Brasil. Dentre as principais conclusões obtidas a partir do teste de diferenças de média, destaca-se que os aumentos dos Investimentos em TI de um ano para outro não são traduzidos em aumentos de eficiência no ano seguinte à sua realização, em nenhum dos três momentos de conversão estudados. Analisadas as defasagens temporais das variações das eficiências em dois, três e quatro anos após o incremento dos Investimentos em TI, percebeu-se que no momento de Conversão II, este foi traduzido em eficiência ao transformar Ativos em Receitas Líquidas. Já na Conversão Global, o período para reverter de forma direta, a variação dos investimentos em TI em variação de eficiência relativa, é de dois anos. A Conversão I, que representa a capacidade do banco ser competitivo, ao transformar Despesas em Ativos, não apresentou significância nos intervalos de tempo analisados no estudo. / The benefits brought by Information Technology (IT) to the society and to organizations have increased over time. IT has been developed very quickly, promising companies’ increases in efficiency and productivity. Lately, many organizations have invested great sums in IT, regardless of the sector in which they operate. Within this context, the banking sector has gain a prominent position, since its resources in IT investments grow at an accelerated rhythm. However, the lack of good quantitative measures to mensurate the impact of these investments on productivity complicates its evidence. Thus, studies that apply temporal analysis methods of IT investments become necessary, since this type of investment does not show immediate results. Trying to heal this gap, this study has used the Data Envelopment Analysis (DEA) methodology which aims to analyze the efficiency of homogeneous institutions in a relative way. With this technique, the effect of the variation in IT spending from one year to another in the variations of relative efficiency of these institutions has been analyzed up to four periods following the investment, in order to identify a possible cyclical regularity. A database containing thirteen years of accounting information from 260 banks in operation in Brazil was used. Among the main results from the mean differences test, deserves attention the fact that in none of the three stages of conversion studied increases in IT investments from one year to another are translated into increases in efficiency in the years following its implementation. Analyzed the temporal discrepancies of the changes in efficiencies in two, three and four years after the increase of IT investments, it was noticed that at the time of Conversion II, this has been translated into efficiency to transform Assets in Revenues. However, in the Global Conversion the period to directly reverse the variation in IT investments in variation of relative efficiency is two years. Representing the bank's ability to be competitive, Conversion I showed no significance when Expenses were turns into Assets in the time intervals analyzed in this study.

Os benefícios que a Tecnologia da Informação (TI) tem trazido à sociedade e às organizações vem aumentado ao longo do tempo. A TI tem se desenvolvido com uma rapidez muito grande, prometendo ganhos de eficiência e aumentos na produtividade das empresas. Nos últimos anos, inúmeras organizações têm investido altas quantias em TI, independentemente do setor em que atuam. Dentro deste contexto, observa-se que o setor bancário tem se destacado, pois os recursos destinados para investimentos em TI crescem em ritmo acelerado. Entretanto, a falta de boas medidas quantitativas para mensurar o impacto destes investimentos na produtividade dificulta sua comprovação. Desta forma, fazem-se necessários estudos que apliquem métodos de análise temporal dos investimentos em TI, já que este tipo de investimento não apresenta resultado imediato. Buscando sanar esta lacuna, este trabalho utilizou a metodologia Análise Envoltória de Dados (DEA), que visa analisar eficiência de instituições homogêneas de forma relativa. A partir desta técnica, buscou-se analisar o efeito das variações dos investimentos em TI de um ano para outro nas variações da eficiência relativa dessas instituições em até quatro períodos seguintes ao investimento, visando identificar uma possível regularidade cíclica. Utilizou-se um banco de dados contendo treze anos de informações contábeis de 260 bancos em atuação no Brasil. Dentre as principais conclusões obtidas a partir do teste de diferenças de média, destaca-se que os aumentos dos Investimentos em TI de um ano para outro não são traduzidos em aumentos de eficiência no ano seguinte à sua realização, em nenhum dos três momentos de conversão estudados. Analisadas as defasagens temporais das variações das eficiências em dois, três e quatro anos após o incremento dos Investimentos em TI, percebeu-se que no momento de Conversão II, este foi traduzido em eficiência ao transformar Ativos em Receitas Líquidas. Já na Conversão Global, o período para reverter de forma direta, a variação dos investimentos em TI em variação de eficiência relativa, é de dois anos. A Conversão I, que representa a capacidade do banco ser competitivo, ao transformar Despesas em Ativos, não apresentou significância nos intervalos de tempo analisados no estudo. / The benefits brought by Information Technology (IT) to the society and to organizations have increased over time. IT has been developed very quickly, promising companies’ increases in efficiency and productivity. Lately, many organizations have invested great sums in IT, regardless of the sector in which they operate. Within this context, the banking sector has gain a prominent position, since its resources in IT investments grow at an accelerated rhythm. However, the lack of good quantitative measures to mensurate the impact of these investments on productivity complicates its evidence. Thus, studies that apply temporal analysis methods of IT investments become necessary, since this type of investment does not show immediate results. Trying to heal this gap, this study has used the Data Envelopment Analysis (DEA) methodology which aims to analyze the efficiency of homogeneous institutions in a relative way. With this technique, the effect of the variation in IT spending from one year to another in the variations of relative efficiency of these institutions has been analyzed up to four periods following the investment, in order to identify a possible cyclical regularity. A database containing thirteen years of accounting information from 260 banks in operation in Brazil was used. Among the main results from the mean differences test, deserves attention the fact that in none of the three stages of conversion studied increases in IT investments from one year to another are translated into increases in efficiency in the years following its implementation. Analyzed the temporal discrepancies of the changes in efficiencies in two, three and four years after the increase of IT investments, it was noticed that at the time of Conversion II, this has been translated into efficiency to transform Assets in Revenues. However, in the Global Conversion the period to directly reverse the variation in IT investments in variation of relative efficiency is two years. Representing the bank's ability to be competitive, Conversion I showed no significance when Expenses were turns into Assets in the time intervals analyzed in this study.

Os benefícios que a Tecnologia da Informação (TI) tem trazido à sociedade e às organizações vem aumentado ao longo do tempo. A TI tem se desenvolvido com uma rapidez muito grande, prometendo ganhos de eficiência e aumentos na produtividade das empresas. Nos últimos anos, inúmeras organizações têm investido altas quantias em TI, independentemente do setor em que atuam. Dentro deste contexto, observa-se que o setor bancário tem se destacado, pois os recursos destinados para investimentos em TI crescem em ritmo acelerado. Entretanto, a falta de boas medidas quantitativas para mensurar o impacto destes investimentos na produtividade dificulta sua comprovação. Desta forma, fazem-se necessários estudos que apliquem métodos de análise temporal dos investimentos em TI, já que este tipo de investimento não apresenta resultado imediato. Buscando sanar esta lacuna, este trabalho utilizou a metodologia Análise Envoltória de Dados (DEA), que visa analisar eficiência de instituições homogêneas de forma relativa. A partir desta técnica, buscou-se analisar o efeito das variações dos investimentos em TI de um ano para outro nas variações da eficiência relativa dessas instituições em até quatro períodos seguintes ao investimento, visando identificar uma possível regularidade cíclica. Utilizou-se um banco de dados contendo treze anos de informações contábeis de 260 bancos em atuação no Brasil. Dentre as principais conclusões obtidas a partir do teste de diferenças de média, destaca-se que os aumentos dos Investimentos em TI de um ano para outro não são traduzidos em aumentos de eficiência no ano seguinte à sua realização, em nenhum dos três momentos de conversão estudados. Analisadas as defasagens temporais das variações das eficiências em dois, três e quatro anos após o incremento dos Investimentos em TI, percebeu-se que no momento de Conversão II, este foi traduzido em eficiência ao transformar Ativos em Receitas Líquidas. Já na Conversão Global, o período para reverter de forma direta, a variação dos investimentos em TI em variação de eficiência relativa, é de dois anos. A Conversão I, que representa a capacidade do banco ser competitivo, ao transformar Despesas em Ativos, não apresentou significância nos intervalos de tempo analisados no estudo. / The benefits brought by Information Technology (IT) to the society and to organizations have increased over time. IT has been developed very quickly, promising companies’ increases in efficiency and productivity. Lately, many organizations have invested great sums in IT, regardless of the sector in which they operate. Within this context, the banking sector has gain a prominent position, since its resources in IT investments grow at an accelerated rhythm. However, the lack of good quantitative measures to mensurate the impact of these investments on productivity complicates its evidence. Thus, studies that apply temporal analysis methods of IT investments become necessary, since this type of investment does not show immediate results. Trying to heal this gap, this study has used the Data Envelopment Analysis (DEA) methodology which aims to analyze the efficiency of homogeneous institutions in a relative way. With this technique, the effect of the variation in IT spending from one year to another in the variations of relative efficiency of these institutions has been analyzed up to four periods following the investment, in order to identify a possible cyclical regularity. A database containing thirteen years of accounting information from 260 banks in operation in Brazil was used. Among the main results from the mean differences test, deserves attention the fact that in none of the three stages of conversion studied increases in IT investments from one year to another are translated into increases in efficiency in the years following its implementation. Analyzed the temporal discrepancies of the changes in efficiencies in two, three and four years after the increase of IT investments, it was noticed that at the time of Conversion II, this has been translated into efficiency to transform Assets in Revenues. However, in the Global Conversion the period to directly reverse the variation in IT investments in variation of relative efficiency is two years. Representing the bank's ability to be competitive, Conversion I showed no significance when Expenses were turns into Assets in the time intervals analyzed in this study.

Submitted by GILMAR ALVES LIMA (gilmaralveslima@gmail.com) on 2017-03-02T01:24:55Z No. of bitstreams: 1 Dissertacao GilmarAlveLima Versao_Final_Pos_Banca_v2.pdf: 1259267 bytes, checksum: f8265a1e8b51deb97de3ad6305c5e196 (MD5) / Rejected by Renata de Souza Nascimento (renata.souza@fgv.br), reason: Gilmar, boa tarde Para que possamos aceitar seu trabalho, por gentileza, é necessário de retire a acentuação do nome Getúlio. Outra questão, foi solicitado alteração no título de seu trabalho? Pois no protocolo entregue e em Ata, consta: O PREÇO DAS COMMODITIES IMPORTA? EFICIÊNCIA OPERACIONAL DOS BANCOS BRASILEIROS E A QUEDA RECENTE NOS PREÇOS DAS COMMODITIES. Se não houve alteração, deve estar igual a Ata. Att on 2017-03-02T19:22:40Z (GMT) / Submitted by GILMAR ALVES LIMA (gilmaralveslima@gmail.com) on 2017-03-06T09:55:52Z No. of bitstreams: 1 Dissertacao_Gilmar_Alves_Lima.pdf: 1258747 bytes, checksum: b97759b1af8d57267d2b823d2f8dd0ab (MD5) / Approved for entry into archive by Renata de Souza Nascimento (renata.souza@fgv.br) on 2017-03-07T00:04:07Z (GMT) No. of bitstreams: 1 Dissertacao_Gilmar_Alves_Lima.pdf: 1258747 bytes, checksum: b97759b1af8d57267d2b823d2f8dd0ab (MD5) / Made available in DSpace on 2017-03-07T18:39:43Z (GMT). No. of bitstreams: 1 Dissertacao_Gilmar_Alves_Lima.pdf: 1258747 bytes, checksum: b97759b1af8d57267d2b823d2f8dd0ab (MD5) Previous issue date: 2017-01-31 / This work analyzes the effect of the recent drop in commodity prices, starting from march 2014, on the level of efficiency of Brazilian banks. The core target of this paper is to observe whether, in general, adverse shocks tend to make banks more efficient due to the restrictions that these situations impose. For this investigation, it was necessary to collect the data from the Brazilian conglomerates and independent financial institutions (except for development banks) from March 2011 to September 2016. The Risk Weighted Assets - RWA related to the exposure due to the variation of commodity prices (RWACOM) were used to ascertain the exposure to commodities throughout this time. The results indicate that the recent drop in commodity prices did not influence the gain or loss of efficiency of Brazilian banks more exposed to price changes. / Este trabalho apresenta o efeito da queda recente nos preços das commodities, ocorrida a partir de março de 2014, sobre o nível de eficiência dos bancos brasileiros. A partir dessa relação, objetiva-se verificar se, de um modo geral, os choques adversos tendem a tornar os bancos mais eficientes, dadas as restrições que eles impõem. Para essa investigação, foram coletados dados dos conglomerados e instituições financeiras independentes (exceto bancos de desenvolvimento) brasileiros durante o período de março de 2011 a setembro de 2016. Para verificar a exposição a commodities nesse período, foi utilizada a parcela do ativo ponderado pelo risco (Risk Weighted Assets - RWA) referente às exposições sujeitas à variação dos preços das commodities (RWACOM). Os resultados indicam que a queda recente nos preços das commodities não influenciou no ganho ou perda de eficiência dos bancos brasileiros mais expostos às variações nos preços.

本文採取隨機方向距離函數方法，探討制度變革前、後(第一次金融改革)對台灣銀行業技術效率的影響。資料期間涵蓋1999年至2012年。相較傳統Shephard距離函數，隨機方向距離函數方法最大優點係可同時考量增加意欲產出、減少投入與非意欲產出。本文依循Koutsomanoli-Filippaki et al. (2009a) 模型，並納入考慮非意欲產出。本文採取隨機邊界法進行實證估計，以最大概似法估計方向距離函數，依據Battese and Coelli (1995)的模型將環境變數納入實證模型 (主要模型)，並考量未包含環境變數之模型，與主要模型比較。此外，為凸顯非意欲產出之重要性，本文亦估計未考慮非意欲產出之模型以及傳統距離函數，以茲比較。 實證結果顯示，考慮非意欲產出與環境變數的主要模型，其估計結果相較其他模型之無效率明顯高估。2002年以前，技術無效率逐漸攀升。一次金改期間，技術無效率明顯下降，證明制度變革下，銀行效率獲得改善。惟2004年後反轉向上，尤其在雙卡風暴與次貸風暴期間，技術無效率明顯惡化。此外，本文將資料分群進行分析，發現公營銀行或是金控銀行較有效率。 / This paper aims to gain further insights into whether the policy of First Financial Restructuring (FFR) does improve the technical efficiency of banks in Taiwan during the period 1999-2012 by using the directional technology distance function (DDF). Compared to the conventional distance function, DDF simultaneously allows for the expansion of the desirables and the contraction of the undesirables. We follow Koutsomanoli-Filippaki et al. (2009a), and differing from them, we include undesirable outputs in DDF to depict a bank’s true production activities. We find on average that the banks have a lower technical inefficiency with the main model compared to the other models. However, prior to 2002, the technical inefficiency exhibits a gradual upward trend and then posts a downward trend during the FFR period. These results suggest that the improved efficiency in the FFR period is possibly due to enhanced banking and benefits obtained from compliance with FFR. After the FFR period, the inefficiency scores deteriorate sharply, especially during the “credit card and cash card crisis” in 2006 and “the subprime mortgage crisis” in 2008. Public banks are more efficient than private banks. Banks belonging to a financial holding company (FHC) may operate more efficiently than those belonging to a non-FHC.