Türk Bankalarında Etkinlik, Verimlilik ve Risk Analizi: Bootstrap Veri Zarflama Analizi Yaklaşımı

–Türk Bankalarında Etkinlik, Verimlilik ve Risk Analizi: Bootstrap Veri Zarflama Analizi Yaklaşımı Bu makale, Veri Zarflama Analizi VZA ve Malmquist Üretkenlik Endeksi’ni kullanarak 2007 küresel ekonomik krizinin Türk Bankacılık Sektörü üzerindeki etkilerini 2003-2010 dönemi boyunca incelemiştir. Ayrıca, risk ölçümü amacıyla her banka için risk ölçüsü tanımlanmış ve VZA yöntemiyle elde edilmiş olan etkinlik skorlarının belirleyicilerini analiz etmek amacıyla iki adımlı regresyon yapılmıştır. Ancak VZA etkinlik skorları arasındaki bağımlılık sebebiyle, regresyon analizinin temel varsayımlarından biri olan örneklemin bağımsızlığı ihlal edilmiştir. Bu nedenle, söz konusu ihlali gidermek ve analizden geçerli istatistiksel çıkarımlar yapabilmek amacıyla analizde bootstrapping yöntemi uygulanmıştır. Bu makale, VZA etkinlik ve üretkenlik endekslerini geliştirmek amacıyla literatürde önerilen dikkate değer bazı metodları, 2007 krizinin Türkiye üzerindeki etkilerini incelemek amacıyla bir arada uygulayarak mevcut DEA literatürüne katkıda bulunmayı amaçlamaktadır

Anahtar Kelimeler:

Veri Zarflama Analizi, Malmquist Üretkenlik Endeksi, Etkinlik ve Üretkenlik, Bootstrapping

Efficiency, Productivity and Risk Analysis in Turkish Banks: A Bootstrap DEA Approach

This paper, by using Data Envelopment Analysis DEA and Malmquist Productivity Index, addresses the impacts of 2007 global financial crisis on the efficiency and productivity of Turkish banks, during 2003-2010 periods. Moreover, a risk taking measure is introduced for each bank and two-stage regression is used to analyze the determinants of DEA efficiency scores. However, because of the existence of inherent dependency among DEA efficiency scores, the basic assumption of regression analysis, i.e., independence within the sample is violated. Hence, to overcome the dependency problem and to be able to make valid statistical inferences, bootstrapping method is applied. This paper attempts to extend the existing DEA literature by applying some of the remarkable methods suggested to improve DEA efficiency and productivity estimates altogether, for the case of Turkey to observe the impacts of recent 2007 global financial crisis

Keywords:

Data Envelopment Analysis, Malmquist Productivity Index, Efficiency and Productivity, Bootstrapping,

PDF

___

1. Aigner, D.J., Lovell C.A., Schmidt, P., 1997. “Formulation and Estimation of Stochastic Frontier Production Models”, Journal of Econometrics 6:21-37.
2. Andries, A.M., 2010. “The Determinants of Bank Efficiency and Productivity Growth in the Central and Eastern European Banking Systems, Faculty of Economics and Business Administration, Alexandru Ioan Cuza University of Iasi, Romania, Draft.
3. Amado, C. A. F., Dyson, R. G., 2006. “On Comparing the Performance of Primary Care Providers,” European Journal of Operational Research 185: 915- 932.
4. Aras, G., Kurt, T., 2007. “Efficiency and Risk Analysis in Turkish Banking System”, Yapi Kredi Economic Review 18: 49-68.
5. Ayranci, E., 2011. “The Efficiency of the Private Commercial Banking Sector In Turkey: A Managerial Approach”, Journal of International Business and Cultural Studies 4
6. Aysan, F.A., Ceyhan, S.P., 2007. “What Determines the Banking Sector Performance in Globalized Financial Markets: The Case of Turkey?”, Bogazici University, Department of Economics in its series Working Papers, 2007/21.
7. Aysan, F.A., Ceyhan, S.P., 2008. “Structural Change and Efficiency of Banking in Turkey: Does the Ownership Matter?”, Topics in Middle Eastern and North African Economies, MEEA Online Journal, 10.
8. Banker, R. D., Charnes A., Cooper W. W., 1984. “Models for Estimation of Technical and Scale Inefficiencies in Data Envelopment Analysis,” Management Science 30: 1078-1092.
9. Banker, R., Charnes A., Cooper W., 1984. “Some Models for Estimating Technical and Scale Efficiencies in Data Envelopment Analysis”, Management Science 30(9): 1078-92.
10. Benston, G.J., 1965. “Branch Banking and Economies of Scale”, Journal of Finance, 20(2): 312-331.
11. Berg, S.A., Forsund, F., Jansen, E.S., 1992. “Malmquist Indices of Productivity Growth during the Deregulation of Norwegian Banking, 1980-89,” Scandinavian Journal of Economics, Supplement 94: 211-228.
12. Borger, B., Kerstens, K. 2000. “The Malmquist Productivity Index and Plant Capacity Utilization,” Scandinavian Journal of Economics 102 (2): 303-310.
13. Casu, B., Molyneux, P., 2000. “A Comparative Study of Efficiency in European Banking”, School of Accounting, Banking and Economics, University of Wales, Bangor, LL57
14. Caves, D.W., Christensen L. R., Diewert W. E., 1982a. “Multiliteral Comparisons of Output, Input and Productivity Using Superlative Index Numbers,” Economics Journal 92: 73-86.
15. Caves, D.W., Christensen L. R., Diewert W. E., 1982b. “The Economic Theory of Index Numbers and the Measurement of Input, Output and Productivity,” Econometrica 50: 1393-1414.
16. Ceyhan, S.P., 2007. Essays on the Internalization of the Turkish Banking Sector: The Reasons and the Effects on Performance, (Unpublished master’s thesis). Department of Economics Boğaziçi University, İstanbul, TURKEY.
17. Charnes, A., Cooper W. W., Rhodes E., 1978. “Measuring the Efficiency of Decision Making Units,” European Journal of Operational Research 2(6): 429- 444.
18. Charnes, A., Cooper W. W., Rhodes E., 1979. “Short Communication: Measuring the Efficiency of Decision Making Units,” European Journal of Operational Research 3(4): 339.
19. Charnes, A., 1990. “Polyhedral Cone-ratio DEA models with an Illustrative Application to Large Commercial Banks”, Journal of Econometrics, 46: 73-91. 20. Cingi, S., Tarım, A., 2000. “Türk Banka Sisteminde Performans Ölçümü, DEAMalmquist TFP Endeksi Uygulaması”, TBB, İstanbul.
21. Coelli, T. J., 1996b. DEAP. A Guide to DEAP Version 2.1: A Data Envelopment Analysis Computer software. Cepa Working Paper 8/96, Department of Econometrics University of New England, Armidale, NSW 2351, Australia.
22. Coelli T.J., Prasada Rao D.S., Battese G. E., 1998. An Introduction to Efficiency and Productivity Analysis, Kluwer Academic Publishers.
23. Coelli, T J. et al., 2005. An Introduction to Efficiency and Productivity Analysis (2nd ed.). Springer Science and Business Media, LLC, USA.
24. Çolak, F., Altan, Ş., 2002. “Toplam Etkinlik Ölçümü: Türkiye’deki Özel ve Kamu Bankaları için Bir Uygulama”, İktisat, İşletme ve Finans Dergisi, 45: 45- 55.
25. Diler, M., 2009. The Impacts of Health Sector Reform on the Efficiency and Productivity of Public and Private Hospitals in Turkey, (Unpublished master’s thesis). Department of Economics Bilkent University, Ankara, TURKEY.
26. Efron, B. 1979. “Bootstrap Methods: Another Look at the Jackknife,” The Annals of Statistics 7 (1): 1-26.
27. Emrouznejad, A, Parker B.R., Tavares, G., 2008. “Evaluation of Reasearch in Efficiency and Productivity: A Survey and Analysis of the first 30 Years of Scholarly Literature in DEA,” Socio-Economic Planning Sciences 42: 151-157.
28. Fare, R., Grosskopf, S., Logan, J., 1983. “The Relative Efficiency of Illinois Electric Utilities,” Resources and Energy 5: 349-367.
29. Fare, R., Grosskopf S., Pasurka C., 1989b. “The Effect of Environmental Regulations on the Efficiency of Electric Utilities: 1969 versus 1975,” Applied Economics 21: 225-235.
30. Fare, R. et al. 1994b. “Productivity Growth, Technical Progress and Efficiency Change in Industrialized Countries,” American Economic Review 84: 66-83
31. Farrell, M. J. 1957. “The Measurement of Productive Efficiency,” Journal of Royal Statistics Society, Series A 120: 253-281.
32. Favero, C., Papi, L. 1995. “Technical Efficiency and Scale Efficiency in the Italian Banking Sector: A Non-Parametric Approach”, Applied Economics 27(4), 385-395.
33. Fox, J., 2005. “The R Commander: A Basic Statistics Graphical User Interface to R,” Journal of Statistical Software 19(9): 1-42.
34. Hall, P., 1992. The Bootstrap and Edgeworth Expansion, Springer Verlag, N.Y. 35. Howcroft, B., Ataullah, A., 2006. “Total Factor Productivity Change in the Commercial Banking Industry in India and Pakistan”, Service Industries Journal, Vol. 26 (2): 189-202.
36. Inanoğlu, H., El-Gamal, M.A., 2005. “Inefficiency and Heterogeneity in Turkish Banking: 1990-2000”, Journal of Applied Econometrics, 20 (5): 641-664.
37. Isik, I., Hassan M.K., 2002. “Technical, Scale and Allocative Efficiencies of Turkish Banking Industry.” Journal of Banking and Finance 26: 719-766.
38. Isik, I., Hassan M.K., 2003. “Financial Deregulation and Total Factor Productivity Change: An empirical Study of Turkish Commercial Banks.” Journal of Banking and Finance 27: 1-31.
39. Jackson, P.M., Fethi, M.D., İnal, G., 1998. “Efficiency and Productivity Growth in Turkish Commercial Banking Sector: A Non-Parametric Approach”, University of Leicester Efficiency and Productivity Research Unit, Leicester.
40. Karacabey, A. A., Arslan, B.H., 2004. “Analyzing the Production Changes of the Turkish Banking System”, Ankara University, Faculty of Political Sciences, Working Paper Series.
41. Laeven, L., 1997. “Risk and Efficiency in East Asian Banks”, The World Bank Press, New York.
42. Malmquist, S. 1953. “Index Numbers and Indifference Surfaces,” Trabajos de Estadistica 4: 209-242.
43. Matthews, K. 2011. “Risk Management and Managerial Efficiency in Chinese Banks: A Network DEA Framework”, HKIMR Working Paper No.10/2011
44. McAllister, P. H., McManus, D., 1993. “Resolving the scale efficiency puzzle in banking” Journal of Banking and Finance 17, 389-405.
45. McDonald, J., 2009. “Using Least Squares and Tobit in Second Stage DEA Efficiency Analysis”, European Journal of Operational Research, 197, 792-798.
46. OECD. 2008. OECD Health Data 2008: Statistics and Indicators for 30 Countries.
47. Olsen, R. J. 1978. “Note on the Uniqueness of the Maximum Likelihood Estimator for the Tobit Model,” Econometrica 46 (5): 1211-1215.
48. Öncü, S., Aktaş, R., 2007. “Yeniden Yapılandırma Döneminde Türk Bankacılık Sektöründe Verimlilik Değişimi”, Yönetim ve Ekonomi Dergisi 14 (1)
49. Pasupathy, K.S., 2002. Modeling Undesirable Outputs in Data Envelopment Analysis: Various Approaches (Unpublished master’s thesis). Faculty of the Virginia Polytechnic Institute and State University.
50. Ray, S., Desli, E., 1997. “Productivity Growth, Technical Progress and Efficiency Change in Industrialized Countries: A Déja Vu,” American Economic Review 87 (5): 1033-1039.
51. Rezitis, N.A., 2006. “Productivity Growth in the Greek Banking Industry: A non-parametric Approach”, Journal of Applied Economics, Universidad del CEMA, vol. 0, pages 119-138.
52. Saha A., Ravishankar T. S., 1999. “Rating of Indian commercial Banks: A DEA approach”, European Journal of Operational Research, 124, 187-203.
53. Sathye, M., 2003. “Efficiency of Banks in a Developing Economy: The Case of India”, European Journal of Operational Research, 148: 662-671.
54. Schmidt, P., 1986. “Frontier Production Functions”, Econometric Review, 4: 289-328
55. Shephard, R. W., 1953. Cost and Production Functions. Princeton: Princeton University Press.
56. Shephard, R. W., 1970. Theory of Cost and Production Frontiers. Princeton: NJ: Princeton University Press.
57. Sing G., Sing, P., Munisamy, S., 2008. “A Cross Country Comparison of Banking Efficiency: Asia Pacific Banks,” International Review of Business Research Papers, 4(3), 73-95.
58. Simar, L., Wilson, P. W., 1998. “Sensitivity Analysis of Efficiency Scores: How to Bootstrap in Nonparametric Frontier Models,” Management Science 44: 49-61.
59. Simar, L., Wilson, P. W., 1999. “Estimating and Bootstrapping Malmquist Indices,” European Journal of Operational Research 115: 459-471.
60. Simar, L., Wilson, P.W., 2000. “A General Methodology for Bootstrapping in Nonparametric Frontier Models,” Journal of Applied Statistics 27: 779-802.
61. Simar, L., Wilson, P. W., 2000. “Statistical Inference in Nonparametric Frontier Models: The State of the Art,” Journal of Productivity Analysis 13: 49-78.
62. Simar, L., Wilson, P. W., 2007. “Estimation and Inference in Two-Stage, SemiParametric Models of Production Processes,” Journal of Econometrics 136: 31- 64.
63. Sufian, F., 2009. “Determinants of Bank Efficiency During Unstable Macroeconomic Environment: Empirical Evidence from Malaysia”, Research in International Business and Finance, 23: 54-77.
64. Sufian, F., 2009. “Sources of Total Factor Productivity Growth in the Malaysian Islamic Banking Sector”, The Service Industries Journal, 29 (9): 2009.
65. Thangavelu, S. M., Findlay, C., 2010. “Bank Efficiency Regulation and Response to Crisis of Financial Institutions in Selected Asian Countries”, presented at ERIA Workshop Program “Linkages Between Real and Financial Aspects of Economic Integration in East Asia”, February 28-March 1st, Intercontinental Hotel, Singapore.
66. Vujcic, B., Jemric, I., 2001. “Efficiency of Banks in Transition: A DEA Approach”, presented at The Seventh Dubrovnik Economic Conference Current Issues In Emerging Market Economies, organized by Croatian National Bank.
67. Wheelock, D.C., Wilson, P.W., 1995. “Explaining Bank Failures: Deposit Insurance, Regulation and Efficiency”, Review of Economics and Statistics, 77: 689-700.
68. Wilson, P. W., 1993. “Detecting Outliers in Deterministic Nonparametric Frontier Models with Multiple Outputs,” Journal of Business and Economic Statistics 11: 319-323.
69. Wilson, P. W., 2008. FEAR. “A Software Package for Frontier Efficiency Analysis with R” Computer Software. Socio-Economic Planning Sciences 42: 247-254.
70. Xue M., Harker P.T., 1999. “Overcoming the Inherent Dependency of DEA Efficiency Scores: A Bootstrap Approach”, Working paper 99 –17 (Financial Institution Center, The Wharton School, University of Pennsylvania).
71. Zaim, O., 1995. “The Effect of Financial Liberalization on the Efficiency of Turkish Commercial Banks”, Applied Financial Economics, 5, 275-64
72. Zaim, O., Ertuğrul, A., 1996. “Türk Bankacılığında Etkinlik: Tarihi Gelişim Kantitatif Analiz”, Bilkamat İşletme ve Finans Yayınları, 3
73. Zaim, O., Taşkın, F., 1997. “The Comparative Performance of the Public Enterprise Sector in Turkey: A Malmquist Productivity Index Approach,” Journal of Comparative Economics 25: 129-157.
74. Zaim, O., Taşkın, F., 1997. “Catching-up and Innovation in High and LowIncome Countries,” Economics Letters 54: 93-100.