4.7 Article

An illustration of dynamic network DEA in commercial banking including robustness tests

期刊

出版社

PERGAMON-ELSEVIER SCIENCE LTD
DOI: 10.1016/j.omega.2014.07.002

关键词

Dynamic network DEA; Robustness; Banks as networks; Inter-temporal bank performance

资金

  1. Regulations of the People's Republic of China on Administration of Foreign
  2. Hong Kong Special Administrative Region
  3. Macao Special Administrative Region, or Taiwan

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The main motivation of this article is to illustrate dynamic network data envelopment analysis (DN-DEA) in commercial banking with emphasis on testing robustness. To this end, sixteen foreign banks in China are benchmarked against thirty-two domestic banks for the post-2007 period that follows major reforms. When network and dynamic dimensions are brought together, a more comprehensive analysis of the period 2008-2010 is enabled where divisional and between-period interactions are reflected in efficiency estimates. Weighted, variable returns-to-scale, non-oriented dynamic network slacks-based measure is used within the framework of the intermediation approach to bank behavior. A bank network (i.e., a decision-making unit, DMU) is conceptualized as comprised of two divisions or sub-DMUs, namely, interest-bearing operations and non-interest operations linked by number of referrals. Undesirable outputs from sub-DMUs 1 and 2 (non-performing loans, and proportion of fruitless referrals, respectively) are treated as carry-overs that impact the efficiency of the following periods. Under robustness testing, the illustrative application discusses discrimination by efficiency estimates, dimensionality of the performance model, stability of estimates through re-sampling (leave-one-out method), and sensitivity of results to divisional weights and returns-to-scale assumptions. The results based on Chinese commercial banks are illustrative in nature because of simulated data used on two of the variables. (C) 2014 Elsevier Ltd. All rights reserved.

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