A unified framework for nonperforming loan modeling in bank production: An application of data envelopment analysis
本文比较了三种环境方法在银行生产框架下建模不良贷款的效果，基于2003-2017年美国379家银行数据，发现物质平衡和副生产技术比联合弱可处置技术对效率估计更敏感，并揭示了各方法的独特性质。
The aim of this paper is to conduct a comparative analysis of three environmental approaches in the context of a bank production framework, considering the presence of nonperforming loans (NPLs). Specifically, we examine banks' inefficiency levels using the "by-production technology," "joint-weak disposable technology," and "material balanced technology." To ensure comparability within a directional slack inefficiency framework, we propose a two-step procedure. The study is based on a sample of 379 prominent banks operating in the United States from 2003 to 2017. Our findings reveal that the material balance and by-production technologies result in estimated inefficiency measures with higher sensitivity compared to the estimator utilizing the joint-weak disposable technology. Additionally, we identify distinct properties among the estimators, emphasizing their unique characteristics for modeling nonperforming loans. Finally, our paper sheds light on the differences between the three estimators in relation to banks' inefficiency levels, considering the incorporation of nonperforming loans in the production process.