Correcting for productivity growth misspecification:A local likelihood estimation in global banking

Mamatzakis, Emmanuel and Tsionas, Mike (2023) Correcting for productivity growth misspecification:A local likelihood estimation in global banking. International Journal of Finance and Economics. ISSN 1076-9307

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Abstract

Decomposing firm productivity has been challenging for some time. We propose a flexible functional form for total factor productivity that treats misspecification and endogeneity. The model also treats heteroscedasticity. Our productivity measure nests both the input distance function and output distance function. We provide details of a novel Local Likelihood estimation, a non-parametric technique, to estimate productivity which also has excellent finite-sample properties. In an empirical application, we measure bank productivity at the global level. Results show that productivity is correctly identified, and the flexibility of our methodology allows to estimate the impact of equity and nonperforming loans on bank productivity. Technology has positively contributed to productivity. However, nonperforming loans, bank risk-taking and raising capital have had the opposite effect.

Item Type:
Journal Article
Journal or Publication Title:
International Journal of Finance and Economics
Additional Information:
This is the peer reviewed version of the following article: Mamatzakis, E., & Tsionas, M. (2023). Correcting for productivity growth misspecification: A local likelihood estimation in global banking. International Journal of Finance & Economics, 1– 17. https://doi.org/10.1002/ijfe.2780 which has been published in final form at https://onlinelibrary.wiley.com/doi/10.1002/ijfe.2780 This article may be used for non-commercial purposes in accordance With Wiley Terms and Conditions for self-archiving.
Uncontrolled Keywords:
/dk/atira/pure/subjectarea/asjc/1400/1402
Subjects:
?? GLOBAL BANKINGLOCAL LIKELIHOOD ESTIMATIONMISSPECIFICATIONPRODUCTIVITYFINANCEECONOMICS AND ECONOMETRICSACCOUNTING ??
ID Code:
188481
Deposited By:
Deposited On:
09 Mar 2023 09:55
Refereed?:
Yes
Published?:
Published
Last Modified:
29 Sep 2023 01:40