Working Paper

Robust non-parametric quantile estimation of efficiency and productivity change in U.S. commercial banking, 1985-2004


Abstract: This paper describes a non-parametric, unconditional, hyperbolic quantile estimator that unlike traditional non-parametric frontier estimators is both robust to data outliers and has a root-n convergence rate. We use this estimator to examine changes in the efficiency and productivity of U.S. banks between 1985 and 2004. We find that larger banks experienced larger efficiency and productivity gains than small banks, consistent with the presumption that recent changes in regulation and information technology have favored larger banks.

Keywords: Production (Economic theory); Banks and banking;

Access Documents

File(s): File format is application/pdf http://research.stlouisfed.org/wp/2006/2006-041.pdf

Authors

Bibliographic Information

Provider: Federal Reserve Bank of St. Louis

Part of Series: Working Papers

Publication Date: 2007

Number: 2006-041