Benjamin Miranda Tabak

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Over the last decade, the Brazilian banking industry has undergone major and deep transformations with several privatizations of state-owned banks, mergers and acquisitions, closing down of troubled banks, entry by foreign banks, etc. The purpose of this paper is to evaluate the impacts of these changes in banking total factor productivity. We first obtain(More)
This paper investigates cost, technical and allocative efficiencies for Brazilian banks in the recent period (2000-2007). We use Data Envelopment Analysis (DEA) to compute efficiency scores. Brazilian banks were found to have low levels of economic (cost) efficiency compared to banks in Europe and in the US. For the period with high macroeconomic volatility(More)
Recent literature has focused on the study of systemic risk in complex networks. It is clear now, after the crisis of 2008, that the aggregate behavior of the interaction among the agents is not straightforward and it is very difficulty to predict. Contributing to this debate, this paper shows that the directed clustering coefficient may be used as a(More)
While the presence of long-range dependence in the asset returns seems to be a stylized fact, the issue of arguing the possible causes of this phenomena is totally obscure. Trying to shed light in this problem, we investigate the possible sources of the long-range dependence phenomena in the Brazilian Stock Market. For this purpose, we employ a sample which(More)
Many authors emphasize the importance of market structure in the definition of financial fragility; however, a study estimating the degree of completeness and heterogeneity of specific markets is still missing. In this paper, we address this issue. The paper contributes to the contagion literature by proposing measures of completeness and concentration(More)
(DEA) measures of technical efficiency to assess the significance of technical effects for Brazilian banks. Efficiency measurements are computed for a multiple output (securities, loans, and demand deposits) and for a combined measure of output. The factors or technical effects of interest in the analysis are bank nature (multiple and commercial), bank type(More)
This paper analyzes the efficiency of the Brazilian banking sector over the post-privatization period of 2000-2007. We employ a Bayesian stochastic frontier approach, which provides exact efficiency estimates and confidence intervals and thus, allows an accurate comparison across institutions and bank groups. The results suggest that large banks are the(More)
This article presents an empirical banking application illustrating the use of a nonparametric frontier model relying on a probabilistic definition of the production frontier. It investigates the statistical significance of nonperforming loans in productive efficiency for a sample of Brazilian banks using the concepts of conditional and unconditional(More)