Browsing by Author "Almanidis, Pavlos"

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    Essays on Commercial Banking: Survival, Performance, and Heterogeneous Technologies
    (2011) Almanidis, Pavlos; Sickles, Robin
    In the first chapter, we focus on explaining the U.S. commercial banking failures during the recent financial crisis. We employ the semi-parametric mixture hazard model (MHM) with both continuous and discrete time specifications to first, distinguish between troubled and healthy banks and second, to estimate the probability and the timing of their failure. We combine the MHM with the stochastic frontier model (SFM) to explore the role of managerial inefficiency on a bank's longer term viability. We find that the discrete-time MHM which takes the managerial inefficiencies into account fits well and dominates other competing specifications by accurately predicting the timing of failures both in and out of the sample. The second chapter explores a new class of flexible cross-sectional parametric SFMs that impose an unobservable bound on the inefficiency term. We consider 11 doubly truncated normal, truncated half-normal, and truncated exponential distributions to model the inefficiencies. We extend the models to the panel data setting and specify a time-varying inefficiency bound. We apply these models to analyze the performance of the U.S. commercial banking industry during 1984-2009. In the third chapter, we address the issue of the "wrong" skewness of the least squares residuals that often arises in applied studies using the traditional SFM. Findings of "wrong" skewness imply that the SFM is misspecified and all firms are fully efficient. Based on doubly truncated normal distribution that displays both positive and negative skewness, we prove that "wrong" skewness does not necessarily imply that the SFM model is misspecified. The fourth chapter investigates the existence of heterogeneous technologies in the U.S. commercial banking industry through the threshold effects estimation techniques, modified to allow for time-varying effects. We employ the total assets as a threshold variable and determine seven distinct technology-groups. In the fifth chapter, we describe the commercial banking data that are extracted from the quarterly Consolidated Reports of Condition and Income (Call Reports). We detail the construction of the key variables used in this thesis, which mainly contain output quantities, input quantities and prices, bank-specific structural and geographical characteristics, as well as a number of measures of risk.
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    Semi-nonparametric spline modifications to the Cornwell–Schmidt–Sickles estimator: an analysis of US banking productivity
    (Springer, 2015) Almanidis, Pavlos; Karagiannis, Giannis; Sickles, Robin C.
    This paper modifies the Cornwell, Schmidt and Sickles [CSS (J Econom 46:185–200, 1990)] time-varying specification of technical efficiency to allow for switching patterns in temporal changes, which may occur more than once during the sample period. For this purpose, we move from the (second-order) polynomial specification of the standard CSS to a spline function setup, while keeping CSS’s flexibility regarding the cross-sectional dimension. The spline function specification of the temporal pattern of technical efficiency can accommodate more than one turning point and thus can be non-monotonic. This allows the modeler to account for firm or individual efficiency gains that can occur relatively quickly, for example, changes related to regulation or policy changes, as well as those related to ownership/organization changes (e.g., merger or acquisitions).