Weather Conditions and Bank Loans Efficiency in US Banking: A Panel VAR Approach

47 Pages Posted: 10 Sep 2011

See all articles by Nicholas Apergis

Nicholas Apergis

University of Piraeus; University of Derby

Panayotis Artikis

University of Piraeus

Emmanuel C. Mamatzakis

University of Sussex - School of Business, Management and Economics

Date Written: July 10, 2011

Abstract

An issue that has not been dealt in the literature refers to the relationship between bank loan efficiency and weather conditions. This paper provides empirical evidence, for the first time, that sheds new light into the dynamic interactions between weather and bank loan efficiency, using a panel data set that includes 69 banks operating in the US spanning the period 1999 to 2009. Bank loan inefficiency is derived using a stochastic frontier production approach. We also estimate productive inefficiency using a directional technology distance function framework. Then, we employ a Panel-VAR model to derive orthogonalised impulse response functions and variance decompositions, which show responses of the main variables, weather and bank loan inefficiency, to orthogonal shocks.

Keywords: Bank loan efficiency, weather, panel VAR, causality

JEL Classification: G21, G28, D21

Suggested Citation

Apergis, Nicholas and Artikis, Panayotis and Mamatzakis, Emmanuel C., Weather Conditions and Bank Loans Efficiency in US Banking: A Panel VAR Approach (July 10, 2011). Available at SSRN: https://ssrn.com/abstract=1925367 or http://dx.doi.org/10.2139/ssrn.1925367

Nicholas Apergis (Contact Author)

University of Piraeus ( email )

Karaoli and Dimitriou 80
80 KARAOLI & DIMITRIOU STREET
Piraeus, Attiki 18534
Greece

University of Derby ( email )

Kedleston Road
Derby, Derbyshire DE22 1GB
United Kingdom

Panayotis Artikis

University of Piraeus ( email )

Karaoli and Dimitriou 80
80 KARAOLI & DIMITRIOU STREET
Piraeus, Attiki 18534
Greece

Emmanuel C. Mamatzakis

University of Sussex - School of Business, Management and Economics ( email )

Falmer, Brighton BN1 9SL
United Kingdom

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