A Quantile Regression Approach to Bank Efficiency Measurement

This Chapter presents an application of quantile regression analysis in estimating the cost efficiency of 1,520 commercial banks operating in 73 countries during 2000-2006. This approach allows us to estimate banks' cost function for various quantiles of the conditional distribution and to examine the tail behaviours of that distribution. In further analysis we also examine whether and how the impact of environmental factors differs across the various quantiles of efficiency. The employed methodological framework is of particular importance in light of the heterogeneity in bank efficiency across various countries