Bayesian nonparametric inference in bank business models with transient and persistent cost inefficiency
区分暂时与持续成本无效率的银行业务模式贝叶斯非参数推断
This paper introduces a novel econometric framework for identifying and modeling bank business models (BBMs), which dynamically evolve in response to changing financial and economic conditions. Building on the stochastic frontier literature, we extend the traditional cost-efficiency models by decomposing inefficiency into persistent and transient components. We propose a Bayesian nonparametric approach that adapts to the data through an infinite mixture model with…