Μακροοικονομική αποτίμηση της αποτελεσματικότητας του τραπεζικού συστήματος από τη δραστηριότητα των διεθνών μεταφορών και της ναυτιλίας

Μανιάτη, Μαρίνα Δ.

Evaluation of bank efficiency in the international transport and shipping sector

Doctoral Thesis

Author

Μανιάτη, Μαρίνα Δ.

Date

2016

Abstract

This thesis investigates the factors that may affect the decision of a bank to increase or decrease its loans to the shipping industry, taking into account its internal environment, as well as shipping market characteristics. In particular, based on bank performance aspect, it investigates the degree of the achieved objectives set by the shipping banks, depending on their efficiency, and the credibility factor of their decision. At the outset, we analyzed in depth the operational environment of shipping finance, focusing on the characteristics of shipping market, the risks involved and the relevant regulations that may affect the involvement of commercial banks in shipping finance. The analysis of the characteristics of shipping finance, combined with the extensive presentation of specific shipping submarkets (dry bulk and liquid cargo, which account for nearly all of the sea trade), proves why shipping is a high risk and volatile (in terms of freight rates and asset prices) market for banks. Based on the analysis of banks’ behavior and services’ production, the mathematical model to estimate the efficiency of shipping banks was developed with the method of Data Envelopment Analysis (D.E.A.). The model applied was based on the intermediate approach of banking operation with orientation in outputs (output oriented), while models were executed both with constant and variable returns to scale (CRS and VRS approaches) in order to detect any differences in banks’ TE in terms of technology. In addition, regression analysis was used in order to test for potential exogenous variables that affect technical efficiency. Statistically significant variables are total deposits and total assets for both te-CRS, te-VRS and ROE (Return On Equity) for te-VRS. Technical Efficiency is proved to be higher under the assumption of variable returns to scale (VRS DEA model) when comparing to constant returns (CRS DEA model). Banks during the study period are technically inefficient, suggesting that market factors may influence the operation of shipping banks. The existence of non-technical efficiency in shipping banks raises questions about their decision to continue financing such a risky and heterogeneous market, despite the regulations set by the Basel Convention. In order to define the factors that may affect the amount of loans for the shipping industry the next year (based on previous years’ experience); we firstly analyzed the internal factors of the operational environment of banks in combination with the external factors associated with the submarkets of dry bulk and liquid cargo. The analysis was carried out by applying the credibility factor to the decision of a shipping bank to either increase or decrease financing in the relevant submarkets. Implicitly, to assess the most important variables, Principal Component Analysis - PCA was applied, which is the most suitable method in case of Data Mining (Big Data Analysis), in order to recover hidden multiple relationships and optimize the description of the whole variables’ space by decreasing its dimensionality. Based on PCA results, eight variables were remarkably selected for the dry bulk market arising from New Building Market (BNBPI – Bulkers New Building Price Index), S&P Market (BSHPIC – Bulkers Second Hand Price Index), sea trade (AUGE, Australian Grain Export, EU12GE Europe 12 Grain Export), derivative demand for dry bulk transport (GDPNKO – GDP Korea, GDPIN - GDP India, GDPCN – GDP China) and shipping finance (LIBOR). As far as liquid bulk market is concerned, six variables were selected from New Building Market (TNB – Tanker New Building), S&P Market (TSHPIC – Tanker Second Hand Price Index), Freight Market (WAET - Weighted Average Earnings), sea trade and derivative demand for liquid bulk transport (TSEX - Red Sea Exports, MEOPR - Mid-East Oil Production) and shipping finance (ERJ- Exchange Rates Japan). These variables arising from the operational environment of both dry bulk and liquid bulk market were used as the most important variables for the estimation model developed with respect to shipping environment. In addition, the credibility factor for each variable arising from the internal operational environment of a shipping bank was estimated for a five years’ period with the resulting quantitative or qualitative rate revealing bank’s position in relation to the average of all shipping banks. The combination of the aforementioned variables led to new mathematical models that link dry bulk and liquid bulk market characteristics with the decision of a shipping bank to increase or decrease financing. The relevant formulas accumulate the internal forces within the bank, the general environment of all banks, as well as the conditions within the dry bulk market through GDP China and the liquid bulk market through ERJ (Exchange Rates Japan). Credibility factor has the opposite effect on financing when ERJ (Exchange Rates Japan) and GDPCN (GDP China) changes have the same sign. Verification is an indication of credibility of the proposed model based on: a) the Principal Component Analysis, b) the Regression Analysis and c) the Bühlmann credibility model applied at stochastic and empirical level. Overall this thesis, estimates for the first time the technical efficiency of shipping banks, reveals the most important factors arising from both internal and external factors based on Principal Components Analysis and contributes to the development of a specific methodological framework for shipping finance with respect to bank efficiency and credibility. This may be considered as a decision support tool, taking into account credibility factor in decision making process, the policy each bank wants to follow in the market, as well as the most important variables arising from the internal operational environment and the shipping market as a category of international transport industry.

Department

Σχολή Οικονομικών, Επιχειρηματικών και Διεθνών Σπουδών. Τμήμα Οικονομικής Επιστήμης

Number of pages

241

Language

Greek

URI

https://dione.lib.unipi.gr/xmlui/handle/unipi/10131

Collections

Τμήμα Οικονομικής Επιστήμης

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