Credit risk and technical efficiency in Brazilian credit unions

SANTOS, LUA SYRMA ZANIAH; BRESSAN, VALÉRIA GAMA FULLY; MOREIRA, VILMAR RODRIGUES; LIMA, ROMEU EUGÊNIO DE

doi:10.1590/1679-395120200001x

LUA SYRMA ZANIAH SANTOS

UNIVERSIDADE FEDERAL DE MINAS GERAIS (UFMG) / FACULDADE DE CIÊNCIAS ECONÔMICAS, DEPARTAMENTO DE CIÊNCIAS CONTÁBEIS, BELO HORIZONTE - MG, BRAZIL

http://orcid.org/0000-0003-3829-9530

VALÉRIA GAMA FULLY BRESSAN

UNIVERSIDADE FEDERAL DE MINAS GERAIS (UFMG) / FACULDADE DE CIÊNCIAS ECONÔMICAS, PROGRAMA DE PÓS-GRADUAÇÃO EM CONTROLADORIA E CONTABILIDADE DA FACE, BELO HORIZONTE - MG, BRAZIL

http://orcid.org/0000-0001-6340-9717

VILMAR RODRIGUES MOREIRA

PONTIFÍCIA UNIVERSIDADE CATÓLICA DO PARANÁ (PUCPR) / ESCOLA DE NEGÓCIOS, PROGRAMA DE PÓS-GRADUAÇÃO EM GESTÃO DE COOPERATIVAS, CURITIBA - PR, BRAZIL

http://orcid.org/0000-0003-1796-6752

ROMEU EUGÊNIO DE LIMA

BANCO CENTRAL DO BRASIL, BELO HORIZONTE - MG, BRAZIL

http://orcid.org/0000-0003-0464-1115

Lua Syrma Zaniah Santos - Master in Controllership and Accounting from the Federal University of Minas Gerais (UFMG), Belo Horizonte - MG, Brazil. E-mail: luasyrma@gmail.com

Valéria Gama Fully Bressan - D.Sc. in Applied Economics and Associate Professor at the Faculty of Economic Sciences from the Federal University of Minas Gerais (UFMG), Belo Horizonte - MG, Brazil. E-mail: valeriafully@ufmg.br

Vilmar Rodrigues Moreira - D.Sc. in Business Administration and Professor at the School of Business at the Pontifical Catholic University of Paraná (PUCPR), Curitiba - PR, Brazil. E-mail: vilmar.moreira@pucpr.br

Romeu Eugênio de Lima - D.Sc. in Administration from the Federal University of Minas Gerais (UFMG), Belo Horizonte - MG, Brazil. E-mail: romeu.lima@bcb.gov.br

Area of expertise	%
Controllership and finance in credit unions	17.65
Credit unions board manager	23.5
Credit unions manager	11.8
Professionals linked to the Bacen	11.76
Others *	35.29
Time of work in credit unions	%
Less than 10 years	18
10 to 20 years	41
Over 20 years	18
Do not work in credit unions or have not responded	23
Credit Union Member	%
Yes	76.5
No	23.5
Geographic distribution	%
South	29.4
Southeast	23.5
Midwest	17.7
Did not answer	29.4

	Variables	Abbreviation	Cosif Codes
Inputs	Total deposits	TD	[41000007]
	Funding expense	FE	[81100008]
	Borrowing and onlending expenses	BOE	[81200001]
	Expenses with bonds and securities Instrumentos Financeiros Derivativos	EBS	[81500000]
	Participation expenses	PE	[81600003]
	Provisioning and equity adjustments	PEA	[81800009]
	Other operating expenses	OOE	[81900002]
	Administrative expenses	AE	[81700006]
	Personnel expenses	PerE	[81718005] + [81727003] + [81730007] + [81733004] + [81736001] + [81737000] + [81990201]
Outputs	Credit operations	CO	[16000001]
	Surplus	SU	[61700002]
	Reserve	RS	[61300000] +[61400003] +[61500006]
	Income from credit operations	ICO	[71100001]
	Income from interbank liquidity applications	IILA	[71400000]
	Income bonds and securities Instrumentos FinPnceiros DeriSativos	IBS	[71500003]
	Income from servisse	IS	[71700009]
	Other operating income	OOI	[71900005]

	Y	SP	TE	DIV	CRDO	CRELALL	Total assets
Mean	99,78%	3,0742	172,6449	0,3792	19033,389	19100,0537	1,7674 e⁺¹¹
Standard deviation	0.28994	4,4330	88,5206	0,1481	645914,233	662517,5571	4,2677 e⁺¹¹
Minimum	99,17%	1	0,53	0,0019	0	0	6757,22
Maximum	100%	36	612	1	3,90 e⁺⁷	3,80 e⁺⁷	6,578 e⁺¹²
CV	0.2905	1,4420	0,5127	0,3906	33,936	34,6867	2,4148

Variables	Model 1	Dy/Dx Model 1	Model 2	Dy/Dx Model 2
CRDO	-2.56 e^-10***	-1.11 e^-10***
CRELALL			-2.73 e^-10***	-1.18 e^-10***
SP	-0.0000496***	-0.0000216***	-0.0000499***	-0.0000217***
TE	3.16 e^-6***	1.37 e^-6***	3.17 e^-6***	1.38 e^-6***
DIV	0.0019144***	0.0008314***	0.0019193***	0.0008334***
DumR	-0.0005983***	-0.0002599***	-0.0005983***	-0.0002598***
Constant	0.9978937***		0.9978913***
Wald (chi)	64.67***		65.11***
LR(Likelihood-ratio test of sigma)	2008.4***		2014.5***
sigma_u	0.0024161***		0.0024201***
sigma_e	0.0032925***		0.0032918***
Rho	0.3500124		0.3508661
No. of observations	9000		9000
No. of Groups	450		450

\hat{δ} = m a x {\hat{δ}}_{i λ} \{δ > 0| {\hat{δ}}_{i λ i} \leq \sum_{y = 1}^{n} y_{i} λ; x_{i} \geq \sum_{y = 1}^{n} x_{i} λ; \sum_{y = 1}^{n} λ_{i} = 1; λ \geq 0\}; i = 1 \dots, n D M U s

{y *}_{i t} = β_{0} + β_{1} {C R D O}_{i t} + β_{2} S I Z E + β_{3} {D I V}_{i t} + β_{4} {T E}_{i t} + β_{5} {S P}_{i t} + β_{6} {D u m R}_{i t} + β_{7} {D u m A C Q}_{i t} + β_{8} {D u m S O U T H}_{i t} + β_{9} {D u m N O R T H E A S T}_{i t} + β_{10} {D u m N O R T H}_{i t} + β_{11} {D u m C E N}_{i t} + U_{i t}

{y *}_{i t} = β_{0} + β_{1 i t} C R E A L L + β_{2} S I Z E + β_{3} {D I V}_{i t} + β_{4} {T E}_{i t} + β_{5} {S P}_{i t} + β_{6} {D u m R}_{i t} + β_{7} {D u m A C Q}_{i t} + β_{8} {D u m E R S U L}_{i t} + β_{9} {D u m E R N E}_{i t} + β_{10} {D u m E R N O}_{i t} + β_{11} {D u m D E R C O}_{i t} + U_{i t}

{y *}_{i t} = β_{0} + β_{1} {C R D O}_{i t} + β_{3} {D I V}_{i t} + β_{4} {T E}_{i t} + β_{5} {S P}_{i t} + β_{6} {D u m R}_{i t} + U_{i t}

{y *}_{i t} = β_{0} + β_{1} {C R E L A L L}_{i t} + β_{3} {D I V}_{i t} + β_{4} {T E}_{i t} + β_{5} {S P}_{i t} + β_{6} {D u m R}_{i t} + U_{i t}

[1] Lua Syrma Zaniah Santos - Master in Controllership and Accounting from the Federal University of Minas Gerais (UFMG), Belo Horizonte - MG, Brazil. E-mail: luasyrma@gmail.com

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Credit risk and technical efficiency in Brazilian credit unions

Abstract