Credit risk and technical efficiency in Brazilian credit unions

Abstract This study analyzed the relationship between credit risk and the efficiency of Brazilian credit unions in the period from 2008 to 2017. The two-stage data envelopment analysis model was used to obtain efficiency scores, with the analysis of a Tobit model in the second stage. Specialists were consulted for the construction and validation of efficiency scores, which is a contribution of this study in relation to the others. It was found that the higher the credit risk, the lower the efficiency scores, and that credit unions that manage to maintain their continuity in the market and diversify their products had higher efficiency scores, consequently generating greater benefits to their members. Additionally, cooperatives must pay attention to the number of service points and periods of economic recession. The increase in the number of service points reduces efficiency scores. When considering the period of Brazilian economic downturn, measured from 2015 to 2017, there was a negative impact on the average efficiency scores of the cooperatives. As a limitation, it is reported that the results are derived from the inputs and outputs selected from accounting and financial information, and it is suggested that new variables related to the social dimension of cooperatives be incorporated into other studies to assess the overall efficiency of Brazilian credit unions.

摘要 本研究分析了2008至2017年间巴西信用合作社的信用风险与运营效率之间的关联。研究采用两阶段数据包络分析（Data Envelopment Analysis, DEA）模型获取效率评分，并在第二阶段运用托宾（Tobit）模型开展回归分析。本研究的一项创新性贡献在于，在效率评分的构建与验证环节征询了领域专家的意见，这也是本研究区别于以往同类研究的特色之处。研究结果表明：信用风险越高，信用合作社的效率评分越低；而能够持续经营并实现产品多元化的信用合作社，其效率评分更高，进而可为社员带来更多收益。此外，合作社需关注服务网点数量与经济衰退周期：服务网点数量的增加会降低效率评分。针对巴西2015至2017年的经济下行阶段，研究发现该时期合作社的平均效率评分受到了负面冲击。本研究存在一定局限性：研究结果仅基于从会计与财务信息中选取的投入产出变量；未来研究可纳入与合作社社会维度相关的新变量，以全面评估巴西信用合作社的整体运营效率。