Impact of liquidity risk on variations in efficiency and productivity: A panel gamma simulated maximum likelihood estimation

摘要

The objective of this study is to assess the importance of short- and long-run liquidity or debt risk on technical inefficiency and productivity. An alternative panel estimator of normal-gamma stochastic frontier model is proposed using a simulated maximum likelihood estimation technique. Empirical estimates indicate a difference in the parameter coefficients of gamma stochastic production function, and heterogeneity function variables between the pooled and the Swamy-Arora panel models. The results from this study show short and long run risk or variations in liquidity or debt-servicing ratio play an important role in explaining the variance in efficiency and productivity. (C) 2015 Elsevier B.V. All rights reserved.