The measure of bank efficiency has been object of many studies in the past years, in several parts of the world. The variables that are frequently used to measure bank efficiency are relative to the administration of institutions and are extracted from accounting data. Differently, this study focuses on Brazilian bank efficiency, using data from 1995 to 2005, applying a stochastic frontier methodology and including macro-prudential indicators. The results of the paper suggest that macro-prudential indicators contribute to the estimation of the cost frontier and to the measurement of bank efficiency.

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