Bank Risk-Taking in CEE Countries
AbstractThis study examines whether the lowering interest-rate environment in CEE countries since the early 2000’s increased bank risk-taking behaviour. We employ 6,979 annual observations from the Bankscope database over the period 1997-2011 and find a positive relationship between bank risk-taking, measured by risk assets, and interest rates. On the contrary, there is a negative relationship between non-performing loans and interest rates. These results are robust across a number of different specifications that account, inter alia, for the potential endogeneity of interest rates and/or the dynamics of bank risk. Moreover, we provide evidence that these findings are mainly driven by the banking sector of the Russian Federation rather than that of the rest CEE countries.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by CEJEME in its journal Central European Journal of Economic Modelling and Econometrics.
Volume (Year): 5 (2013)
Issue (Month): 2 (June)
Contact details of provider:
Web page: http://cejeme.org/
interest rates; bank risk-taking; panel data; russian and CEE banks;
Find related papers by JEL classification:
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Rainer Haselmann & Paul Wachtel, 2007.
"Risk Taking by Banks in the Transition Countries,"
Comparative Economic Studies,
Palgrave Macmillan, vol. 49(3), pages 411-429, September.
- Paul Wachtel & Iftekhar Hasan & Mingming Zhou, 2007. "Institutional Development, Financial Deepening and Economic Growth: Evidence from China," Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics 07-17, New York University, Leonard N. Stern School of Business, Department of Economics.
- Keeley, Michael C, 1990. "Deposit Insurance, Risk, and Market Power in Banking," American Economic Review, American Economic Association, vol. 80(5), pages 1183-1200, December.
- Jackowicz, Krzysztof & Kowalewski, Oskar & KozÅ‚owski, Åukasz, 2013. "The influence of political factors on commercial banks in Central European countries," Journal of Financial Stability, Elsevier, Elsevier, vol. 9(4), pages 759-777.
- Jeremy C. Stein & Anil K. Kashyap, 2000. "What Do a Million Observations on Banks Say about the Transmission of Monetary Policy?," American Economic Review, American Economic Association, vol. 90(3), pages 407-428, June.
- Juurikkala, Tuuli & Solanko, Laura & Karas, Alexei, 2009.
"The role of banks in monetary policy transmission: Empirical evidence from Russia,"
BOFIT Discussion Papers
8/2009, Bank of Finland, Institute for Economies in Transition.
- Tuuli Juurikkala & Alexei Karas & Laura Solanko, 2011. "The Role of Banks in Monetary Policy Transmission: Empirical Evidence from Russia," Review of International Economics, Wiley Blackwell, vol. 19(1), pages 109-121, 02.
- Blundell, R. & Bond, S., 1995.
"Initial Conditions and Moment Restrictions in Dynamic Panel Data Models,"
104, Economics Group, Nuffield College, University of Oxford.
- Blundell, Richard & Bond, Stephen, 1998. "Initial conditions and moment restrictions in dynamic panel data models," Journal of Econometrics, Elsevier, Elsevier, vol. 87(1), pages 115-143, August.
- Richard Blundell & Steve Bond, 1995. "Initial conditions and moment restrictions in dynamic panel data models," IFS Working Papers, Institute for Fiscal Studies W95/17, Institute for Fiscal Studies.
- R Blundell & Steven Bond, . "Initial conditions and moment restrictions in dynamic panel data model," Economics Papers W14&104., Economics Group, Nuffield College, University of Oxford.
- Arellano, Manuel & Bover, Olympia, 1995.
"Another look at the instrumental variable estimation of error-components models,"
Journal of Econometrics, Elsevier,
Elsevier, vol. 68(1), pages 29-51, July.
- M Arellano & O Bover, 1990. "Another Look at the Instrumental Variable Estimation of Error-Components Models," CEP Discussion Papers dp0007, Centre for Economic Performance, LSE.
- Pestova Anna & Mamonov Mikhail, 2013. "Macroeconomic and bank?specific determinants of credit risk: evidence from Russia," EERC Working Paper Series 13/10e, EERC Research Network, Russia and CIS.
- Delis, Manthos D & Kouretas, Georgios, 2010.
"Interest rates and bank risk-taking,"
20132, University Library of Munich, Germany.
- Zuzana FungÃƒÂ¡Ã„ovÃƒÂ¡ & Laura Solanko, 2009.
"Risk-taking by Russian banks: Do location, ownership and size matter?,"
Chapters in SUERF Studies, SUERF - The European Money and Finance Forum,
SUERF - The European Money and Finance Forum.
- Fungacova, Zuzana & Solanko, Laura, 2008. "Risk-taking by Russian banks: Do location, ownership and size matter?," BOFIT Discussion Papers 21/2008, Bank of Finland, Institute for Economies in Transition.
- Laeven, Luc & Levine, Ross, 2009.
"Bank governance, regulation and risk taking,"
Journal of Financial Economics, Elsevier,
Elsevier, vol. 93(2), pages 259-275, August.
- Agoraki, Maria-Eleni & Delis, Manthos D & Pasiouras, Fotios, 2009.
"Regulations, competition and bank risk-taking in transition countries,"
16495, University Library of Munich, Germany.
- Agoraki, Maria-Eleni K. & Delis, Manthos D. & Pasiouras, Fotios, 2011. "Regulations, competition and bank risk-taking in transition countries," Journal of Financial Stability, Elsevier, Elsevier, vol. 7(1), pages 38-48, January.
- Andrei Shleifer, 2009. "The Age of Milton Friedman," Journal of Economic Literature, American Economic Association, vol. 47(1), pages 123-35, March.
- Giovanni Dell'Ariccia & Robert Marquez, 2006.
"Lending Booms and Lending Standards,"
Journal of Finance, American Finance Association,
American Finance Association, vol. 61(5), pages 2511-2546, October.
- Malgorzata Pawlowska, 2012. "Competition, concentration and foreign capital in the Polish banking sector (prior and during the financial crisis)," National Bank of Poland Working Papers 130, National Bank of Poland, Economic Institute.
- Ioannidou, V. & Ongena, S. & Peydro, J.L., 2009. "Monetary Policy, Risk-Taking, and Pricing: Evidence from a Quasi-Natural Experiment," Discussion Paper, Tilburg University, Center for Economic Research 2009-31 S, Tilburg University, Center for Economic Research.
- Mamonov, Mikhail, 2012. "The impact of market power of Russian banks on their credit risk tolerance: A panel study," Applied Econometrics, Publishing House "SINERGIA PRESS", Publishing House "SINERGIA PRESS", vol. 28(4), pages 85-112.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Krzysztof Osiewalski).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.