Advanced Search
MyIDEAS: Login to save this article or follow this journal

Bank Risk-Taking in CEE Countries

Contents:

Author Info

  • Georgios P. Kouretas

    ()
    (Athens University of Economics and Business)

  • Chris Tsoumas

    ()
    (University of Piraeus)

Abstract

This 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 Info

If 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.
File URL: http://cejeme.eu/publishedarticles/2013-49-15-635174309701562500-9155.pdf
Download Restriction: no

Bibliographic Info

Article provided by CEJEME in its journal Central European Journal of Economic Modelling and Econometrics.

Volume (Year): 5 (2013)
Issue (Month): 2 (June)
Pages: 103-123

as in new window
Handle: RePEc:psc:journl:v:5:y:2013:i:2:p:103-123

Contact details of provider:
Web page: http://cejeme.org/

Related research

Keywords: interest rates; bank risk-taking; panel data; russian and CEE banks;

Find related papers by JEL classification:

References

References listed on IDEAS
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.:
as in new window
  1. 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.
  2. 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.
  3. Jackowicz, Krzysztof & Kowalewski, Oskar & Kozłowski, Łukasz, 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.
  4. 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.
  5. 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.
  6. Blundell, R. & Bond, S., 1995. "Initial Conditions and Moment Restrictions in Dynamic Panel Data Models," Economics Papers 104, Economics Group, Nuffield College, University of Oxford.
  7. 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.
  8. 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.
  9. Delis, Manthos D & Kouretas, Georgios, 2010. "Interest rates and bank risk-taking," MPRA Paper 20132, University Library of Munich, Germany.
  10. Zuzana FungáÄová & 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.
  11. Laeven, Luc & Levine, Ross, 2009. "Bank governance, regulation and risk taking," Journal of Financial Economics, Elsevier, Elsevier, vol. 93(2), pages 259-275, August.
  12. Agoraki, Maria-Eleni & Delis, Manthos D & Pasiouras, Fotios, 2009. "Regulations, competition and bank risk-taking in transition countries," MPRA Paper 16495, University Library of Munich, Germany.
  13. Andrei Shleifer, 2009. "The Age of Milton Friedman," Journal of Economic Literature, American Economic Association, vol. 47(1), pages 123-35, March.
  14. 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.
  15. 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.
  16. 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.
  17. 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.
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:psc:journl:v:5:y:2013:i:2:p:103-123. See general information about how to correct material in RePEc.

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.