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Empirical analysis of Russian commercial banks growth dynamics

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  • Kontsevoy, Denis

    ()
    (Sberbank, Moscow)

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    Abstract

    In this study an empirical model of Russian commercial banks growth is proposed. Dynamic panel regression with fixed individual effects is estimated by System GMM estimator for given quarterly data of 2008–2011. The main purpose is to test whether Gibrat’s Law of Proportionate Effect (LPE) is hold for Russian commercial banking industry and to determine key factors of banks growth. No evidence of LPE and growth persistence was found. Bank growth is negatively dependent on the size and positively dependent on market concentration. The results of this paper allow forecasting either the future structure of Russian banking sector or particular banks position using open data.

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    File URL: http://pe.cemi.rssi.ru/pe_2013_1_67-81.pdf
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    Bibliographic Info

    Article provided by Publishing House "SINERGIA PRESS" in its journal Applied Econometrics.

    Volume (Year): 29 (2013)
    Issue (Month): 1 ()
    Pages: 67-81

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    Handle: RePEc:ris:apltrx:0203

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    Web page: http://appliedeconometrics.cemi.rssi.ru/

    Related research

    Keywords: law of proportionate effect; persistence of profit; Russian banking; bank growth;

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    1. Tschoegl, Adrian E, 1983. "Size, Growth, and Transnationality among the World's Largest Banks," The Journal of Business, University of Chicago Press, vol. 56(2), pages 187-201, April.
    2. Allen N. Berger & Nathan H. Miller & Mitchell A. Petersen & Raghuram G. Rajan & Jeremy C. Stein, 2002. "Does Function Follow Organizational Form? Evidence From the Lending Practices of Large and Small Banks," NBER Working Papers 8752, National Bureau of Economic Research, Inc.
    3. Choudhry Tanveer Shehzad & Jakob de Haan & Bert Scholtens, 2009. "Growth and Earnings Persistence in Banking Firms: A Dynamic Panel Investigation," CESifo Working Paper Series 2772, CESifo Group Munich.
    4. Chesher, Andrew, 1979. "Testing the Law of Proportionate Effect," Journal of Industrial Economics, Wiley Blackwell, vol. 27(4), pages 403-11, June.
    5. Ana Sofia Domingues Rodrigues & Christopher A. Laincz, 2004. "Understanding the Variations in Gibrat's Law with a Markov-Perfect Dynamic Industry Model," Computing in Economics and Finance 2004 173, Society for Computational Economics.
    6. Goddard, John & Wilson, John & Blandon, Peter, 2002. "Panel tests of Gibrat's Law for Japanese manufacturing," International Journal of Industrial Organization, Elsevier, vol. 20(3), pages 415-433, March.
    7. 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.
    8. Jeremy C. Stein, 2002. "Information Production and Capital Allocation: Decentralized versus Hierarchical Firms," Journal of Finance, American Finance Association, vol. 57(5), pages 1891-1921, October.
    9. John Goddard & Phil Molyneux & John O. S. Wilson, 2004. "The profitability of european banks: a cross-sectional and dynamic panel analysis," Manchester School, University of Manchester, vol. 72(3), pages 363-381, 06.
    10. Ryan Stever, 2007. "Bank size, credit and the sources of bank market risk," BIS Working Papers 238, Bank for International Settlements.
    11. Athanasoglou, Panayiotis & Brissimis, Sophocles & Delis, Matthaios, 2005. "Bank-specific, industry-specific and macroeconomic determinants of bank profitability," MPRA Paper 32026, University Library of Munich, Germany.
    12. Goddard, John & Molyneux, Phil & Wilson, John O S, 2004. "Dynamics of Growth and Profitability in Banking," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 36(6), pages 1069-90, December.
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