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The Outbreak of the Russian Banking Crisis

  • Jarko Fidrmuc

    ()

    (Zeppelin University, Friedrichshafen, Germany
    CESifo, Munich, Germany
    Institute for Eastern European Studies, Regensburg, Germany
    Comenius University Bratislava, Faculty of Mathematics, Physics and Informatics, Slovakia)

  • Philipp J. Süss

    ()

    (UniCredit Bank AG Munich, Germany)

Owing to a combination of domestic, regional and international factors, Russian banks have been strongly influenced by the worldwide financial crisis which started in the second half of 2008. In this paper, we estimate an early warning model for the Russian banking crisis. In a first step, we identify 47 Russian banks which failed after September 2008. Using the Bankscope dataset, we then show that balance sheet indicators were informative as early as in 2006 and 2007 about possible failures of these banks. Especially equity, net interest revenues, return on average equity, net loans, and loan loss reserves are identified as the early indicators with high predictive power.

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Article provided by Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies in its journal AUCO Czech Economic Review.

Volume (Year): 5 (2011)
Issue (Month): 1 (March)
Pages: 046-063

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Handle: RePEc:fau:aucocz:au2011_046
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  1. Peresetsky, A. A. & Karminsky, A. M., 2011. "Models for Moody’s bank ratings," MPRA Paper 34864, University Library of Munich, Germany.
  2. Christian Dreger & Jarko Fidrmuc, 2010. "Drivers of exchange rate dynamics in selected CIS countries: Evidence from a FAVAR analysis," Working Papers 289, Institut für Ost- und Südosteuropaforschung (Institute for East and South-East European Studies).
  3. Zuzana Fungacova & Laurent Weill, 2010. "How Market Power Influences Bank Failures Evidence from Russia," Working Papers of LaRGE Research Center 2010-08, Laboratoire de Recherche en Gestion et Economie (LaRGE), Université de Strasbourg.
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  6. Demirguc-Kunt, Asli & Detragiache, Enrica, 2005. "Cross-country empirical studies of systemic bank distress : a survey," Policy Research Working Paper Series 3719, The World Bank.
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  8. Sinkey, Joseph F, Jr, 1975. "A Multivariate Statistical Analysis of the Characteristics of Problem Banks," Journal of Finance, American Finance Association, vol. 30(1), pages 21-36, March.
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  10. Carmen M. Reinhart & Kenneth S. Rogoff, 2009. "The Aftermath of Financial Crises," NBER Working Papers 14656, National Bureau of Economic Research, Inc.
  11. Kares, Alexei & Schoors , Koen & Lanine, Gleb, 2008. "Liquidity matters: Evidence from the Russian interbank market," BOFIT Discussion Papers 19/2008, Bank of Finland, Institute for Economies in Transition.
  12. Evžen Koèenda & Jan Hanousek & Peter Ondko, 2007. "The Banking Sector in New EU Member Countries: A Sectoral Financial Flows Analysis (in English)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 57(5-6), pages 200-224, August.
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  14. Asli Demirgüç-Kunt & Enrica Detragiache, 1998. "The Determinants of Banking Crises in Developing and Developed Countries," IMF Staff Papers, Palgrave Macmillan, vol. 45(1), pages 81-109, March.
  15. Anatoly Peresetsky & Alexandr Karminsky & Sergei Golovan, 2011. "Probability of default models of Russian banks," Economic Change and Restructuring, Springer, vol. 44(4), pages 297-334, November.
  16. Arturo Estrella & Sangkyun Park & Stavros Peristiani, 2000. "Capital ratios as predictors of bank failure," Economic Policy Review, Federal Reserve Bank of New York, issue Jul, pages 33-52.
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