IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!) to save this article

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.

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://auco.fsv.cuni.cz/storage/103_2011_01_046.pdf
Download Restriction: no

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

as
in new window

Handle: RePEc:fau:aucocz:au2011_046
Contact details of provider: Postal:
Opletalova 26, CZ-110 00 Prague

Phone: +420 2 222112330
Fax: +420 2 22112304
Web page: http://ies.fsv.cuni.cz/
Email:


More information through EDIRC

Order Information: Web: http://auco.cuni.cz/ Email:


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. Reinhart, Carmen & Rogoff, Kenneth, 2008. "¿Es tan diferente la crisis financiera de sub-prime en EEUU? Una comparacion historica internacional
    [“Is The 2007 U.S. Subprime Crisis So Different? An International Historical Comparison,”]
    ," MPRA Paper 13656, University Library of Munich, Germany.
  2. Martin, Daniel, 1977. "Early warning of bank failure : A logit regression approach," Journal of Banking & Finance, Elsevier, vol. 1(3), pages 249-276, November.
  3. Davis, E. Philip & Karim, Dilruba, 2008. "Comparing early warning systems for banking crises," Journal of Financial Stability, Elsevier, vol. 4(2), pages 89-120, June.
  4. Männasoo, Kadri & Mayes, David G., 2009. "Explaining bank distress in Eastern European transition economies," Journal of Banking & Finance, Elsevier, vol. 33(2), pages 244-253, February.
  5. Carmen M. Reinhart & Kenneth S. Rogoff, 2009. "The Aftermath of Financial Crises," NBER Working Papers 14656, National Bureau of Economic Research, Inc.
  6. 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.
  7. Anatoly Peresetsky, Alexander Karminsky, 2011. "Models for Moody’s Bank Ratings," Frontiers in Finance and Economics, SKEMA Business School, vol. 8(1), pages 88-110, April.
  8. Hwang, Dar-Yeh & Lee, Cheng F. & Liaw, K. Thomas, 1997. "Forecasting bank failures and deposit insurance premium," International Review of Economics & Finance, Elsevier, vol. 6(3), pages 317-334.
  9. 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.
  10. Carmen M. Reinhart & Graciela L. Kaminsky, 1999. "The Twin Crises: The Causes of Banking and Balance-of-Payments Problems," American Economic Review, American Economic Association, vol. 89(3), pages 473-500, June.
  11. Christian Dreger & Jarko Fidrmuc, 2009. "Drivers of Exchange Rate Dynamics in Selected CIS Countries: Evidence from a FAVAR Analysis," Working Paper / FINESS 5.6, DIW Berlin, German Institute for Economic Research.
  12. Peresetsky, Anatoly & Karminsky, Alexandr & Golovan, Sergei, 2004. "Probability of default models of Russian banks," BOFIT Discussion Papers 21/2004, Bank of Finland, Institute for Economies in Transition.
  13. Asli Demirgüç-Kunt & Enrica Detragiache, 2005. "Cross-Country Empirical Studies of Systemic Bank Distress; A Survey," IMF Working Papers 05/96, International Monetary Fund.
  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. Karas, 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.
  16. 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.
  17. 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.
  18. A. Karas & K. Schoors & L. Weill, 2008. "Are private banks more efficient than public banks? Evidence from Russia," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 08/519, Ghent University, Faculty of Economics and Business Administration.
Full references (including those not matched with items on IDEAS)

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

When requesting a correction, please mention this item's handle: RePEc:fau:aucocz:au2011_046. 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: (Lenka Stastna)

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.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.