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Empirical analysis of Russian commercial banks growth dynamics

  • Kontsevoy, Denis

    ()

    (Sberbank, Moscow)

Registered author(s):

    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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    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
    Contact details of provider: Web page: http://appliedeconometrics.cemi.rssi.ru/

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    1. Chesher, Andrew, 1979. "Testing the Law of Proportionate Effect," Journal of Industrial Economics, Wiley Blackwell, vol. 27(4), pages 403-11, June.
    2. Ryan Stever, 2007. "Bank size, credit and the sources of bank market risk," BIS Working Papers 238, Bank for International Settlements.
    3. 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.
    4. Allen N. Berger & Nathan H. Miller & Mitchell A. Petersen & Raghuram G. Rajan & Jeremy C. Stein, 2002. "Does Function Follow Organzizational Form? Evidence From the Lending Practices of Large and Small Banks," Harvard Institute of Economic Research Working Papers 1976, Harvard - Institute of Economic Research.
    5. Richard Blundell & Steve Bond, 1995. "Initial conditions and moment restrictions in dynamic panel data models," IFS Working Papers W95/17, Institute for Fiscal Studies.
    6. 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.
    7. 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.
    8. Panayiotis P. Athanasoglou & Sophocles N. Brissimis & Matthaios D. Delis, 2005. "Bank-Specific, Industry-Specific and Macroeconomic Determinants of Bank Profitability," Working Papers 25, Bank of Greece.
    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. 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.
    11. 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.
    12. 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.
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