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An Econometric Analysis of the Banking Crises in Russia and Ukraine

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  • Michele Meoli
  • Alexander Mertens
  • Giovanni Urga

Abstract

The main of this paper is to determine the factors which triggered the 1998 credit crises in Russia and Ukraine. We use two alternative regression analyses. With a simple OLS model we investigate which factors describe the development of the ratio Domestic Credit/GDP, while in a Logit model we investigate which factors explains a Credit Crisis variable of our construction. Concerning Russia, our analysis stresses the importance of factors such as Public Balance/GDP ratio and M2/Gross International Reserves ratio: this is consistent with the theory of government inability in managing public debt as a source of the crisis. Concerning Ukraine, the effect of real shocks and the explosion of credit can be considered the key variable to explain the period of financial distress experienced by this country. The final interesting consideration is that the results of our analysis are consistent with the contagion hypothesis.

Suggested Citation

  • Michele Meoli & Alexander Mertens & Giovanni Urga, 2007. "An Econometric Analysis of the Banking Crises in Russia and Ukraine," Working Papers 0702, Department of Management, Information and Production Engineering, University of Bergamo.
    • Handle: RePEc:brh:wpaper:0702
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    File URL: http://hdl.handle.net/10446/425
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    More about this item

    Keywords

    Banking crises; Contagion; OLS and Logit regressions;
    All these keywords.

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
    • P23 - Political Economy and Comparative Economic Systems - - Socialist and Transition Economies - - - Factor and Product Markets; Industry Studies; Population
    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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