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Macroeconomic and bank?specific determinants of credit risk: evidence from Russia

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  • Pestova Anna
  • Mamonov Mikhail

Abstract

During the global financial crisis, the Russian banking system has experienced a significant increase in nonperforming loans. The Russian government has carried out massive recapitalization of major banks to maintain their stability. To evaluate the effectiveness of this policy it is necessary to identify the drivers of the credit risk increase in the affected banks. The main purpose of this research is to disentangle the influence of macroeconomic and bank?specific factors that led to the increase in the nonperforming loans of Russian banks. To address this research question we use both panel data econometrics and multivariate statistical analysis in order to mutually verify the results obtained using different methods. We find that most of the negative influence on the loan quality of the median Russian bank came from the deterioration of macroeconomic conditions. At the same time about 10 percent of banks were themselves to blame in a sharp increase in nonperforming loan ratio during the 2008 crisis. The obtained results have strong policy implications and highlight the importance of macroprudential regulation for enhancing financial stability of the Russian banking sector.

Suggested Citation

  • Pestova Anna & Mamonov Mikhail, 2013. "Macroeconomic and bank?specific determinants of credit risk: evidence from Russia," EERC Working Paper Series 13/10e, EERC Research Network, Russia and CIS.
  • Handle: RePEc:eer:wpalle:13/10e
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    Cited by:

    1. Željko Jović, 2017. "Determinants Of Credit Risk – The Case Of Serbia," Economic Annals, Faculty of Economics, University of Belgrade, vol. 62(212), pages 155-188, January -.
    2. Shakeel Ahmed & M. Ejaz Majeed & Eleftherios Thalassinos & Yannis Thalassinos, 2021. "The Impact of Bank Specific and Macro-Economic Factors on Non-Performing Loans in the Banking Sector: Evidence from an Emerging Economy," JRFM, MDPI, vol. 14(5), pages 1-14, May.
    3. Segun Thompson Bolarinwa & Richard Olaolu Olayeni & Xuan Vinh Vo, 2021. "Is there a nonlinear relationship between nonperforming loans and bank profitability? Evidence from dynamic panel threshold," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 42(3), pages 649-661, April.
    4. Georgios P. Kouretas & Chris Tsoumas, 2013. "Bank Risk-Taking in CEE Countries," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 5(2), pages 103-123, June.
    5. Zlata Kovtun, 2017. "Heterogeneous Bank Lending Responses To Monetary Policy: Empirical Evidence From Russia," Economy of region, Centre for Economic Security, Institute of Economics of Ural Branch of Russian Academy of Sciences, vol. 1(2), pages 616-627.
    6. Ekaterina V. Orlova, 2021. "Methodology and Models for Individuals’ Creditworthiness Management Using Digital Footprint Data and Machine Learning Methods," Mathematics, MDPI, vol. 9(15), pages 1-28, August.
    7. Mikhail Mamonov, 2013. "Bad management, skimping, or both? The relationship between cost efficiency and loan quality in Russian banks," HSE Working papers WP BRP 19/FE/2013, National Research University Higher School of Economics.
    8. Biswajit PATRA & Puja PADHI, 2016. "Determinants of nonperforming assets-bank-specific and macroeconomic factors: A panel data analysis of different group of commercial banks operating in India," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(4(609), W), pages 215-236, Winter.
    9. Georgios Kouretas & Chris Tsoumas & Anastasios A. Drakos, 2013. "Ownership, institutions and bank risk-taking in Central and Eastern European countries," EcoMod2013 5204, EcoMod.
    10. Biswajit PATRA & Puja PADHI, 2016. "Determinants of nonperforming assets-bank-specific and macroeconomic factors: A panel data analysis of different group of commercial banks operating in India," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(4(609), W), pages 215-236, Winter.

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    More about this item

    JEL classification:

    • H11 - Public Economics - - Structure and Scope of Government - - - Structure and Scope of Government
    • H41 - Public Economics - - Publicly Provided Goods - - - Public Goods
    • H70 - Public Economics - - State and Local Government; Intergovernmental Relations - - - General
    • P26 - Economic Systems - - Socialist Systems and Transition Economies - - - Political Economy

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