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The Outbreak of the Russian Banking Crisis

  • Fidrmuc, Jarko
  • Süß, Philipp Johann

Russian banks have been strongly influenced by the worldwide financial crisis which started in the second half of 2008. This was caused by a combination of domestic, regional and international factors. We estimate an early warning model for the Russian crisis. We identified 47 Russian banks which failed after September 2008. Using the Bankscope data set, we show that balance sheet indicators were informative about possible failures of these banks as early as 2006. The early predictive indicators include especially equity, net interest revenues, return on average equity, net loans, and loan loss reserves.

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Paper provided by University of Munich, Department of Economics in its series Discussion Papers in Economics with number 10996.

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Date of creation: 17 Sep 2009
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Handle: RePEc:lmu:muenec:10996
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  1. Fungacova, Zuzana & Weill, Laurent, 2009. "How market power influences bank failures: Evidence from Russia," BOFIT Discussion Papers 12/2009, Bank of Finland, Institute for Economies in Transition.
  2. 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.
  3. Christian Dreger & Jarko Fidrmuc, 2009. "Drivers of Exchange Rate Dynamics in Selected CIS Countries: Evidence from a FAVAR Analysis," Discussion Papers of DIW Berlin 867, DIW Berlin, German Institute for Economic Research.
  4. Carmen M. Reinhart & Kenneth S. Rogoff, 2009. "The Aftermath of Financial Crises," NBER Working Papers 14656, National Bureau of Economic Research, Inc.
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  6. Asli Demirgüç-Kunt & Enrica Detragiache, 2005. "Cross-Country Empirical Studies of Systemic Bank Distress: A Survey," National Institute Economic Review, National Institute of Economic and Social Research, vol. 192(1), pages 68-83, April.
  7. Graciela L. Kaminsky & Carmen M. Reinhart, 1996. "The twin crises: the causes of banking and balance-of-payments problems," International Finance Discussion Papers 544, Board of Governors of the Federal Reserve System (U.S.).
  8. 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.
  9. Martin, Daniel, 1977. "Early warning of bank failure : A logit regression approach," Journal of Banking & Finance, Elsevier, vol. 1(3), pages 249-276, November.
  10. Carmen M. Reinhart & Kenneth S. Rogoff, 2009. "Is the 2007 U.S. Sub-Prime Financial Crisis So Different? An International Historical Comparison," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 56(3), pages 291-299, September.
  11. 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.
  12. Karas, Alexei & Schoors , Koen & Weill, Laurent, 2008. "Are private banks more efficient than public banks? Evidence from Russia," BOFIT Discussion Papers 3/2008, Bank of Finland, Institute for Economies in Transition.
  13. 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.
  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. 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.
  16. 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.
  17. 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.
  18. 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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