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Maturity Structure of Banking Transactions and Its Role in Predicting Negative Net Worth of Banks

Mikhail Mamonov ()
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Mikhail Mamonov: Institute of International Studies, MGIMO-University; CERGE-EI

Russian Journal of Money and Finance, 2020, vol. 79, issue 2, 70-100

Abstract: In this paper, we perform a microeconomic analysis of positive and negative imbalances in the maturity structure of Russian banks’ transactions. In particular, using Heckman selection models at the cross-section of Russian banks, we test the ability of such imbalances to predict the probability of the detection of banks’ negative net worth and its expected magnitude in advance (three months before negative worth detection). The estimation results show that, first, certain indicators of imbalances do offer ‘value added’ in predicting ‘holes’ in banks’ capital: taking into account these imbalances in banks’ short- and medium-term transactions with households and short-term transactions with enterprises improves the quality of out-ofsample forecasts. Second, the very division into positive and negative imbalances makes sense: the effects are in many cases found to be opposite with respect to the size and likelihood of negative net worth detection at banks. Third, a separate analysis of banking transactions with households and those with businesses is also of great importance: the effect of imbalances in transactions similar in maturity structure but with different types of economic agents is in many cases opposite in sign. The results may be useful for the Bank of Russia in identifying potentially fragile banks as part of its prudential policy.

Keywords: banks; balance falsifications; negative net worth; Heckman selection model; out-of-sample forecast (search for similar items in EconPapers)
JEL-codes: C34 G21 G33 (search for similar items in EconPapers)
Date: 2020
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DOI: 10.31477/rjmf.202002.70

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