Macroeconomic and bank?specific determinants of credit risk: evidence from Russia
Anna Pestova and
Mikhail Mamonov ()
EERC Working Paper Series from EERC Research Network, Russia and CIS
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.
JEL-codes: H11 H41 H70 P26 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9) Track citations by RSS feed
Downloads: (external link)
http://eercnetwork.com/default/download/creater/wo ... 8ff1fd04fa7de7d0.pdf (application/pdf)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eer:wpalle:13/10e
Ordering information: This working paper can be ordered from
EERC Research Network, Russia and CIS, 92/94, Dmytrivska Str., suite 404, Kyiv, 01135 Ukraine
Access Statistics for this paper
More papers in EERC Working Paper Series from EERC Research Network, Russia and CIS EERC Research Network, Russia and CIS, 92/94, Dmytrivska Str., suite 404, Kyiv, 01135 Ukraine.
Bibliographic data for series maintained by Anton Pashchenko ().