Does Primary Sovereignty Risk Matter for Bank Fragility? Evidence from Albanian Banking System

Gerti Shijaku ()

MPRA Paper from University Library of Munich, Germany

Abstract: The paper studies the pass-through effect of primary sovereignty risk on bank stability. For this reason, we followed a new approach using on-site bank balance sheet information to construct our proxy that represent each bank stability condition and use a variety of internal and external factors to estimate a balance panel dynamic two-step General Method of Moments (GMM) approach for the period 2008 Q3 – 2015 Q03. We found no supportive evidence that pass-through effect of primary sovereignty risk does affected bank stability. Rather improving macroeconomic and financial market condition are found to be important components through which banks are more immune. The rest of results imply that other bank-specific indicators, namely the extent of intermediation, off-balance sheet active, excessive capital, credit risk and profitability do not have a significant affect.

Keywords: Bank Fragility; Primary Sovereignty Risk; Panel Data; Dynamic GMM (search for similar items in EconPapers)
JEL-codes: C26 C33 C8 E43 G21 H63 (search for similar items in EconPapers)
Date: 2016-05-28
New Economics Papers: this item is included in nep-ban and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:79097

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