The Outbreak of the Russian Banking Crisis
Year: 2011 Volume: 5 Issue: 1 Pages: 46-63
Abstract: Owing to a combination of domestic, regional and international factors, Russian banks have been strongly influenced by the worldwide financial crisis which started in the second half of 2008. In this paper, we estimate an early warning model for the Russian banking crisis. In a first step, we identify 47 Russian banks which failed after September 2008. Using the Bankscope dataset, we then show that balance sheet indicators were informative as early as in 2006 and 2007 about possible failures of these banks. Especially equity, net interest revenues, return on average equity, net loans, and loan loss reserves are identified as the early indicators with high predictive power.
JEL classification: G33, G21, C25
Keywords: Banking and financial crisis, early warning models, Russia, logit
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