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Asset-Liability Mismatch, Bank Fraud, and the Losses on Bank Failures
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Bad Management, Skimping, or Both? The Relationship between Cost Efficiency and Loan Quality in Russian Banks
In: Higher School of Economics Research Paper No. WP BRP 19/FE/2013
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Working paper
Depleting net worth of Russian banks: Changes in banks' risk-taking and the interest rate policy of the Bank of Russia
In: Voprosy ėkonomiki: ežemesjačnyj žurnal, Heft 6, S. 30-55
Despite achieving success in the tight prudential regulation of the banking sector, the Bank of Russia (CB RF) continues to reveal new cases of negative net worth in banks. This paper investigates the influence of banks' risk-taking and the interest rate policy of the CB RF on the depletion of net worth in Russian credit institutions during 2007—2017. The quartile regression approach is employed to examine the differences in net worth depletion of already failed banks; additionally, the Heckman selection approach is applied to analyze potential negative net worth that has not been revealed by the CB RF yet. The estimation results suggest that banks' risk-taking matters: its increases are positively associated with the rises of the probability of bank failures and the size of negative net worth, conditional on failure. Ignoring of banks' risktaking leads to a substantial upward bias in the estimates of the total size of negative net worth in the banking system — from 3.6 to 5.3 trillion rubles, or by 2% of the system's total assets. Further, the interest rate policy of the CB RF has a risk-shifting effect: an increase of the key rate together with a rise of its volatility are associated with a further depletion of banks' net worth. Finally, the paper shows that a joint increase in banks' risk-taking and the key rate has a further negative effect on banks' net worth.
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Sorry, You're Blocked.' Economic Effects of Financial Sanctions on the Russian Economy
In: CERGE-EI Working Paper Series No. 704
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Credit Supply Shocks and Household Defaults
In: CERGE-EI Working Paper Series No. 691
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The Formation of Hidden Negative Capital in Banking: A Product Mismatch Hypothesis
In: BOFIT Discussion Paper No. 6/2019
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Should We Care?: The Economic Effects of Financial Sanctions on the Russian Economy
In: BOFIT Discussion Paper No. 13/2019
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Bank Ownership and Cost Efficiency in Russia, Revisited
In: BOFIT Discussion Paper No. 22/2015
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How Banks Anticipate and Propagate Global Financial Sanctions
In: Swiss Finance Institute Research Paper No. 23-59
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Bank Cost Efficiency and Credit Market Structure Under a Volatile Exchange Rate
In: JBF-D-22-01233
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Межстрановой опыт прогнозирования макроэкономических и кредитных кризисов и его применение для России (Joint Prediction of Turning Points in Credit and Business Cycles: Cross-Country Analysis)
In: Economic Policy. 2020. №5
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