Maturity structure of banking transactions and its role in predicting negative net worth of banks

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11640%2F20%3A00525451" target="_blank" >RIV/00216208:11640/20:00525451 - isvavai.cz</a>

Result on the web

<a href="https://doi.org/10.31477/rjmf.202002.70" target="_blank" >https://doi.org/10.31477/rjmf.202002.70</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.31477/rjmf.202002.70" target="_blank" >10.31477/rjmf.202002.70</a>

Result language

angličtina

Original language name

Maturity structure of banking transactions and its role in predicting negative net worth of banks

Original language description

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-of- sample 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.

Czech name

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Czech description

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Type

J_ost - Miscellaneous article in a specialist periodical

CEP classification

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OECD FORD branch

50202 - Applied Economics, Econometrics

Project

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Continuities

S - Specificky vyzkum na vysokych skolach<br>I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year

2020

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Russian Journal of Money and Finance

ISSN

0130-3090

e-ISSN

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Volume of the periodical

79

Issue of the periodical within the volume

2

Country of publishing house

RU - RUSSIAN FEDERATION

Number of pages

31

Pages from-to

70-100

UT code for WoS article

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EID of the result in the Scopus database

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