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

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

J_ost - Ostatní články v recenzovaných periodicích

CEP obor

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OECD FORD obor

50202 - Applied Economics, Econometrics

Projekt

—

Návaznosti

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

Rok uplatnění

2020

Kód důvěrnosti údajů

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

Název periodika

Russian Journal of Money and Finance

ISSN

0130-3090

e-ISSN

—

Svazek periodika

79

Číslo periodika v rámci svazku

2

Stát vydavatele periodika

RU - Ruská federace

Počet stran výsledku

31

Strana od-do

70-100

Kód UT WoS článku

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EID výsledku v databázi Scopus

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