IDEAS home Printed from https://ideas.repec.org/a/bkr/journl/v79y2020i2p70-100.html
   My bibliography  Save this article

Maturity Structure of Banking Transactions and Its Role in Predicting Negative Net Worth of Banks

Author

Listed:
  • Mikhail Mamonov

    (Institute of International Studies, MGIMO-University; CERGE-EI)

Abstract

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-ofsample 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.

Suggested Citation

  • Mikhail Mamonov, 2020. "Maturity Structure of Banking Transactions and Its Role in Predicting Negative Net Worth of Banks," Russian Journal of Money and Finance, Bank of Russia, vol. 79(2), pages 70-100, June.
    • Handle: RePEc:bkr:journl:v:79:y:2020:i:2:p:70-100
    DOI: 10.31477/rjmf.202002.70
    as

    Download full text from publisher

    File URL: https://rjmf.econs.online/upload/iblock/bca/Predicting%20Negative%20Net%20Worth%20of%20Banks.pdf
    Download Restriction: no
    File URL: https://libkey.io/10.31477/rjmf.202002.70?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Beck Thorsten & Büyükkarabacak Berrak & Rioja Felix K. & Valev Neven T., 2012. "Who Gets the Credit? And Does It Matter? Household vs. Firm Lending Across Countries," The B.E. Journal of Macroeconomics, De Gruyter, vol. 12(1), pages 1-46, March.
    2. O'Hara, Maureen & Shaw, Wayne, 1990. "Deposit Insurance and Wealth Effects: The Value of Being "Too Big to Fail."," Journal of Finance, American Finance Association, vol. 45(5), pages 1587-1600, December.
    3. Atif Mian & Amir Sufi & Emil Verner, 2017. "Household Debt and Business Cycles Worldwide," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 132(4), pages 1755-1817.
    4. Mamonov, M., 2018. "Lending Channel of Monetary Policy in Russia: Microeconomic Estimates for Retail and Corporative Segments of Credit Market," Journal of the New Economic Association, New Economic Association, vol. 37(1), pages 112-144.
    5. Klaus Schaeck, 2008. "Bank Liability Structure, FDIC Loss, and Time to Failure: A Quantile Regression Approach," Journal of Financial Services Research, Springer;Western Finance Association, vol. 33(3), pages 163-179, June.
    6. M. I. Stolbov & I. O. Goloshchapova & O. G. Solntsev & R. R. Akhmetov & V. A. Pankova & E. A. Tsepilova., 2018. "A cross-country comparative analysis of the Russian financial sector model," VOPROSY ECONOMIKI, N.P. Redaktsiya zhurnala "Voprosy Economiki", vol. 5.
    7. M. Mamonov., 2017. "Hidden "holes" in the capital of not yet failed banks in Russia: An estimate of the scope of potential losses," VOPROSY ECONOMIKI, N.P. Redaktsiya zhurnala "Voprosy Economiki", vol. 7.
    8. Patrick Puhani, 2000. "The Heckman Correction for Sample Selection and Its Critique," Journal of Economic Surveys, Wiley Blackwell, vol. 14(1), pages 53-68, February.
    9. Mikhail Mamonov, 2018. "Bank's Hidden Negative Capital Before and After the Senior Management Change at the Bank of Russia," Russian Journal of Money and Finance, Bank of Russia, vol. 77(1), pages 51-70, March.
    10. Bennett, Rosalind L. & Unal, Haluk, 2014. "The effects of resolution methods and industry stress on the loss on assets from bank failures," Journal of Financial Stability, Elsevier, vol. 15(C), pages 18-31.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Bekirova, Olga & Zubarev, Andrey, 2023. "Determinants of risk, profitability and default probability of Russian banks," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 71, pages 20-38.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Mikhail Mamonov, 2023. "Measuring Fraud in Banking and its Impact on the Economy: A Quasi-Natural Experiment," CERGE-EI Working Papers wp755, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    2. Berrak Bahadir & Dora Gicheva, 2022. "Macroeconomic Implications of Student Debt: A State‐Level Analysis," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(8), pages 2273-2300, December.
    3. Can Xu & Jan P. A. M. Jacobs & Jakob de Haan, 2023. "Does Household Borrowing Reduce the Trade Balance? Evidence from Developing and Developed Countries," Open Economies Review, Springer, vol. 34(4), pages 759-787, September.
    4. Berrak Bahadir & Neven Valev, 2023. "Global Liquidity and Household Credit Growth," Open Economies Review, Springer, vol. 34(5), pages 1039-1061, November.
    5. Bahadir, Berrak & Valev, Neven, 2017. "Catching up or drifting apart: Convergence of household and business credit in Europe," International Review of Economics & Finance, Elsevier, vol. 47(C), pages 101-114.
    6. Ekinci, Mehmet Fatih & Omay, Tolga, 2020. "Current account and credit growth: The role of household credit and financial depth," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    7. Mamonov, Mikhail (Мамонов, Михаил), 2017. "«Holes» in the Capital of Failed Russian Banks: Old Indicators and New Hypotheses [«Дыры» В Капитале Обанкротившихся Российских Банков: Старые Факторы И Новые Гипотезы]," Ekonomicheskaya Politika / Economic Policy, Russian Presidential Academy of National Economy and Public Administration, vol. 1, pages 166-199, February.
    8. Caner, Mehmet & Fan, Qingliang & Grennes, Thomas, 2021. "Partners in debt: An endogenous non-linear analysis of the effects of public and private debt on growth," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 694-711.
    9. repec:zbw:bofitp:2019_006 is not listed on IDEAS
    10. Bahadir, Berrak & Gumus, Inci, 2016. "Credit decomposition and business cycles in emerging market economies," Journal of International Economics, Elsevier, vol. 103(C), pages 250-262.
    11. Mamonov, M., 2020. "Price interactions in the credit market and banks instability over the crisis and non-crisis periods in the Russian economy," Journal of the New Economic Association, New Economic Association, vol. 45(1), pages 65-110.
    12. Massimiliano Affinito & Raffaele Santioni & Luca Tomassetti, 2023. "Inside household debt: disentangling mortgages and consumer credit, and household and bank factors. Evidence from Italy," Questioni di Economia e Finanza (Occasional Papers) 788, Bank of Italy, Economic Research and International Relations Area.
    13. Bezemer, Dirk & Samarina, Anna & Zhang, Lu, 2020. "Does mortgage lending impact business credit? Evidence from a new disaggregated bank credit data set," Journal of Banking & Finance, Elsevier, vol. 113(C).
    14. Villarreal, Francisco G., 2014. "Financial Services and Household Inequality in Mexico," MPRA Paper 57075, University Library of Munich, Germany.
    15. Kostrov, Alexander & Mamonov, Mikhail, 2019. "The formation of hidden negative capital in banking : A product mismatch hypothesis," BOFIT Discussion Papers 6/2019, Bank of Finland, Institute for Economies in Transition.
    16. Kostrov, Alexander & Mamonov, Mikhail, 2019. "The formation of hidden negative capital in banking: A product mismatch hypothesis," BOFIT Discussion Papers 6/2019, Bank of Finland Institute for Emerging Economies (BOFIT).
    17. Bezemer, Dirk & Zhang, Lu, 2019. "Credit composition and the severity of post-crisis recessions," Journal of Financial Stability, Elsevier, vol. 42(C), pages 52-66.
    18. Loayza,Norman V. & Ouazad,Amine & Ranciere,Romain, 2017. "Financial development, growth, and crisis: is there a trade-off ?," Policy Research Working Paper Series 8237, The World Bank.
    19. Berrak Bahadir & Neven Valev, 2020. "Institutions, Household Credit Composition, And The Business Cycle," Economic Inquiry, Western Economic Association International, vol. 58(3), pages 1401-1413, July.
    20. Damane, Moeti, 2024. "Quantile Regression Analysis of the Economic Impact of Business and Household Credit in Lesotho," MPRA Paper 121954, University Library of Munich, Germany.
    21. Unger, Robert, 2018. "Revisiting the finance and growth nexus: A deeper look at sectors and instruments," Discussion Papers 55/2018, Deutsche Bundesbank.

    More about this item

    Keywords

    banks; balance falsifications; negative net worth; Heckman selection model; out-of-sample forecast;
    All these keywords.

    JEL classification:

    • C34 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Truncated and Censored Models; Switching Regression Models
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bkr:journl:v:79:y:2020:i:2:p:70-100. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Olga Kuvshinova (email available below). General contact details of provider: https://edirc.repec.org/data/cbrgvru.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.