Determinants of bank closures : Do changes of CAMEL variables matter?

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dc.contributor Bank of Finland
dc.contributor.author Mäkinen, Mikko
dc.contributor.author Solanko, Laura
dc.date.accessioned 2017-10-31T07:59:50Z
dc.date.available 2017-10-31T07:59:50Z
dc.date.issued 2017
dc.identifier.isbn 978-952-323-195-5
dc.identifier.issn 1456-5889
dc.identifier.uri https://helda.helsinki.fi/bof/handle/123456789/14948
dc.description.abstract This study examines whether changes in CAMEL variables matter in explaining bank closure. Using a unique set of monthly bank-specific balance sheet data from Russia, we estimate determinants of bank license withdrawals during 2013m7-2017m7. We make two key findings. First, changes in CAMEL indicators are always significantly correlated with probability of bank closure, and the magnitude of parameter estimates decreases with the lag length. Second, while the one-month lagged levels of capital, earnings, and liquidity are significantly associated with the probability of bank closure in the subsequent month, the level of liquidity is the only significant indicator for longer lags. Our key contribution that changes in CAMEL variables matter more than levels is robust to various robustness checks.
dc.format.extent 27
dc.language.iso ENG
dc.relation.ispartofseries BOFIT Discussion Papers
dc.rights https://helda.helsinki.fi/bof/copyright
dc.subject Bofit-kokoelma
dc.subject SP
dc.subject RP ST
dc.subject Venäjä
dc.subject pankkitoiminta
dc.subject likviditeetti
dc.subject.other bank closure
dc.subject.other bank failure
dc.subject.other Russia
dc.subject.other CAMEL indicators
dc.title Determinants of bank closures : Do changes of CAMEL variables matter?
dc.type Paper
dc.identifier.urn URN:NBN:fi:bof-201710301659
dc.subject.jel G01
dc.subject.jel G21
dc.subject.jel G32
dc.subject.jel G34
dc.series.name BOFIT Discussion Papers
dc.series.year 2017
dc.series.number 16/2017
dc.series.sortingnumber 0016
dc.date.publication 30.10.2017
dc.subject.yso taseet
dc.subject.yso indikaattorit
dc.subject.yso riskit
dc.subject.yso konkurssi
dc.contributor.orgunit Institute for Economies in Transition (BOFIT)
dc.description.publication Published in Russian Journal of Money and Finance, 77, 2, 2018, 3–21
dc.identifier.url https://www.cbr.ru/eng/money-and-finance/issues/2018-02/determinants-of-bank-closures-do-levels-or-changes-of-camel-variables-matter/
bof-internal.includedInCRIS 1
dc.type.okm D4

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