Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/212879 
Year of Publication: 
2017
Series/Report no.: 
BOFIT Discussion Papers No. 16/2017
Publisher: 
Bank of Finland, Institute for Economies in Transition (BOFIT), Helsinki
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.
JEL: 
G01
G21
G32
G34
Persistent Identifier of the first edition: 
ISBN: 
978-952-323-195-5
Document Type: 
Working Paper

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