Bank Risk in Central and Eastern European Countries: Does Ownership Matter?
Résumé
Our main objectives are to estimate the risk of Central and Eastern European banks and
determine its factors focussing on the role of ownership structures. We apply market-based
risk measures and an improved Z-score and conclude that foreign and private banks are less
risky than state-owned institutions. Moreover, a higher proportion of interbank deposits
amplifies the risk of foreign banks and reduces that of public institutions. The effect of longterm
funds is negative for state-owned banks with market-based measure, whereas it is
positive with accounting-based measure. Another result is the negative impact of the
concentration on interest-bearing activities on the risk of all banks regardless their ownership
structure. Finally, the enforcement of the banking regulation reduces the risk of foreign banks
and increases that of public institutions.
Origine | Fichiers produits par l'(les) auteur(s) |
---|