BÜYÜK ÖLÇEKLİ MEVDUAT BANKALARININ KISA ve UZUN VADELİ FAİZ ORANI RİSKİ DUYARLILIKLARININ İNCELENMESİ: KANTİL REGRESYON (QUANTILE REGRESSION) YÖNTEMİNE DAYALI BİR ANALİZ

Yıl 2018, Cilt: 10 Sayı: 19, 243 - 261, 01.07.2018

Önder Büberkökü

https://doi.org/10.14784/marufacd.502130

Öz

Günümüzde FED (Federal Reserve Bank, FED) ve ECB’nin
(European Central Bank, ECB) para politikaları uygulamaları ve TCMB’nin
(Türkiye Cumhuriyet Merkez Bankası, TCMB) faiz politikasına ilişkin tartışmalar
faiz oranları üzerindeki belirsizliğin artması sonucu doğurmuştur. Bu çalışmada
BİST’te (Borsa İstanbul, BIST) işlem gören 6 büyük mevduat bankasının kısa ve
uzun vadeli faiz oranı riskine olan duyarlılıkları iki faktörlü Arbitraj
Fiyatlama Modeli ile incelenmiştir. Kısa vadeli faiz oranı olarak 3 ay vadeli
bankalar arası para piyasası faiz oranı, uzun vadeli faiz oranı olarak ise 10
yıl vadeli devlet tahvili faiz oranları kullanılmıştır. Model tahminlerinde kantil
regresyon yönteminden yararlanılmıştır. Böylece, standart EKK (En Küçük
Kareler, EKK) yöntemine göre daha etkin ve tutarlı tahminciler elde edilmiştir.
Bulgular, bankaların hem kısa hem de uzun vadeli faiz oranı riskine duyarlı olduklarını
ve faiz oranlarındaki artışlardan negatif bir şekilde etkilendiklerini göstermektedir.
Ayrıca, bankaların uzun vadeli faiz oranları riskine olan duyarlılıklarının
belirgin bir şeklide fazla olduğu anlaşılmaktadır. 

Anahtar Kelimeler

Faiz oranı riski, Mevduat bankaları, Kantil regresyon

Kaynakça

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