Araştırma Makalesi
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THE EFFECTS OF MACROECONOMIC INDICATORS ON THE TURKISH BANKING SECTOR PERFORMANCE

Yıl 2018, Prof. Dr. Harun TERZİ Özel Sayısı, 1 - 20, 19.09.2018
https://doi.org/10.18092/ulikidince.344947

Öz

Examining the bank
performances forms an important point of interest in economy and finance. The
main purpose of this study is to investigate the effects of macroeconomic
indicators on the performance of Turkish Banking Sector through causality
analysis and to reveal the relations. In this study, consumer price index,
gross domestic product and interest variables, which are important determinants
of economy, were taken as macroeconomic indicators. The composite CAMELS value
was used as banking sector performance variable. Relationships between
variables were investigated by Vector Autoregressive (VAR) model. Stability of
variables were tested with ADF and PP unit root tests. Analysis of variance
decomposition and impulse response functions were carried out with the
preformed VAR model. The composite CAMELS value was established by using the
data between 2003: Q3-2016: Q2 period on 22 deposit banks operating in Turkey.
According to the findings of the study; Turkish Banking Sector Performance has
a two-way causality relationship with consumer price index and interest rates,
and a one-way causality relationship with gross domestic product.

Kaynakça

  • Arena, M. (2003). Bank Fundamentals, Bank Failures and Market Discipline: An Empirical Analysis for Latin America and East Asia During The Nineties. (Yayınlanmamış Doktora Tezi). University of Maryland, ABD.
  • Bassett, W. F., Lee, S. J. ve Spiller, T. P. (2015). Estimating Changes in Supervisory Standards and Their Economic Effects. Journal of Banking & Finance, 60, 21-43.
  • Betz, F., Oprica, S., Peltonen, T. A. ve Sarlin, P. (2014). Predicting Distress in European Banks. Journal of Banking & Finance, 45, 225-241.
  • Bongini, P., Laeven, L. Ve Majnoni, G. (2002). How Good is The Market at Assessing Bank Fragility? A Horse Race Between Different Indicators. Journal of Banking & Finance, 26 (5), 1011-1028.
  • Cole, R. A. ve Gunther, J. W. (1995). A CAMEL Rating's Shelf Life. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1293504 (03.04.2017).
  • Collier, C., Forbush, S., Nuxoll, D. A ve O’Keefe, J. (2003). The SCOR System of Off-Site Monitoring: Its Objectives, Functioning and Performance. FDIC Banking Review, 15 (3), 17-32.
  • Daley, J., Matthews ve Whitfield, K.(2008). Too-big-to-fail: Bank Failure and Banking Policy in Jamaica. Journal of International Financial Markets, Institutions and Money, 18 (3), 290-303.
  • Dhal, S., Kumar, P. Ve Ansari, J. (2011). Financial Stability, Economic Growth, Inflation and Monetary Policy Linkages in India: An Empirical Reflection. Reserve Bank of India Occasional Papers, 32 (3), 1-35.
  • Ersoy, E. (2003). CAMEL Derecelendirme Sistemi’ne Göre TMSF’ye Devredilen ve Devredilmeyen Bankaların Karşılaştırmalı Analizi. Active, Eylül-Ekim, 1-9.
  • Federal Deposit Insurance Corporation (t.y.). Uniform Financial Institutions Rating System. https://www.fdic.gov/regulations/laws/rules/5000-900.html (03.04.2017).
  • Ghosh, S. ve Das, A. (2003). Market Discipline in The Indian Banking Sector: An Empirical Exploration. NSE Research Initiative, 1-19.
  • Gilbert, R. A., Meyer, A. P. Ve Vaughan, M. D. (1999). The Role of Supervisory Screens and Econometric Models in Off-Site Surveillance. Federal Reserve Bank Of St. Louis, 31-56.
  • Gilbert, R. A., Meyer, A. P. Ve Vaughan, M. D. (2000). The Role of a CAMEL Downgrade Model in Bank Surveillance. Federal Reserve Bank of St. Louıs Working Paper, 2000-021A, 1-34.
  • Günsel, N. (2012). Micro and Macro Determinants of Bank Fragility in North Cyprus Economy. African Journal of Business Management, 6 (4), 1323-1329.
  • Gonzalez Hermosillo, B., Billings , R. ve Pazarbaşıoğlu, C. (1996). Banking System Fragility; Likelihood Versus Timing of Failure: An Application to the Mexican Financial Crisis. International Monetary Fund, 96 (142), 1-26.
  • Gujarati, D. N. ve Porter, D. C. (2014). Temel Ekonometri, (Çev. Ümit Şenesen ve Gülay Günlük Şenesen), 5. Basım, New York: McGraw-Hill.
  • Hadriche, M. (2015). Banks Performance Determinants: Comparative Analysis Between Conventional and Islamic Banks from GCC Countries. International Journal of Economics and Finance, 7 (9), 169-177.
  • Herrero, A. G. (2005). Determinants of the Venezuelan Banking Crisis of The Mid-1990s: An Event History Analysis. Economia Mexicana NUEVA EPOCA, 14 (1), 71-115.
  • Hirtle, B. J ve Lopez, J. A. (1999). Supervisory Information and The Frequency of Bank Examinations. FRBNY Economic Policy Review, 1-18. Kumar, V., Leone, R. P. ve Gaskins, J. N. (1995). Aggregate and Disaggregate Sector Forecasting Using Consumer Confidence Measures. International Journal of Forecasting, 11 (3), 361-377.
  • Maechler, A. M. ve McDill, K. M. (2006). Dynamic Depositor Discipline in US Banks. Journal of Banking & Finance, 30 (7), 1871-1898.
  • Mannasoo, K. and Mayes, D. G (2009). Explaining Bank Distress in Eastern European Transition Economies. Journal of Banking & Finance, 33 (2), 244-253.
  • Moyo, J., Nandwa, B., Oduor, J. ve Simpasa, A. (2014). Financial Sector Reforms, Competition and Banking System Stability in Sub-Saharan Africa. IMF Macroeconomic Challenges Facing Low-Income Countries New Perspectives.
  • National Credit Union Administration (2000). Camel Rating System. NCUA Letter To Credit Unions, Letter No.: 00-CU-08.
  • Onaolapo, A. A. (2008). Implications Of Capital Regulation on Bank Financial Health and Nigerian Economic Growth 1990-2006. Journal of Economic Theory, 2 (3), 112-117.
  • Özgen, F. ve Güloglu, B. (2004). Türkiye'de İç Borçların İktisadi Etkilerinin VAR Tekniğiyle Analizi. METU Studies in Development, 31 (1), 93-114.
  • Peek, J., Rosengren, E. S. ve Tootell, G. M. B. (1998). Does The Federal Reserve Have An Informational Advantage? You Can Bank on It. Federal Reserve Bank of Boston, 98 (2), 1-31.
  • Seferli, E. (2010). The Effect of Macroeconomic Factors on The Performance of Azerbaijan Banking System. (Yayınlanmamış Yüksek Lisans Tezi). Dokuz Eylül Üniversitesi Sosyal Bilimler Enstitüsü, İzmir.
  • Sahajwala, R. ve Bergh, P. V. D. (2000). Supervisory Risk Assessment and Early Warning Systems. Basel Committee On Banking Supervision Working Papers, 4, 1-53.
  • Shen, C. H. (2003). Prediction of Bank Failures Using Combined Micro and Macro Data. (Yayınlanmamış Doktora Tezi). National Chengchi University Department of Money and Banking, Tayvan.
  • Terzi, H. ve Pata, U. K. (2016). Türkiye'nin İktisadi Büyümesinde Turizm Sektörünün Katkısı. Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 48, 45-64.
  • Tirapat, S. ve Nittayagasetwat, A. (1999). An Investigation of Thai Listed Firms’ Financial Distress Using Macro and Micro Variables. Multinational Finance Journal, 3 (2), 103-125.
  • Whalen, G. ve Thomson, J. B. (1988). Using Financial Data to Identify Changes in Bank Condition. Economic Review-Federal Reserve Bank of Cleveland, 24 (2), 17-26.
  • Wheelock, D. C. ve Wilson, P. (1999). The Contribution of On-site Examination Ratings to An Empirical Model of Bank Failures. Federal Reserve Bank of St. Louis Working Paper Series, 023, 1-26.
  • Yamak, R. ve Korkmaz, A. (2006). Prebisch-Singer Hipotezi ve Küçük Açık Ekonomi Varsayımı”, Selçuk Üniversitesi İİBF Dergisi, 9 (10), 128-143.

MAKRO EKONOMİK GÖSTERGELERİN TÜRK BANKACILIK SEKTÖRÜ PERFORMANSI ÜZERİNE ETKİLERİ

Yıl 2018, Prof. Dr. Harun TERZİ Özel Sayısı, 1 - 20, 19.09.2018
https://doi.org/10.18092/ulikidince.344947

Öz

Bankaların performanslarının
incelenmesi, hem ekonomi hem de finans alanında önemli bir ilgi alanı
oluşturmaktadır. Bu çalışmanın temel amacı; makroekonomik göstergelerin Türk
Bankacılık Sektörü performansı üzerine etkilerini nedensellik analizi ile
araştırıp ilişkilerin ortaya konulmasıdır. Çalışmada ekonominin önemli
belirleyicileri olan tüketici fiyat endeksi, gayri safi yurtiçi hasıla ve faiz
değişkenleri makroekonomik göstergeler olarak alınmıştır. Bankacılık sektörü
performans değişkeni olarak bileşik CAMELS değeri kullanılmıştır. Değişkenler arasındaki
ilişkiler Vektör Otoregresif (VAR) modeli ile araştırılmıştır. Değişkenlerin
durağanlıkları ADF ve PP birim kök testleri ile sınanmıştır. Oluşturulan VAR
modeli ile varyans ayrıştırma ve etki-tepki fonksiyonları analizi
gerçekleştirilmiştir. Bileşik CAMELS değeri, Türkiye’de
faaliyette
bulunan 22 mevduat bankasına ilişkin 2003:Q3-2016:Q2 dönemi verileri
kullanılarak oluşturulmuştur.
Çalışmanın bulgularına
göre; Türk Bankacılık Sektörü performansı ile tüketici fiyat endeksi ve faiz
oranı arasında çift yönlü, gayri safi yurtiçi hasıla ile tek yönlü nedensellik
ilişkisi tespit edilmiştir.

Kaynakça

  • Arena, M. (2003). Bank Fundamentals, Bank Failures and Market Discipline: An Empirical Analysis for Latin America and East Asia During The Nineties. (Yayınlanmamış Doktora Tezi). University of Maryland, ABD.
  • Bassett, W. F., Lee, S. J. ve Spiller, T. P. (2015). Estimating Changes in Supervisory Standards and Their Economic Effects. Journal of Banking & Finance, 60, 21-43.
  • Betz, F., Oprica, S., Peltonen, T. A. ve Sarlin, P. (2014). Predicting Distress in European Banks. Journal of Banking & Finance, 45, 225-241.
  • Bongini, P., Laeven, L. Ve Majnoni, G. (2002). How Good is The Market at Assessing Bank Fragility? A Horse Race Between Different Indicators. Journal of Banking & Finance, 26 (5), 1011-1028.
  • Cole, R. A. ve Gunther, J. W. (1995). A CAMEL Rating's Shelf Life. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1293504 (03.04.2017).
  • Collier, C., Forbush, S., Nuxoll, D. A ve O’Keefe, J. (2003). The SCOR System of Off-Site Monitoring: Its Objectives, Functioning and Performance. FDIC Banking Review, 15 (3), 17-32.
  • Daley, J., Matthews ve Whitfield, K.(2008). Too-big-to-fail: Bank Failure and Banking Policy in Jamaica. Journal of International Financial Markets, Institutions and Money, 18 (3), 290-303.
  • Dhal, S., Kumar, P. Ve Ansari, J. (2011). Financial Stability, Economic Growth, Inflation and Monetary Policy Linkages in India: An Empirical Reflection. Reserve Bank of India Occasional Papers, 32 (3), 1-35.
  • Ersoy, E. (2003). CAMEL Derecelendirme Sistemi’ne Göre TMSF’ye Devredilen ve Devredilmeyen Bankaların Karşılaştırmalı Analizi. Active, Eylül-Ekim, 1-9.
  • Federal Deposit Insurance Corporation (t.y.). Uniform Financial Institutions Rating System. https://www.fdic.gov/regulations/laws/rules/5000-900.html (03.04.2017).
  • Ghosh, S. ve Das, A. (2003). Market Discipline in The Indian Banking Sector: An Empirical Exploration. NSE Research Initiative, 1-19.
  • Gilbert, R. A., Meyer, A. P. Ve Vaughan, M. D. (1999). The Role of Supervisory Screens and Econometric Models in Off-Site Surveillance. Federal Reserve Bank Of St. Louis, 31-56.
  • Gilbert, R. A., Meyer, A. P. Ve Vaughan, M. D. (2000). The Role of a CAMEL Downgrade Model in Bank Surveillance. Federal Reserve Bank of St. Louıs Working Paper, 2000-021A, 1-34.
  • Günsel, N. (2012). Micro and Macro Determinants of Bank Fragility in North Cyprus Economy. African Journal of Business Management, 6 (4), 1323-1329.
  • Gonzalez Hermosillo, B., Billings , R. ve Pazarbaşıoğlu, C. (1996). Banking System Fragility; Likelihood Versus Timing of Failure: An Application to the Mexican Financial Crisis. International Monetary Fund, 96 (142), 1-26.
  • Gujarati, D. N. ve Porter, D. C. (2014). Temel Ekonometri, (Çev. Ümit Şenesen ve Gülay Günlük Şenesen), 5. Basım, New York: McGraw-Hill.
  • Hadriche, M. (2015). Banks Performance Determinants: Comparative Analysis Between Conventional and Islamic Banks from GCC Countries. International Journal of Economics and Finance, 7 (9), 169-177.
  • Herrero, A. G. (2005). Determinants of the Venezuelan Banking Crisis of The Mid-1990s: An Event History Analysis. Economia Mexicana NUEVA EPOCA, 14 (1), 71-115.
  • Hirtle, B. J ve Lopez, J. A. (1999). Supervisory Information and The Frequency of Bank Examinations. FRBNY Economic Policy Review, 1-18. Kumar, V., Leone, R. P. ve Gaskins, J. N. (1995). Aggregate and Disaggregate Sector Forecasting Using Consumer Confidence Measures. International Journal of Forecasting, 11 (3), 361-377.
  • Maechler, A. M. ve McDill, K. M. (2006). Dynamic Depositor Discipline in US Banks. Journal of Banking & Finance, 30 (7), 1871-1898.
  • Mannasoo, K. and Mayes, D. G (2009). Explaining Bank Distress in Eastern European Transition Economies. Journal of Banking & Finance, 33 (2), 244-253.
  • Moyo, J., Nandwa, B., Oduor, J. ve Simpasa, A. (2014). Financial Sector Reforms, Competition and Banking System Stability in Sub-Saharan Africa. IMF Macroeconomic Challenges Facing Low-Income Countries New Perspectives.
  • National Credit Union Administration (2000). Camel Rating System. NCUA Letter To Credit Unions, Letter No.: 00-CU-08.
  • Onaolapo, A. A. (2008). Implications Of Capital Regulation on Bank Financial Health and Nigerian Economic Growth 1990-2006. Journal of Economic Theory, 2 (3), 112-117.
  • Özgen, F. ve Güloglu, B. (2004). Türkiye'de İç Borçların İktisadi Etkilerinin VAR Tekniğiyle Analizi. METU Studies in Development, 31 (1), 93-114.
  • Peek, J., Rosengren, E. S. ve Tootell, G. M. B. (1998). Does The Federal Reserve Have An Informational Advantage? You Can Bank on It. Federal Reserve Bank of Boston, 98 (2), 1-31.
  • Seferli, E. (2010). The Effect of Macroeconomic Factors on The Performance of Azerbaijan Banking System. (Yayınlanmamış Yüksek Lisans Tezi). Dokuz Eylül Üniversitesi Sosyal Bilimler Enstitüsü, İzmir.
  • Sahajwala, R. ve Bergh, P. V. D. (2000). Supervisory Risk Assessment and Early Warning Systems. Basel Committee On Banking Supervision Working Papers, 4, 1-53.
  • Shen, C. H. (2003). Prediction of Bank Failures Using Combined Micro and Macro Data. (Yayınlanmamış Doktora Tezi). National Chengchi University Department of Money and Banking, Tayvan.
  • Terzi, H. ve Pata, U. K. (2016). Türkiye'nin İktisadi Büyümesinde Turizm Sektörünün Katkısı. Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 48, 45-64.
  • Tirapat, S. ve Nittayagasetwat, A. (1999). An Investigation of Thai Listed Firms’ Financial Distress Using Macro and Micro Variables. Multinational Finance Journal, 3 (2), 103-125.
  • Whalen, G. ve Thomson, J. B. (1988). Using Financial Data to Identify Changes in Bank Condition. Economic Review-Federal Reserve Bank of Cleveland, 24 (2), 17-26.
  • Wheelock, D. C. ve Wilson, P. (1999). The Contribution of On-site Examination Ratings to An Empirical Model of Bank Failures. Federal Reserve Bank of St. Louis Working Paper Series, 023, 1-26.
  • Yamak, R. ve Korkmaz, A. (2006). Prebisch-Singer Hipotezi ve Küçük Açık Ekonomi Varsayımı”, Selçuk Üniversitesi İİBF Dergisi, 9 (10), 128-143.
Toplam 34 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm MAKALELER
Yazarlar

Gülay Çizgici Akyüz

Mustafa Emir

Yayımlanma Tarihi 19 Eylül 2018
Yayımlandığı Sayı Yıl 2018 Prof. Dr. Harun TERZİ Özel Sayısı

Kaynak Göster

APA Çizgici Akyüz, G., & Emir, M. (2018). MAKRO EKONOMİK GÖSTERGELERİN TÜRK BANKACILIK SEKTÖRÜ PERFORMANSI ÜZERİNE ETKİLERİ. Uluslararası İktisadi Ve İdari İncelemeler Dergisi1-20. https://doi.org/10.18092/ulikidince.344947


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