Crisis Duration Bias: A Multinomial Logit Approach for Islamic Banking

Year 2024, , 27 - 45, 30.06.2024

Ayşegül Aytaç

https://doi.org/10.31679/adamakademi.1261323

Abstract

In this study an early warning system (EWS) model is constructed for predicting the banking crisis (BC) of Islamic banks (IBs). To this aim, multinomial logit regression is employed regarding the levels of the explanatory variables are different in their tranquil and crisis/post-crisis levels which is called as the crisis duration bias (CDB). The analysis is conducted with three time windows following Bussiere and Fratzscher (2006) and Caggiano et al. (2016). Accordingly, the IBs in each country experiences three states as tranquil period (Yi,t=0), a pre-fragility period (Yi,t=1) and post-fragility period (Yi,t=2). The results address CDB problem and both macroeconomic and banking sector variables are crucial in determining the early warning indicators of the fragility of IBs. This study also draws attention to predictive performances of binomial logit approach and multinomial logit approach. According to the results, the overall predictive performance of the multinomial logit regression reveals superior results than binomial logit regression.

Keywords

banking crisis, Islamic banking, Multinomial Logit Regression

Kriz Zamanı Sapması: İslami Bankacılık için Çok Terimli Lojistik Regresyon Yöntemi

Abstract

Bu çalışmada, İslami bankaların bankacılık krizlerini tahmin edebilmek için bir erken uyarı sistemi oluşturulmuştur. Bu amaçla, açıklayıcı değişkenlerin sakin ve kriz/kriz sonrası dönemlerde farklı seviyelerde olduğu göz önüne alınarak çok terimli lojistik regresyon kullanılmıştır. Analiz, Bussiere and Fratzscher (2006) ve Caggiano et al. (2016) göz önüne alınarak üç zaman penceresi ile oluşturulmuştur. Buna göre, her ülkedeki İslami Bankalar sakin dönem (Yi,t=0), kırılganlık öncesi dönem (Yi,t=1) ve kırılganlık sonrası dönem (Yi,t=2) dönemlerini deneyimlemektedir. Sonuçlar, kriz süresi sapma problemini ve makroekonomik ve bankacılık değişkenlerinin İslami bankaların bankacılık krizlerine karşı olan kırılganlıklarını açıklamada başarılı olduğunu göstermektedir. Bu çalışma aynı zamanda çok terimli lojistik regresyon ve ikili lojistik regresyon yönteminin genel tahmin başarısına dikkat çekmektedir. Sonuçlara göre, çok değişkenli lojistik regresyon, ikili lojistik regresyona kıyasla daha iyi başarılı tahmin performansı göstermektedir.

Keywords

Bankacılık Krizi, İslami Bankacılık, Çok Terimli Regresyon Analizi

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