Banking Sector Fragility in Turkey: The Role of US Economic Policy Uncertainty

Abstract

This study analyzes the impact of US economic policy uncertainty on the fragility of the Turkish banking sector. For this purpose, the Banking Sector Fragility Index is constructed to determine the fragile periods of the Turkish banking sector. The study is based on quarterly data covering the 2005q4 and 2023q4 periods. In this context, the monthly index of US economic policy uncertainty constructed in Baker et al. (2016) was converted into a quarterly index by averaging the values. The analysis is conducted using the probit model. According to the findings of the study, US economic policy uncertainty is an important factor that increases the probability of Turkish banking sector vulnerability. In addition, the US economic policy uncertainty variable is found to be a factor that highly increases the explanatory power and predictive power of the model. Economic growth, inflation, interest rate, regulatory capital to risk-weighted assets ratio, return on assets, loans to private sector to GDP ratio and net open FX position to capital ratio variables are also found to be statistically significant on Turkish banking sector vulnerabilities.

Keywords

• Banking Sector Fragility
• Economic Policy Uncertainty
• Probit Model

Türkiye Bankacılık Sektörü Kırılganlığı: ABD Ekonomi Politikası Belirsizliğinin Rolü

Abstract

Bu çalışmada, ABD ekonomi politikası belirsizliğinin, Türkiye bankacılık sektörü kırılganlığı üzerindeki etkisi incelenmiştir. Bu amaçla, Türkiye bankacılık sektörü kırılganlıklarını belirlemek için öncelikle Bankacılık Sektörü Kırılganlık Endeksi oluşturulmuştur. Çalışma, 2005q4 ve 2023q4 dönemlerini kapsayan çeyreklik verilerle gerçekleştirilmiştir. Bu bağlamda, ABD ekonomi politikası belirsizlik endeksi Baker vd. (2016) çalışmasında oluşturulan aylık endeks, değerlerin ortalaması alınarak çeyreklik endekse dönüştürülmüştür. Analiz probit model kullanılarak gerçekleştirilmiştir. Çalışmanın bulgularına göre, ABD kaynaklı ekonomi politikası belirsizliği, Türkiye bankacılık sektörü kırılganlığı olasılığını arttıran önemli bir faktördür. Buna ek olarak, ABD ekonomi politikası belirsizliği değişkeni oluşturulan modelin açıklama gücünü ve öngörü gücünü yüksek oranda arttıran bir faktör olarak tespit edilmiştir. Çalışmada ekonomik büyüme, enflasyon, faiz oranı, düzenleyici sermayenin risk ağırlıklı varlıklara oranı, aktif karlılığı, özel sektöre verilen kredilerin GSYH’ye oranı ve net açık döviz pozisyonunun sermayeye oranı değişkenleri de Türkiye bankacılık sektörü kırılganlıkları üzerinde istatistiksel olarak anlamlı bulunmuştur.

Keywords

• Ekonomi Politikası Belirsizliği
• Probit Model
• Bankacılık Sektörü Kırılganlığı

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