Reel Efektif Kur, Çekirdek Sermaye Yeterliliği ve Özsermayenin Karlılığı Arasındaki İlişkinin Analizi: Türkiye Örneği

Year 2019, Volume: 7 Issue: 2, 319 - 332, 31.12.2019

Esra N. Kılcı , Burcu Kıran Baygın

https://doi.org/10.17093/alphanumeric.521848

Abstract

Döviz kurundaki dalgalanmalar, çekirdek sermaye yeterliliği ve özsermayenin karlılığı arasındaki ilişkinin analizi, söz konusu dalgalanmaların banka sermayesi ve karlılığında erezyona yol açtığı dikkate alındığında, döviz kurunda istikrarın sağlanabilmesi amacıyla uygun politikaların geliştirilebilmesi açısından büyük önem arzetmektedir. Bu nedenle, akademik literatürde konuyla ilgili yapılan çalışmaların sayısının arttığı görülmektedir. Bu çalışmanın amacı, reel efektif döviz kuru, çekirdek sermaye yeterliliği ve özsermayenin karlılığı arasındaki ilişkinin 2014:01-2018:09 dönemi için analiz edilmesidir. Analizde, serilerin durağanlıklarının test edilmesi amacıyla Carrion-i Silvestre ve diğ.(2009) birim kök testi ve eşbütünleşme ilişkisinin araştırılması amacıyla Maki(2012) eşbütünleşme testi uygulanmaktadır. Analiz sonuçları, Türk Bankacılık Sektöründe, analize konu olan dönemde, reel efektif döviz kuru ve özsermayenin karlılığı arasında uzun dönemli bir ilişki olduğunu desteklerken, reel efektif döviz kuru ve çekirdek sermaye yeterliliği arasında uzun dönemli bir ilişki tespit edilememiştir.

Keywords

Reel Efektif Döviz Kuru, Çekirdek Sermaye, Özsermayenin Karlılığı, Türk Bankacılık Sektörü, Yapısal Kırılmalar

Analysis of the Relationship between Real Effective Exchange Rate, Common Equity and Return on Equity: Evidence from Turkey

Abstract

The analysis of the relationship between exchange rate fluctuations, common equity and return on equity is of high importance to be able to improve adequate policies with the purpose of maintaining stability in foreign exchange rate, when it is taken into consideration that mentioned fluctuations lead to the loss in bank capital and profitability. Hence, the studies in the related literature have been increasing in great amount recently. The objective of this study is to investigate the relationship between real effective exchange rate, common equity and return on equity in the period of 2014:01 - 2018:09. The unit root properties of the series are tested by using Carrion-i Silvestre et al.(2009) unit root test and the cointegration relationship between the series is investigated by employing Maki(2012) cointegration test. Both tests take into account multiple structural breaks. The results indicate that there is only a long run relationship between real effective exchange rate and return on equity for Turkish Banking Sector with structural breaks.

Keywords

Real Effective Exchange Rate, Common Equity, Return on Equity, Turkish Banking Sector

References

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