Financial stress assesment of european union (eu) banking sector: Panel-var approach

Year 2012, Volume: 23 Issue: 81, 81 - 100, 01.10.2012

Onur Altın

Abstract

In this study, financial stress assesment of European Union (EU) Banking Sector had been achieved by fulfiling VAR analysis using Panel data set belong to EU countries called EU-19 group. To fulfil more consistent estimation, sample consist of EU-19 countries has divided two identical panel data group called “low-risk A” and “high-risk B” according to their S&P credit rating scores. Estimation results show that financial stability indicators defined in the study (such as Z-Score, Net Interest Margin and ROE) explained mainly by GDP. Besides strong evidence about that shock rises in credit deeping and international debt issues of studied EU countries affect negatively on financial stability indicators in the long term had been reached except for evidence about ROE in Group B countries.

Keywords

-

Avrupa birliği bankacılık sektöründe finansal stresin değerlendirilmesi: Panel-var yaklaşımı

Abstract

Bu çalışmada EU-19 grubu olarak adlandırılan Avrupa Birliği ülkelerine ait panel veri seti kullanılarak yapılan VAR analizi ile AB Bankacılık Sektörünün finansal stres değerlendirmesi yapılmıştır. EU-19 ülkeleri, daha tutarlı tahminlerin yapılabilmesi için EU-19 ülkelerinden oluşan örneklem S&P kredi derecelendirme notlarına göre düşük riskli A ve yüksek riskli B olmak üzere özdeş iki panel veri grubuna ayrılmıştır. Tahmin sonuçları çalışmada belirlenen finansal istikrar göstergelerinin (Z-Score, net faiz marjı ve özsermaye karlılığı) büyük ölçüde GSYH tarafından açıklanmakta olduğunu göstermektedir. Ayrıca, B grubu ülkeleri özsermaye karlılığına ilişkin elde edilen bulgular hariç, iki grupta da yer alan AB ülkelerinin kredi derinliğindeki ve uluslararası borçlanma faaliyetlerindeki şok artışların, uzun vadede söz konusu ülkelerin finansal istikrar göstergelerini olumsuz etkilediği konusunda güçlü bulgulara ulaşılmıştır.

Keywords

-

References

• Akkaya, C., Tükenmez, M., Kutay, N. ve Kabakçı, A. (2008). “Pazar Risk Modeli: Bir Riske Maruz Değer ve Stres Testi Uygulaması”, Ege Akademik Bakış, Sayı 8, Cilt 2, ss.813-821
• Alexander, C. ve Sheedy, E. (2008), “Developing A Stress Testing Framework Based On Market Risk Models” Journal of Banking and Finance, Vol.32 (10), ss.2220-2236
• Bandt D. O. ve Oung V. (2004), “Assessment of Stress Tests Conducted on the French Banking System”, Bank of France Working Paper, No:5, ss.55-72
• Boss, M. (2002), “A Macroeconomic Credit Risk Model for Stress Testing the Austrian Credit Portfolio”, Central Bank of Austria Financial Stability Report, No:4, ss. 64-82
• Beşe, E. (2007), “Finansal Sistem Stres Testi Uygulamaları ve Türkiye Örneği”. TCMB Uzmanlık Yeterlilik Tezi
• Blaschke, W., Jones, M., Majnonı, G. Ve Perıa, S. (2001), “Stress Testing of Financial Systems: An Overview of Issues, Methodologies, and FSAP Experiences”, IMF Working Paper, No: 01/08
• Cıhak, M. (2007), “Introduction to Applied Stress Testing”, IMF Working Paper, 07/59.Cıhak, M
• (2006), “How Do Banks Write On Financial Stability?”. Czech National Bank Research and Policy Note, No: 3
• Cıhak, M. (2004), “Stress Testing A Review Of Key Concepts”. Czech National Bank Research and Policy Note, No:2
• Dımson, E. ve Marsh, P. (1996), “Stress Tests Of Capital Requirements”, Center For Financial Institutions Working Papers, No: 96/50
• Enders, W. (2004), Applied Econometric Time Series, New Jersey: John Wiley & Sons.Engle, R.F. ve Granger, C.W.J. (1987), “Co-Integration and Error Correction: Representation, Estimation and Testing”, Econometrica, 55, Ss.251-276
• Fılosa, R. (2007), “Stress Testing The Stability Of The Italian Banking System: A Var Approach”, Universita Di Modena E Reggio Emilia, Dipartimento Di Economia Politica, Heterogeneity and Monetary Policy Series, No: 0703
• Goodhart, C.A.E. (2006), “A Framework For Assessing Financial Stability?”, Journal of Banking & Finance, Vol.30, Ss. 3415–3422
• Gujaratı, D.N. (2001), Temel Ekonometri (Ü. Şenesen, G.G. Şenesen, Çev), Literatür Yayınları, 3
• Basım, İstanbul
• Hoggarth, G and Pain, D. (2002), “Bank Provisioning: The UK Experience”, Bank of England Financial Stability Review, Ss.116-27
• Hoggarth, G Ve Whıtley, J. (2003), “Assessing The Strength Of UK Banks Through Macroeconomic Stress Tests”, Bank of England Financial Stability Review, Ss. 91-103
• Hoggarth, G., Sorensen, S. Ve Zıcchıno, L. (2005), “Stress Tests of UK Banks Using a Var Approach”, Bank Of England Working Paper, No: 282
• Jones, M., Hılbers P. Ve Slack G. (2004), “Stress Testing Financial Systems: What To Do When The Governor Calls”, IMF Working Paper, No: 04/127, 2004
• Sıms, C.A. (1980). “Macroeconomics And Reality” Econometrica, Vol.48(1) Ss. 1-48
• Sıms, C.A., Stock, J.H. Ve Watson, M.W. (1990). “Inference 􀃸n Linear Time Series Models With Some Unit Roots” Econometrica, Vol.58(1), Ss.113-144
• Sorge, M. (2004), “Stress Testing Financial Systems: An Overview of Current Methodologies”, BIS Working Paper, No: 165
• Stock, J. ve Watson, M.W. (2001), “Vector Autoregressions”, Journal of Economic Perspectives. Vol 15, No 4, Ss. 101-115