Bankalar Krize Asimetrik Tepki mi Veriyor? Türkiye’den Kanıt

Year 2015, Volume: 9 Issue: 2, 9 - 44, 01.12.2015

Vuslat Us

Abstract

Bu çalışmada, banka düzeyinde veri ve panel tahmin teknikleri kullanılarak Türk bankalarının 2002Ç42013Ç3 döneminde küresel krize mülkiyete bağlı olarak asimetrik tepki verip vermediği sınanmaktadır. Bağımlı değişkenler; sermaye yeterliliği, aktif kalitesi, likidite, kârlılık, bilanço ve gelir-gider yapısına ilişkin finansal oranlardan oluşmaktadır. Ana belirleyicileri ise vadesi geçmiş krediler, faaliyet giderleri, döviz açık pozisyonu ve banka büyüklüğü gibi bankaya özgü kontrol değişkenleri ile bankaların borsada işlem görmesi ve banka yaşına ilişkin kukla değişkenler oluşturmaktadır. Makroekonomik koşulların ve para politikasının banka yapısı üzerindeki etkisini yansıtan GSYİH büyümesi, enflasyon, döviz kuru, politika faizi ve zorunlu karşılıklar diğer belirleyiciler arasında yer almaktadır. Tahmin sonuçları, Türk bankalarının küresel krize mülkiyetlerine bağlı olarak asimetrik tepki verdiğini göstermektedir. Bu sonuç, küresel kriz öncesi ve sonrasında makroekonomik koşullar ve politikayla ilgili açıklayıcı değişkenlerin bankalar üzerinde eşit olmayan etkiler göstermesine neden olan yapısal, kurumsal ve tarihsel etkenlerle açıklanabilir. Bunun yanı sıra, bankaya özgü belirleyicilerin etkilerinin kriz öncesi ve sonrası dönemde farklı mülkiyet kategorileri arasında aynı orantıda olmadığı gözlemlenmektedir. Bu bulgular, Türk bankacılık sektörünün asimetrik tepkisini tespit edebilmek için mülkiyet ayrımında incelenmesinin önemini ve küresel krizin etkisini yakalayabilmek için analizin alt dönemler itibarıyla yapılması gerektiğini vurgulamaktadır

Keywords

Küresel Kriz, Mülkiyet, Panel Tahmini, Sermaye Yeterliliği, Kârlılık, Türk Bankacılık Sektörü

Do Banks Respond Asymmetrically to the Global Crisis? Evidence From Turkey

Abstract

This paper tests whether Turkish banks respond asymmetrically to the global crisis with respect to their ownership using bank-level data during 2002Q4-2013Q3 period and employing panel estimation techniques. The dependent variables are selected financial ratios on capital adequacy, asset quality, liquidity, profitability, balance sheet and income-expenditure structure. Main determinants are bank-specific control variables on overdue loans, overhead costs, FX open position and bank size as well as dummy variables for bank listing and bank age. Other determinants include GDP growth, inflation, exchange rate, policy rate and required reserves, which reflect the impact of macroeconomic conditions and the monetary policy on bank structure. Estimation results suggest that Turkish banks respond asymmetrically to the global crisis with respect to their ownership. This result can be attributed to structural, institutional and historical factors, which cause macroeconomic and policy-related explanatory variables to have uneven effects on banks before and after the global crisis. Meanwhile, the impacts of bank-specific determinants are also observed to be disproportionate across different ownership categories between the pre-crisis and the post-crisis periods. These findings highlight the importance of analyzing the Turkish banking sector by an ownership breakdown in order to detect the asymmetric response and the paper also emphasizes the need to perform the analysis by sub-periods to be able to capture the effect of the global crisis

Keywords

Global Crisis, Ownership, Panel Estimation, Capital Adequacy, Profitability, Turkish Banking Sector

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