Research Article
BibTex RIS Cite

Likidite Riski Yönetiminde Vadesiz ve Vadeli Mevduatların Davranışsal Modellenmesi

Year 2022, Volume: 16 Issue: 1, 1 - 26, 30.03.2022
https://doi.org/10.46520/bddkdergisi.1095630

Abstract

Bu çalışmada, Jarrow-Deventer (1998) Modeli yaklaşımı üzerinden mevduat hacimleri makro ekonomik ve finansal değişkenlerle modellenmiştir. Kalkbrener-Willing (2014) metodolojisine göre Monte Carlo simülasyon yöntemi uygulanarak gelecek beş yıllık dönem için %99 güven düzeyinde çekirdek mevduat tutarları ve davranışsal vade yapıları tahmin edilmiştir. Ocak 2012 – Aralık 2019 dönemi arasındaki aylık veriler kullanılmıştır. Ampirik bulgular, mevduat hacminin Amerikan Doları Türk Lirası (USD/TRY) döviz kuru ve piyasa faiz oranı değişkenleriyle istatistiksel olarak açıklandığını ve gerçek kişi mevduatların ticari kişi mevduatlara oranla çekirdek mevduat oranlarının daha yüksek olduğunu göstermektedir. Benzer şekilde, vadeli mevduatların vadesiz mevduatlara, Türk Parası (TP) mevduatların ise Yabancı Para (YP) mevduatlara oranla daha yüksek çekirdek mevduat oranına sahip olduğu bulgularına ulaşılmıştır.

References

  • 1. Bankacılık Düzenleme ve Denetleme Kurumu, (2010). Krizden İstikrara Türkiye Tecrübesi. Çalışma Tebliği, https://www.bddk.org.tr/Duyuru/ EkGetir/400?ekId=411 (17/02/2022).
  • 2. Bankacılık Düzenleme ve Denetleme Kurumu, (2016). Likidite Riskinin Yönetimine İlişkin Rehber, https://www.bddk.org.tr/
  • 3. Bank for International Settlements, (2008). Principles for Sound Liquidity Risk Management And Supervision, https://www.bis.org/
  • 4. Benbachir, S. ve Hamzi, M.. (2016). Non-Maturity Deposit Modeling in The Framework of Asset Liability Management. International Journal of Economics And Financial Research, 2(5), 79-98.
  • 5. Bank of Japan, (2014). Survey on Core Deposit Modeling in Japan: Toward Enhancing Asset Liability Management. https://www.boj.or.jp/en/research/ brp/ron_2014/data/ron140331a.pdf (19/04/2017).
  • 6. Castagna, A. ve Fede F.. (2013). Measuring And Managing Liquidity Risk. John Wiley & Sons.
  • 7. Chiaramonte, L..(2018). Bank Liquidity and the Global Financial Crisis the Causes and Implications of Regulatory Reform. Palgrave Macmillan Studies in Banking and Financial Institutions, Palgrave Macmillan.
  • 8. Choudhry, M.. (2012). The Principles of Banking. John Wiley & Sons Singapore Pte. Ltd.
  • 9. Domin, N. ve Stavrén, F.. (2019). Modeling of Non-Maturing Deposits. Kth Royal Institute of Technology School of Engineering Sciences, Sweeden.
  • 10. European Central Bank (2021). What are internal models?. https:// www.bankingsupervision.europa.eu/about/ssmexplained/html/internal_models.en.html#:~:text=Internal%20models%2C%20on%20the%20 other,capital%20and%20better%20risk%20management. (07.02.2022).
  • 11. Elkenbracht, M. ve Nauta, B-J.. (2006). Managing interest rate risk for nonmaturity deposits. https://www.risk.net/risk-management/1500326/managing-interest-rate-risk-non-maturity-deposits (20.02.2022).
  • 12. Edmister, R.O. ve Merriken, H.E.. (1989). Measuring interest rate sensitivity of consumer depositors. Journal of Financial Services Research 2, 133–145.
  • 13. Eriemo, N.O. (2014). Macroeconomic determinants of bank deposits in Nigeria. Journal of Economic and Sustainable Development, 5(10), 49-58.
  • 14. Federal Deposit Insurance Corporation, (2011). Study on Core Deposits and Brokered Deposits. https://www.fdic.gov/regulations/reform/coredepositstudy.pdf (22/01/2022).
  • 15. Fiedler, R.. (2012). Liquidity Modelling. London, UK, Risk Books.
  • 16. Gatev, E. ve Diğerleri. (2004). How Do Banks Manage Liquidity Risk? Evidence From Equity and Deposit Markets In The Fall Of 1998. http://www. nber.org/papers/w10982 (22/01/2022).
  • 17. Gilkeson, J. H. ve Ruff, C. K..(1996). Valuing the Withdrawal Option in Retail CD Portfolios. Journal of Financial Services Research, 10, 333-358.
  • 18. Guliyev, H.ve Tatoğlu, Y.F.. (2021). Customer Churn Analysis in Banking Sector: Evidence From Explainable Machine Learning Models. Journal of Applied Microeconometrics (JAME). 1(2), 85-99.
  • 19. Halk Bankası, (2020) 2020 Entegre Faaliyet Raporu, https://www.halkbank. com.tr/
  • 20. Hannan, T. H. ve Berger, A.N..(1991). The Rigidity of Prices: Evidence from the Banking Industry. American Economic Review, American Economic Association, 81(4), 938-945.
  • 21. Hull, J.. (2017). Options, Futures, and Other Derivatives. 10th Edition, New York, NY: Pearson.
  • 22. Hull, J.. (2015). Risk Management and Financial Institutions. 4th Edition, Hoboken, New Jersey, John Wiley & Sons.
  • 23. Hutchison, D. ve Pennacchi, G.. (1996). Measuring rents and interest rate risk in imperfect financial markets: the case of retail bank deposits. Journal of Financial and Quantitative Analysis 31, 399- 417.
  • 24. Jarrow, R. A. ve Diğerleri. (1999). An Empirical Analysis of The Jarrow-Van Deventer Model for Valuing Non-Maturity Demand Deposits. https://www. researchgate.net/publication/240315680 (22/01/2021).
  • 25. Jarrow, R. A. ve Deventer D. R.. (1998). The Arbitrage-Free Valuation and Hedging of Demand Deposits and Credit Card Loans. Journal Of Banking and Finance, 22 26. Kalkbrenner, M. ve Willing J.. (2014). Risk Management of Non-Maturing Liabilities. Journal of Banking and Finance, 28.
  • 27. Kördel, A.. (2017). Modeling Deposit Rates of Non-Maturity Deposits. https://www.math.kth.se/matstat/seminarier/reports/m-exjobb17/170529. pdf (22/01/2022).
  • 28. Lehman Brothers Examiner’s Report, https://web.stanford.edu/~jbulow/lehmandocs/volume%201.pdf (22/01/2022).
  • 29. Matz, L. ve Neu, P.. (2007). Liquidity Risk Measurement and Management A Practitioner’s Guide to Global Best Practices. John Wiley & Sons (Asia) Pte Ltd.
  • 30. Mashamba, T., Magweva, R. ve Gumbo, L.C.. (2014). Analysing the relationship between banks’deposit interest rate and deposit mobilization: empirical evidence from Zimbabweancommercial banks (1980-2006). Iosr Journal of Business and Management,16(1), 64-75.
  • 31. Mishkin, F.S.. (2011). Over the Cliff: From the Subprime to the Global Financial Crisis. Journal of Economic Perspectives, 25(1), 49-70.
  • 32. Moody’s Analytics, (2014). Asset And Liability Management: Applications for The Management and Modeling of Non-Maturing Deposits. https:// www.moodysanalytics.com/-/media/whitepaper/2014/2014-22-05-assetliability-management-applications-modeling-non-maturing-deposits.pdf (29/05/2021).
  • 33. Nikolaou, K..(2009). Liquidity Risk Concepts Definition and Interactions. ECB Working Paper Series, 1008.
  • 34. Ngula, I.B.. (2012). Determinants of deposit mobilization and its role in economic growth in Ghana.Yüksek Lisans Tezi, Kwame Nkrumah University of Science and Technology.
  • 35. O’Brien, J., Orphanides, A. ve Small, D.. (1994). Estimating the interest rate sensitivity of liquid retail deposit values. Proceedings 42, Federal Reserve Bank of Chicago.
  • 36. O’Brien, J..(2000). Estimating the Value and Interest Rate Risk of InterestBearing Transactions Deposits, Division of Research and Statistics Board of Governors Federal Reserve System.
  • 37. Önalan, Ö..(2009). Vasicek ve CIR Modellerinin Kullanılarak Oyanklık ve Faiz Oranlarının Modellenmesi, Marmara Üniversitesi İ.İ.B.F Dergisi, 27(2), 329- 344.
  • 38. Özen, E., Grima, S. ve Vurur, S..(2018). Investigation of Causality between Interest Rate and Deposit Investor’s Behaviour. Broad Research in Artificial Intelligence and Neuroscience, 9(4).
  • 39. Paraschiv, F ve Schürle, M..(2010). Modeling Client Rate and Volumes of Non-Maturing Accounts. Institute for Operations Research and Computational Finance.
  • 40. Pradhan, R. S. ve Paneru, D..(2017). Macroeconomic Determinants of Bank Deposit of Nepalese Commercial Banks. http://dx.doi.org/10.2139/ ssrn.3044098.
  • 41. Selvaggio, R.. (1996). Using the OAS methodology to value and hedge commercial bank retail demand deposit premiums. Fabozzi, F., Konishi, A. (Ed.), The Handbook of Asset/ Liability Management.
  • 42. Şişman, M. Ö..(2007). Faiz Oranı Getiri Eğrisi Simülasyonu Yöntemleri ve Bankacılıkta Aktif Pasif Yönetimi Üzerine Etkileri:Türkiye’de Ticari Bankalar Üzerine Bir Uygulama. Doktora Tezi, İstanbul Universitesi, Sosyal Bilimler Enstitüsü.
  • 43. Türkiye Bankalar Birliği, (2020) Banka ve Sektör Bilgileri İstatistiki Raporlar, https://www.tbb.org.tr/
  • 44. Türkiye Cumhuriyet Merkez Bankası, (2021) Enflasyon Raporu 2021-1, https://www.tcmb.gov.tr/
  • 45. Yakubu, I.N. ve Abokor, A. H..(2020). Factors Determining Bank Deposit Growth in Turkey: An Empirical Analysis. Rajagiri Management Journal, 14(2), 121-132. 46. Ziraat Bankası, (2020) 2020 Entegre Faaliyet Raporu, https://www.ziraatbank.com.tr/tr

Behavioral Modelling of Non-Maturing and Time Deposits in Liquidity Risk Management

Year 2022, Volume: 16 Issue: 1, 1 - 26, 30.03.2022
https://doi.org/10.46520/bddkdergisi.1095630

Abstract

References

  • 1. Bankacılık Düzenleme ve Denetleme Kurumu, (2010). Krizden İstikrara Türkiye Tecrübesi. Çalışma Tebliği, https://www.bddk.org.tr/Duyuru/ EkGetir/400?ekId=411 (17/02/2022).
  • 2. Bankacılık Düzenleme ve Denetleme Kurumu, (2016). Likidite Riskinin Yönetimine İlişkin Rehber, https://www.bddk.org.tr/
  • 3. Bank for International Settlements, (2008). Principles for Sound Liquidity Risk Management And Supervision, https://www.bis.org/
  • 4. Benbachir, S. ve Hamzi, M.. (2016). Non-Maturity Deposit Modeling in The Framework of Asset Liability Management. International Journal of Economics And Financial Research, 2(5), 79-98.
  • 5. Bank of Japan, (2014). Survey on Core Deposit Modeling in Japan: Toward Enhancing Asset Liability Management. https://www.boj.or.jp/en/research/ brp/ron_2014/data/ron140331a.pdf (19/04/2017).
  • 6. Castagna, A. ve Fede F.. (2013). Measuring And Managing Liquidity Risk. John Wiley & Sons.
  • 7. Chiaramonte, L..(2018). Bank Liquidity and the Global Financial Crisis the Causes and Implications of Regulatory Reform. Palgrave Macmillan Studies in Banking and Financial Institutions, Palgrave Macmillan.
  • 8. Choudhry, M.. (2012). The Principles of Banking. John Wiley & Sons Singapore Pte. Ltd.
  • 9. Domin, N. ve Stavrén, F.. (2019). Modeling of Non-Maturing Deposits. Kth Royal Institute of Technology School of Engineering Sciences, Sweeden.
  • 10. European Central Bank (2021). What are internal models?. https:// www.bankingsupervision.europa.eu/about/ssmexplained/html/internal_models.en.html#:~:text=Internal%20models%2C%20on%20the%20 other,capital%20and%20better%20risk%20management. (07.02.2022).
  • 11. Elkenbracht, M. ve Nauta, B-J.. (2006). Managing interest rate risk for nonmaturity deposits. https://www.risk.net/risk-management/1500326/managing-interest-rate-risk-non-maturity-deposits (20.02.2022).
  • 12. Edmister, R.O. ve Merriken, H.E.. (1989). Measuring interest rate sensitivity of consumer depositors. Journal of Financial Services Research 2, 133–145.
  • 13. Eriemo, N.O. (2014). Macroeconomic determinants of bank deposits in Nigeria. Journal of Economic and Sustainable Development, 5(10), 49-58.
  • 14. Federal Deposit Insurance Corporation, (2011). Study on Core Deposits and Brokered Deposits. https://www.fdic.gov/regulations/reform/coredepositstudy.pdf (22/01/2022).
  • 15. Fiedler, R.. (2012). Liquidity Modelling. London, UK, Risk Books.
  • 16. Gatev, E. ve Diğerleri. (2004). How Do Banks Manage Liquidity Risk? Evidence From Equity and Deposit Markets In The Fall Of 1998. http://www. nber.org/papers/w10982 (22/01/2022).
  • 17. Gilkeson, J. H. ve Ruff, C. K..(1996). Valuing the Withdrawal Option in Retail CD Portfolios. Journal of Financial Services Research, 10, 333-358.
  • 18. Guliyev, H.ve Tatoğlu, Y.F.. (2021). Customer Churn Analysis in Banking Sector: Evidence From Explainable Machine Learning Models. Journal of Applied Microeconometrics (JAME). 1(2), 85-99.
  • 19. Halk Bankası, (2020) 2020 Entegre Faaliyet Raporu, https://www.halkbank. com.tr/
  • 20. Hannan, T. H. ve Berger, A.N..(1991). The Rigidity of Prices: Evidence from the Banking Industry. American Economic Review, American Economic Association, 81(4), 938-945.
  • 21. Hull, J.. (2017). Options, Futures, and Other Derivatives. 10th Edition, New York, NY: Pearson.
  • 22. Hull, J.. (2015). Risk Management and Financial Institutions. 4th Edition, Hoboken, New Jersey, John Wiley & Sons.
  • 23. Hutchison, D. ve Pennacchi, G.. (1996). Measuring rents and interest rate risk in imperfect financial markets: the case of retail bank deposits. Journal of Financial and Quantitative Analysis 31, 399- 417.
  • 24. Jarrow, R. A. ve Diğerleri. (1999). An Empirical Analysis of The Jarrow-Van Deventer Model for Valuing Non-Maturity Demand Deposits. https://www. researchgate.net/publication/240315680 (22/01/2021).
  • 25. Jarrow, R. A. ve Deventer D. R.. (1998). The Arbitrage-Free Valuation and Hedging of Demand Deposits and Credit Card Loans. Journal Of Banking and Finance, 22 26. Kalkbrenner, M. ve Willing J.. (2014). Risk Management of Non-Maturing Liabilities. Journal of Banking and Finance, 28.
  • 27. Kördel, A.. (2017). Modeling Deposit Rates of Non-Maturity Deposits. https://www.math.kth.se/matstat/seminarier/reports/m-exjobb17/170529. pdf (22/01/2022).
  • 28. Lehman Brothers Examiner’s Report, https://web.stanford.edu/~jbulow/lehmandocs/volume%201.pdf (22/01/2022).
  • 29. Matz, L. ve Neu, P.. (2007). Liquidity Risk Measurement and Management A Practitioner’s Guide to Global Best Practices. John Wiley & Sons (Asia) Pte Ltd.
  • 30. Mashamba, T., Magweva, R. ve Gumbo, L.C.. (2014). Analysing the relationship between banks’deposit interest rate and deposit mobilization: empirical evidence from Zimbabweancommercial banks (1980-2006). Iosr Journal of Business and Management,16(1), 64-75.
  • 31. Mishkin, F.S.. (2011). Over the Cliff: From the Subprime to the Global Financial Crisis. Journal of Economic Perspectives, 25(1), 49-70.
  • 32. Moody’s Analytics, (2014). Asset And Liability Management: Applications for The Management and Modeling of Non-Maturing Deposits. https:// www.moodysanalytics.com/-/media/whitepaper/2014/2014-22-05-assetliability-management-applications-modeling-non-maturing-deposits.pdf (29/05/2021).
  • 33. Nikolaou, K..(2009). Liquidity Risk Concepts Definition and Interactions. ECB Working Paper Series, 1008.
  • 34. Ngula, I.B.. (2012). Determinants of deposit mobilization and its role in economic growth in Ghana.Yüksek Lisans Tezi, Kwame Nkrumah University of Science and Technology.
  • 35. O’Brien, J., Orphanides, A. ve Small, D.. (1994). Estimating the interest rate sensitivity of liquid retail deposit values. Proceedings 42, Federal Reserve Bank of Chicago.
  • 36. O’Brien, J..(2000). Estimating the Value and Interest Rate Risk of InterestBearing Transactions Deposits, Division of Research and Statistics Board of Governors Federal Reserve System.
  • 37. Önalan, Ö..(2009). Vasicek ve CIR Modellerinin Kullanılarak Oyanklık ve Faiz Oranlarının Modellenmesi, Marmara Üniversitesi İ.İ.B.F Dergisi, 27(2), 329- 344.
  • 38. Özen, E., Grima, S. ve Vurur, S..(2018). Investigation of Causality between Interest Rate and Deposit Investor’s Behaviour. Broad Research in Artificial Intelligence and Neuroscience, 9(4).
  • 39. Paraschiv, F ve Schürle, M..(2010). Modeling Client Rate and Volumes of Non-Maturing Accounts. Institute for Operations Research and Computational Finance.
  • 40. Pradhan, R. S. ve Paneru, D..(2017). Macroeconomic Determinants of Bank Deposit of Nepalese Commercial Banks. http://dx.doi.org/10.2139/ ssrn.3044098.
  • 41. Selvaggio, R.. (1996). Using the OAS methodology to value and hedge commercial bank retail demand deposit premiums. Fabozzi, F., Konishi, A. (Ed.), The Handbook of Asset/ Liability Management.
  • 42. Şişman, M. Ö..(2007). Faiz Oranı Getiri Eğrisi Simülasyonu Yöntemleri ve Bankacılıkta Aktif Pasif Yönetimi Üzerine Etkileri:Türkiye’de Ticari Bankalar Üzerine Bir Uygulama. Doktora Tezi, İstanbul Universitesi, Sosyal Bilimler Enstitüsü.
  • 43. Türkiye Bankalar Birliği, (2020) Banka ve Sektör Bilgileri İstatistiki Raporlar, https://www.tbb.org.tr/
  • 44. Türkiye Cumhuriyet Merkez Bankası, (2021) Enflasyon Raporu 2021-1, https://www.tcmb.gov.tr/
  • 45. Yakubu, I.N. ve Abokor, A. H..(2020). Factors Determining Bank Deposit Growth in Turkey: An Empirical Analysis. Rajagiri Management Journal, 14(2), 121-132. 46. Ziraat Bankası, (2020) 2020 Entegre Faaliyet Raporu, https://www.ziraatbank.com.tr/tr
There are 44 citations in total.

Details

Primary Language Turkish
Subjects Finance
Journal Section Research Articles
Authors

Celal Öztürk This is me 0000-0003-2957-8175

Cemal İbiş This is me 0000-0001-9808-2347

Publication Date March 30, 2022
Published in Issue Year 2022 Volume: 16 Issue: 1

Cite

APA Öztürk, C., & İbiş, C. (2022). Likidite Riski Yönetiminde Vadesiz ve Vadeli Mevduatların Davranışsal Modellenmesi. BDDK Bankacılık Ve Finansal Piyasalar Dergisi, 16(1), 1-26. https://doi.org/10.46520/bddkdergisi.1095630