THE RELATIONSHIPS BETWEEN G7 COUNTRIES BANKS CAPITAL ADEQUACY RATIOS AND PROFITABILITIES

Year 2018, Volume: 1 Issue: 1, 31 - 37, 06.08.2018

Hüseyin Çetin

Abstract

Research topic is about the relationship between G7 countries’ banks
capital adequacy ratios and return on asset ratios. By using panel data analysis techniques, the short-term
relationship G7 countries’ banks capital adequacy ratios and return on asset
ratios will be found. In addition, by using ARDL model, the long-term
relationship between capital adequacy and return on asset ratios will be found. By using Hausman test, it has been
found that there is random effect in the model. Since random effect model is
used, specific country effect and specific time effect is included in the
model. By looking at lowest AIC scores, optimum ARDL model was chosen.

When analysis is done for G7 countries’ banks panel data, it was
observed that capital adequacy ratio has significant negative impact on return
on asset ratios for the period between 2000-2015. UK and years of 2004, 2005, 2006
has significant impact in the model. In addition to that, it was observed that
capital adequacy ratios have significant and negative impact on return on asset
ratios for the long term. 

Keywords

Random Effect, Panel EGLS Method, ARDL (4, 4), Capital Adequacy Ratios, Return on Asset Ratios

G7 ÜLKELERİNİN BANKALARININ SERMAYE YETERLİLİK RASYOLARI İLE KARLILIKLARI ARASINDAKİ İLİŞKİLER

Abstract

Bu
çalışmanın konusu G7 ülkelerinin bankalarının sermaye yeterlilik rasyolarının
aktif getiri oranları arasındaki kısa ve uzun vadeli ilişki ile ilgilidir.
Çalışmanın amacı panel veri analiz teknikleri ile G7 ülkelerinin bankalarının
sermaye yeterlilik rasyolarının aktif getiri oranları ile arasındaki kısa
vadeli ilişkiyi bulmak ve ARDL yöntemi ile uzun vadeli ilişkiyi bulmaktadır.
Hausman testi kullanılarak modelde rassal etki olduğu tespit edilmiştir. Rassal
etki modeli kullanıldığı için modele spesifik ülke etkisi ve spesifik zaman
etkisi dahil edilmiştir. En düşük Akaike bilgi kriterine bakılarak en ideal
ARDL modeli seçilmiştir.

G7
ülkelerinin bankalarının panel veri setleri için analiz yapıldığında sermaye
yeterlilik rasyosunun bankaların aktif getiri oranlarına 2000-2015 yılları
arasında anlamlı ve negatif şekilde etki ettiği görülmüştür. Birleşik Krallığın
ve 2004, 2005, 2006 yıllarının modelde önemli bir etkiye sahip olduğu
bulunmuştur. Buna ek olarak, sermaye yeterlilik rasyosunun uzun vadede aktif
getiri oranlarına anlamlı ve negatif şekilde etki ettiği gözlemlenmiştir.

Keywords

Rassal Etki, Panel EGLS Metodu, ARDL (4, 4), Sermaye Yeterlilik Rasyoları, Aktif Getiri Oranları

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