Döviz Kuru Oynaklığının Türkiye’deki Ticari Bankaların Performansı Üzerine Etkisi

Year 2019, Volume: 23 Issue: 2, 163 - 185, 30.12.2019

Nigar Alev Ömer Özçiçek

Abstract

Özellikle
gelişmekte olan ülkelerde bankalar yurt dışından borçlanmakta ve bunu yurtiçine
kredi olarak vermektedirler. Bu nedenle bankaların bilançolarında yabancı para
cinsinden varlık ve yükümlülükler de olabilmektedir. Bu durum döviz kuru
riskini de beraberinde getirmektedir. Bu çalışmanın amacı, 2003q1-2018q3 dönemi
için, Türkiye Bankacılık Sisteminde faaliyette bulunan mevduat bankalarının karlılığı
üzerinde döviz kuru ve döviz kuru oynaklığının etkisini araştırmaktır.
Çalışmada, analiz yöntemi olarak Arellano (1987), Froot (1989) ve Rogers (1993)
ile Driscoll
ve Kraay (1998) tarafından geliştirilen tahminciler kullanılmıştır. Analizlerden, reel
döviz kurunun bankaların net faiz marjı, ortalama aktif karlılığı ve ortalama
özkaynak karlılığı üzerinde pozitif ve istatistiki açıdan anlamlı etkide
bulunduğu sonucuna ulaşılmıştır. Sonuçlar ayrıca, döviz kuru oynaklığının
ortalama özkaynak ve aktif karlılığı üzerinde etkide bulunmadığını, net faiz
marjı üzerinde ise pozitif bir etkide bulunduğunu ortaya koymuştur. 

Keywords

Mevduat Bankaları, ROA, ROE, Döviz Kuru Oynaklığı

References

• Arellano, M., (1987). ‘‘Computing Robust Standart Errors for Within-Groups Estimators’’. Oxford Bulletin of Economics and Statistics, 49 (4), 431-434.
• Babazadeh, M. ve Farrokhnejad, F., (2012). “Effects of Short-Run and Long-Run Changes in Foreign Exchange Rates on Banks’ Profit”. International Journal of Business and Management, Vol. 7, No. 17, 2012 ISSN 1833-3850 E-ISSN1833-8119, 70-77.
• Bhargava, A., Franzni, L. ve Narendranathan W., (1982). ‘‘Serial Correlation and Fixed Effect Model’’. The Review of Economic Studies, 49, 533-549.
• Breusch, T. ve Pagan, A., (1980). ‘‘The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics’’. Review of Economic Studies, 47, 239-253.
• Brown, M.B. ve Forsythe, A.B., (1974). ‘‘The Small Sample Behavior of Some Statistics Which Test the Equality of Several Means’’. Technometrics, 16, 129-132.
• Chamberlain, S., Howe, J. S., ve Popper, H., (1997). “The Exchange Rate Exposure of U.S. and Japanese Banking Institution”. Journal of Banking and Finance, 21(6), 871-92.
• Değer, A. ve Anbar, A., (2011). ‘‘Bank Specific ve Macroeconomic Determinants of Commercial Bank Profitability: Empirical Evidence from Turkey’’. BUSiness and Economics Research Journal, Vol. 2, Num.2, 139-152.
• Driscoll, J.C. ve Kraay, A.C., (1998). ‘‘Consistent Covariance Matrix Estimation with Spatially Depent Panel Data’’. Review of Economics and Statistics, 80, 549-560.
• Froot, K.A. (1989). ‘‘Consistent Covariance Matrix Estimation with Cross-Sectional Dependence and Heteroskedasticitiy in Financial Data’’. Journal of Financial and Quantitative Analysis, 24, 333-355.
• Getachew, T., (2016). ‘‘The Impact of Exchange Rate on the Profitability of Commercial Banks in Ethiopia’’. Addis Ababa University, College BUSiness and Economics Deparment of Accounting and Finance, The Thesis of Degree of Master of Science in Accounting and Finance.
• Gotur, P. (1985). ‘‘Effects of Exchange Rate Volatility on Trade’’. IMF Staff Papers 32, 483-511.
• Hausman, J.A. (1978). ‘‘Specification Test in Econometrics’’. Econometrica, 46 (6), 1251-1271.
• He, L.T., Fayman, A.ve Casey, K.M., (2014). “Banks Profitability: The Impact of Foreign Currency Fluctuations”. Journal of Applied BUSiness and Economics, Vol. 16(2) 2014.
• Hooper, P. ve Kohlhagen, S.W., (1978). ‘‘The Effect of Exchange Rate Uncertainty on the Prices and Volume of International Trade’’. Journal of International Economics, Vol.8, Issue 4, 483-511.
• Kasman, S., Vardar, G. ve Tunç, G., (2011). ‘‘The Impact of Interest Rate and Exchange Rate Volatility on Banks’ Stock Returns and Volatility: Evidence from Turkey’’. Economic Modelling, 28 (2011), 1328-1334.
• Kanwal, S. ve Nadeem, M., (2013). “The Impact of Macroeconomic Variables on the Profitability of Listed Commercial Banks in Pakistan”. European Journal of BUSiness and Social Sciences, Vol. 2, No 9, 186-201.
• Kosmidou, K., (2008). ‘The Determinants of Banks’ Profits in Greece During The Period of EU Financial Integration’’. Managerial Finance, 34(3), 146-159.
• Lee, J. ve Strazicich, M., (2003). ‘‘Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks’’. Economic Bulletin, Vol. 33, Isue 4, 2483-2492.
• Levene, H., (1960). ‘‘Robust Tests for Equality of Variances’’, in Olkin, I., Ghurye, G., Hoeffding, W., Madow, W.G. and Mann, H.B. (eds.), Countributions to Probability and Statistics: Stanford, California: Stanford University Press, 278-292.
• Martin, A. D., ve Mauer, L. J., (2003). “Exchange Rate Exposures of US Banks: A Cash Flow-Based Methodology’’. Journal of Banking and Finance, 27(5), 851-65.
• Nicita, A., (2013). ‘‘Exchange Rates, Iternational Trade and Trade Policies’’. Policy Issues in International Trade and Commodities Study Series No. 56., 1-22.
• Ongore, V.O. ve Kusa, G.B., (2013). “Determinants of Financial Performance of Commercial Banks in Kenya”. International Journal of Economics and Financial Issues, Vol. 3, No. 1, ISSN: 2146-4138, 237- 252.
• Osuagwu, E.S., (2014). “Determinates of Bank Profitability in Nigeria’’. International Journal of Economics and Finance; Vol. 6, No. 12; 46-63.
• Osundina, C. K. ve diğ., (2016). ‘‘Exchange Rate Volatility and Banks Performance: Evidence from Nigeria’’. IIARD International Journal of Economics and BUSiness Management ISSN 2489-0065 Vol. 2 No.4,1-11.
• Pan, Q. ve Pan M., (2014). “The Impact of Macroeconomic Factors on the Profitability China’s Commercial Banks”. Open Journal of Social Sciences, 2014, 2, 64-69.
• Pesaran, M.H., (2004). ‘‘General Diagnostic Tests for Cross Section Dependence in Panels’’. University of Cambridge, Faculty of Economics, Cambridge Working Papers in Economics No. 0435.
• Pesaran, M.H., (2007). ‘‘A Simple Panel Unit Root Test in the Presence of Cross-Section Dependence’’. Journal of Applied Econometrics, 22:265-312.
• Reis, Ş.G., Kılıç, Y., ve Buğan, M.F. (2016). ‘‘Banka Karlılığını Etkileyen Faktörler: Türkiye Örneği’’. Journal of Accounting & Finance, (72), 21-36.
• Rogers, W.H., (1993). ‘‘Regression Standart Errors in Clustered Samples’’. Stata Technical Bulletion 13: 19-23. in Stata Technical Bulletin Reprints, 3, 88-94, College Station, Tx: Stat Press.
• Staikouras, C. K. ve Wood, G.E., (2004). ‘‘The Determinants of Europen Bank Profitability’’. International Business & Economic Research Journal, Vol.3, No.6, 57-68.
• Sufian, F. ve Habibullah, M.S., (2009). ‘‘Bank Specific and Macroeconomic Determinants of Bank Profitability: Empirical Evidence from The China Banking Sector’’. Frontiers of Economics in China, Vol. 4, No. 2, 274-291.
• Taiwo, O. ve Adesola. A.O., (2013). ‘‘Exchange Rate Volatility and Bank Performance’’. Asian Economic and Financial Review, 3(2), 178-185.
• Taşkın, F.D., (2011). ‘‘Türkiye’de Ticari Bankaların Performansını Etkileyen Faktörler’’. Ege Akademik Bakış, Cilt. 11. Sayı. 2, Nisan. 289-298.
• Taylor, M.P. ve Sarno, L., (1998). ‘‘The Behavior of Real Exchange Rates During The Post-Bretton Woods Period’’. Journal of International Economics, 46, 281-312.
• TBB (2018). Türkiye Bankalar Birliği, www.tbb.org.tr