Examining the Impact of the Global Financial Crisis on the Deposit Banks’ Level of Systematic Risk: Evidence from AR(p)-DCCFIGARCH (p,d,q) and Asymmetric AR(p)-DBEKK-GARCH (p, q) Models

Year 2018, Volume: 33 Issue: 1, 39 - 73, 20.04.2018

Önder Büberkökü

https://doi.org/10.24988/deuiibf.2018331540

Abstract

This study examines the impact of the 2007–2008 global financial crisis on the time-varying conditional systematic risk level of nine deposit banks using AR(p)-DCC-FIGARCH (p,d,q) and asymmetric AR(p)-DBEKK-GARCH (p,q) models under the assumption of a multivariate Student’s t distribution. Results show that the systematic risk level of two large-scale banks, in particular, significantly increased during the crisis period. The systematic risk level of two small- and medium-sized banks also significantly increased during the crisis period. Additionally, one-break unit root tests applied to all banks’ systematic risk coefficients show that all these series are stationary at their level form.

Keywords

Global Financial Crisis, Time-Varying Systematic Risk, Deposit Banks, BEKK-GARCH, DCC-FIGARCH

Küresel Finans Krizinin Mevduat Bankalarının Sistematik Risk Düzeyi Üzerindeki Etkisinin İncelenmesi: AR(p)-DCCFIGARCH (p,d, q) ve Asimetrik AR(p)-DBEKK-GARCH (p,q) Modellerine Dayalı Bir Analiz

Abstract

Bu çalışmada çoklu student t dağılım varsayımı altında AR(p)-DCC-FIGARCH (p,d,q) ve asimetrik AR(p)-DBEKK-GARCH (p,q) modelleri kullanılarak 2007-2008 küresel finans krizinin 9 mevduat bankasının zamanla değişen sistematik risk düzeyi üzerindeki etkisi incelenmiştir. Bulgular, özellikle büyük ölçekli bankalardan 2 tanesinin sistematik risk düzeyinin küresel kriz dönemi ile birlikte belirgin bir şeklide arttığına işaret etmektedir. İki küçük ve orta ölçekli bankanın da sistematik risk düzeyinin kriz döneminde belirgin bir şekilde arttığı belirlenmiştir. Ayrıca, tüm bankaların sistematik risk düzeylerine uygulanan tek yapısal kırılmalı birim kök testi sonuçları bankaların sistematik risk düzeylerinin düzey değerlerinde durağan olduğuna işaret etmektedir

Keywords

Küresel Finans Krizi, Sistematik Risk, Bankalar, BEKK-GARCH, DCC-FIGARCH

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