FACTORS DETERMINING THE LIQUIDITY COVERAGE RATIO IN TURKISH BANKING SECTOR: A PANEL DATA ANALYSIS INCLUDING THE COVID-19 PANDEMIC PERIOD

Abstract

Banks, which are important actors of the overall economy and the financial system, are directly and indirectly affected by the developments in the global and national economy and continue their activities by being exposed to various risks. Therefore, the risks that banks are exposed to and the management of these risks are important. Liquidity risk, which is among the risks mentioned above, is of vital importance for banks and requires proactive management. In this context, this study aims to reveal the internal and external determinants of the Liquidity Coverage Ratio, which is an indicator of the liquidity level of banks in the Turkish banking sector, covering the Covid-19 period. The quarterly data of 19 commercial and 4 participation banks operating in Turkey between 2015/12 and 2021/9 were analysed by panel data analysis method within the scope of the established models.As a result of the analysis, it was concluded that there are statistically significant relationships between the liquidity level of the Turkish banking sector, which consists of deposit and participation banks within the scope of the sample, and bank-specific deposits, loan deposit ratio, return on equity, capital adequacy ratio, equity and asset size and macroeconomic factors money supply, credit default swap, control variable Covid period.

Keywords

• Liquidity Risk
• Liquidity Coverage Ratio
• Covid-19 Period Liquidity
• Panel Data Analysis

TÜRK BANKACILIK SEKTÖRÜNDE LİKİDİTE KARŞILAMA ORANINI BELİRLEYEN FAKTÖRLER: COVID – 19 PANDEMİ DÖNEMİNİ DE KAPSAYAN BİR PANEL VERİ ANALİZİ UYGULAMASI

Abstract

Ekonominin geneli ve finansal sistemin önemli aktörlerinden olan bankalar, küresel ve ulusal ölçekte ekonomide yaşanan gelişmelerden doğrudan ve dolaylı olarak etkilenmekte, çeşitli risklere maruz kalarak faaliyetlerini sürdürmektedir. Bu nedenle bankaların maruz kaldıkları riskler ve risklerin yönetimi önemlidir. Belirtilen riskler arasında yeralan likidite riski bankalar için hayati öneme sahip olup, proaktif yönetim gerektirmektedir. Bu kapsamda, hazırlanan çalışma ile Türk Bankacılık sektörü ölçeğinde bankalarda likidite düzeyinin bir göstergesi olan Likidite Karşılama Oranının içsel ve dışsal belirleyicilerinin Covid-19 dönemini kapsayacak şekilde ortaya konulması amaçlanmıştır. Türkiye’de faaliyette bulunan 19 ticari ve 4 katılım bankasının 2015/12 ay ve 2021/9 arası çeyrek dönemlik verileri kurulan modeller kapsamında, panel veri analizi yöntemiyle analiz edilmiştir. Analiz neticesinde, örneklem kapsamında mevduat ve katılım bankalarından oluşan Türk bankacılık sektörünün likidite düzeyi ile bankalara özgü mevduat, kredi mevduat oranı, öz kaynak kârlılığı, sermaye yeterlilik oranı, öz kaynaklar ve aktif büyüklük ile makro ekonomik faktörlerden para arzı, kredi temerrüt takası, kontrol değişkeni Covid dönemi arasında istatistik açıdan anlamlı ilişkilerin bulunduğu sonucuna ulaşılmıştır.

Keywords

• Likidite Riski
• Likidite Karşılama Oranı
• Covid-19 Dönemi Likidite
• Panel Veri Analizi
• Liquidity Risk
• Liquidity Coverage Ratio
• Covid-19 Period Liquidity
• Panel Data Analysis

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