SOVEREIGN-BANK NEXUS OF TURKEY: AN ANALYSIS OF SOVEREIGN RISK AND BANKING INDUSTRY PERFORMANCE INDICATORS BASED ON CAMELS RATING SYSTEM

Abstract

This study aims to examine the relationship between sovereign risk and financial performance of the Turkish banking industry in order to identify the interaction channels between these two. To this end, financial data relating to the Turkish banking industry were analyzed based on the CAMELS rating system and were compared with Turkey’s Credit Default Swap rates using the most appropriate causality analysis tools. The results showed that there are significant causal relations between sovereign risk and several banking industry indicators of CAMELS rating groups. Significant results were obtained especially as to the causalities between sovereign risk and CAMELS components, which are Capital Adequacy, Asset Quality, Liquidity, and Sensitivity. Empirical study indicates that 13 variables out 26 variables have causal relationship with credit default swap rates according to Toda and Yamamoto Granger non-causality test results. Although the directions of causality vary among these variables, those results, which indicate influence of credit default swap rates on banking performance indicators, are remarkable.

Keywords

• Finance
• Banking
• Risk
• Granger Causality

TÜRKIYE’NİN ÜLKE RİSKİ VE BANKACILIK BAĞLANTISI: ÜLKE RİSKİ VE BANKACILIK SEKTÖR PERFORMANS İNDİKATÖRLERİNİN CAMELS DERECELENDİRME SİSTEMİNE GÖRE ANALİZİ

Abstract

Bu çalışma, Türkiye'nin ülke riski ile bankacılık sektörünün finansal performansı arasındaki karşılıklı ilişkiyi aralarındaki etkileşim kanallarını ortaya koyacak şekilde analiz etmeyi amaçlamaktadır. Bu amaç doğrultusunda Türkiye'deki bankacılık sektörünün finansal verileri CAMELS derecelendirme sistemine göre analiz edildi ve en uygun nedensellik araçları kullanılarak Türkiye'nin Kredi Temerrüt Swap oranları ile karşılaştırıldı. Sonuçlar, ülke riski ile CAMELS gruplamasında yer alan çeşitli bankacılık sektörü göstergeleri arasında anlamlı nedensellik ilişkisi olduğunu gösterdi. Özellikle ülke riski ile bankaların sermaye yeterliliği, mali yapıları, likidite verileri ve piyasa risklerine duyarlılıkları arasında nedensellik ilişkisi olduğuna dair anlamlı sonuçlara ulaşıldı. Ampirik çalışma, Toda ve Yamamoto Granger nedensellik testi sonuçlarına göre 26 değişkenden 13'ünün kredi temerrüt takas oranları ile nedensellik ilişkisi olduğunu göstermektedir. Bu değişkenler arasında nedensellik yönleri farklılık gösterse de kredi temerrüt takas oranlarının bankacılık performans göstergeleri üzerindeki etkisini gösteren sonuçlar dikkat çekicidir.

Keywords

• Finans
• Bankacılık
• Risk
• Granger Nedensellik

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