The Relationship between Bank Capital, Risk-Taking and Profitability: Fresh Evidence from Panel Quantile Approach

Year 2023, , 378 - 403, 30.09.2023

Selim Güngör

https://doi.org/10.30784/epfad.1324401

Abstract

This study aims to reveal the relationship between bank capital (BC), risk-taking, and profitability for commercial banks in Turkey using panel quantile regression models (QRPD) with non-additive fixed effects (NAFE). Accordingly, we consider the data of 18 commercial banks for 2012-2022. Firstly, we concluded a positive relationship between banks' risk-based capital (RBC) and traditional capital ratios (CR) and return on assets (ROA); in contrast, there is a negative relationship between RBC and risk-weighted assets (RWATA). Secondly, we found a positive relationship between RBC and the loan loss provision ratio (LLPTA) in other periods except the contraction period and between CR and LLPTA in other periods except the expansion period. The findings also showed an inverted U-shaped relationship between RBC and the LLPTA and return on equity (ROE) and an N-shaped relationship between CR and ROE. Lastly, we discovered a positive relationship between RWATA and ROA and ROE, whereas a negative relationship exists between LLPTA and ROA. The findings provide valuable insights into the validity of the moral hazard, cost-skimping, regulatory assumptions, agency, portfolio and risk-bearing profit theories in the commercial banking sector and that risk, capital and profitability indicators are leading factors in banks’ stability.

Keywords

Risk-Taking, Bank Capital, Profitability, Commercial Banks, Panel Quantile

Banka Sermayesi, Risk Alma ve Kârlılık İlişkisi: Panel Kantil Yaklaşımından Yeni Kanıtlar

Abstract

Bu çalışmanın amacı, Türkiye'deki ticari bankalar için banka sermayesi, risk alma ve kârlılık arasındaki ilişkiyi toplamsal olmayan sabit etkili panel kantil regresyon modelleriyle ortaya koymaktır. Bu doğrultuda, 18 ticari bankanın 2012-2022 dönemine ait verileri dikkate alınmıştır. İlk olarak, bankaların risk bazlı sermaye (RBC) ve geleneksel sermaye (CR) oranları ile aktif kârlılık (ROA) arasında pozitif bir ilişki varken, bankaların risk bazlı sermaye oranları ile risk ağırlıklı varlıkları (RWATA) arasında negatif bir ilişkinin olduğu sonucuna ulaşılmıştır. İkinci olarak, daralma dönemi hariç diğer dönemlerde RBC ile kredi zararları karşılığı oranı (LLPTA) arasında ve genişleme dönemi hariç diğer dönemlerde CR ile LLPTA arasında pozitif bir ilişkinin olduğu bulunmuştur. Bulgular ayrıca RBC ile LLPTA ve özkaynak kârlılığı (ROE) arasında ters U şeklinde, CR ile ROE arasında ise N şeklinde bir ilişkinin olduğunu göstermiştir. Son olarak, RWATA ile ROA ve ROE arasında pozitif ilişki varken, LLPTA ile ROA arasında negatif bir ilişkinin olduğu tespit edilmiştir. Bulgular, ahlaki tehlike, maliyet cimriliği, düzenleyici varsayımlar, vekâlet, portföy ve risk barındıran kâr teorilerinin ticari bankacılık sektöründe geçerliliğine ve risk, sermaye ve kârlılık göstergelerinin bankaların istikrarı üzerinde öncü faktörler olduğuna ilişkin değerli bilgiler sunmaktadır.

Keywords

Risk Alma, Banka Sermayesi, Kârlılık, Ticari Bankalar, Panel Kantil

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