Türk Bankacılık Sektöründe Likidite Riski Yönetimi

Öz

Finansal piyasalarda risk ve risk yönetimi üzerine çok sayıda çalışma bulunmaktadır. Ayrıca, risk ve risk yönetimi için çok sayıda finans teorisi geliştirilmiş ve modeller tasarlanmıştır. Ancak likidite riski yönetimi üzerine çok az çalışma bulunmaktadır. Likidite riski yönetimi çalışmaları genellikle bankaların likidite riskini artıran ve azaltan faktörleri belirlemeye yöneliktir. Likidite ve likidite riski bankaların yönetiminde önemli sonuçlar doğuran bir olgudur. Ayrıca likidite riskinin bankacılık krizlerinde önemli bir rolü bulunmaktadır. 2008 Küresel Kriz sonrasında büyük finansal kurumların iflas etmeleri likidite risk yönetiminin önemi artırmıştır. Bankacılık sektörü ve banka hisse senedi değerlendirmelerinde likidite göstergeleri günümüzde dikkate alınmaktadır. Türk bankacılık sektöründe likidite riski yönetimi üzerine çok az çalışma bulunmaktadır. Bu çalışmada Türk bankacılık sektörünün likidite riskini etkileyen değişkenlerin araştırılması amaçlanmıştır. Deep ve Schaefer (2004) metodolojisinin kullanıldığı Panel Veri analizi sonucunda Türk bankacılık sektöründe likidite yönetimini etkileyen faktörlerin aktif kârlılık oranı, mevduat / toplam pasif oranı, faiz gelirleri / faiz giderleri oranı, özel tahvil ihracı, enflasyon, işsizlik, Amerika Birleşik Devletleri Dolar Kuru ve Gayri Safi Yurtiçi Hasıl’a olduğu bulunmuştur

Anahtar Kelimeler

• Likidite, Risk, Türk Bankacılık Sektörü, Deep ve Schaefer Metodolojisi, Panel Veri

Liquidity Risk Management in Turkish Banking Sector

Öz

Risk and risk management in financial markets are among the most debated issues for finance researchers. Over the years, a number of finance theories have been developed and models have been designed. However, there is little work on liquidity risk management. Liquidity risk management studies are generally aimed at determining the factors that increase and decrease the liquidity risk of banks. Liquidity and liquidity risk have important consequences in the management of banks. After the global crisis (2008), the bankruptcy of large financial institutions increased the importance of liquidity risk management. Liquidity indicators are taken into account nowadays in the banking sector and bank stocks evaluations. There are few studies on liquidity risk in the Turkish banking sector. In this study, we have aimed to investigate the variables affecting the liquidity risk of the Turkish banking sector. Panel data analysis using Deep & Schaefer (2004) methodology revealed that the factors affecting liquidity management in the Turkish banking sector are return on assets ratio, deposit / total liability ratio, interest income / interest expenses ratio, private bond issuance, inflation, unemployment, United States exchange rate and Gross Domestic Product.

Anahtar Kelimeler

• Liquidity, Risk, Turkish Banking Sector, Deep & Schaefer methodology, Panel Data.

Kaynakça

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