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Banka Davranışları ve Döviz Kuru

Year 2017, Issue: 634, 27 - 39, 01.12.2017

İrem Zeyneloğlu

Abstract

Bu çalışma bankacılık faaliyetlerinin döviz kurunun seyrindeki rolünü değerlendirme amacını taşımaktadır. Bu amaçla, üçüncü nesil döviz krizi modellerinden esinlenerek, bankaların kârını maksimize eden iktisadi birimler olarak tanımlandığı, özgün bir döviz kuru tespiti modeli kurmaktadır. Daha sonra, temel bankacılık göstergelerinin 2000 ve 2016 yıllarındaki seyri incelenerek modelin döviz kuru ve bankacılık faaliyetleri arasında kurduğu ilişkinin Türkiye’de Şubat 2001 ve Kasım-Aralık 2016 dönemlerinde gözlenen ani döviz kuru sıçramaları için geçerli olup olmadığı analiz edilmiştir. Sonuçlar, bankaların davranışlarının 2001 başında ve 2016 sonunda yaşanan döviz kuru değişimlerinde aynı rolü oynamadıklarını göstermektedir. 2001’deki döviz kuru sıçramasında bankacılık faaliyetleri önemli bir rol oynarken 2016 sonunda gözlemlenen döviz kuru yükselişinde bankaların rolünün sınırlı olduğu görülmektedir. Bu fark, 2002 sonrasında bankacılık sektöründe uygulamaya konulan denetleyici ve düzenleyici önlemlerin bankalarda yarattığı dönüşümle açıklanabilir.

Keywords

Döviz kuru Döviz krizleri Bankacılık sektörü

References

  • AGHION, Philippe, BACHETTA Philippe ve Abhijit BENARJEE; (2000), “A Simple Model of Monetary Policy and Currency Crisis”, European Economic Review, 44, pp. 728-738
  • AGHION, Philippe, BACHETTA Philippe ve Abhijit BENARJEE; (2001), “Currency Crises and Monetary Policy in An Economy with Credit Constraints”, European Economic Review, 45, pp. 1121-1150
  • AGHION, Philippe, BACHETTA Philippe ve Abhijit BENARJEE; (2004), “A corporate Balance-Sheet Approach to Currency Crises”, European Economic Review, 44, pp.
  • BDDK (2010), Kur Riski Değerlendirme Raporu, www.bddk. org.tr
  • BELLOCQ, François-Xavier et Vincent CAUPİN; (2005), “Turquie: Risque Systémique Bancaire et Vulnérabilités Macrofinancières”, Agence Française de Développement DT 2005/6, www.afd.fr/webdav/site/afd/shared/PUBLICATIONS/RECERCHE/Scientifiques/Documents-de-travail/006-documenttravail.pdf
  • BLEANEY, Micheal, BOUGHEAS Spiros ve Ilias SKAMNELOS; (2008), “A Model of Interactions between Banking Crises and Currency Crises”, Journal of International Money and Finance, 27, pp. 695-706
  • BUCH, Claudia ve Ralph P. HEINRICH; (1999), “Twin Crises and the Intermediary Role of Banks”, International Journal of Finance and Economics, 4, pp. 313-323
  • CARTAPANİS, André; (2004), “Le Déclenchement des Crises de Changes: Qu’avons-Nous Appris Depuis Dix Ans?”, Economie Internationale, 97 (1) pp. 5-48
  • CHANG, Roberto and Andrés VELASCO; (2000), “Financial Fragility and the Exchange Rate Regime”, Journal of Economic Theory, 92, pp. 1-34
  • CHANG, Roberto and Andrés VELASCO; (2001), “A Model of Financial Crises in Emerging Markets”, The Quarterly Journal of Economics, 116(2), pp. 489-517
  • EMİN, Doğuş ve Ayşegül AYTAÇ; (2016), “Predicting Currency Crises: How Do Indicators Differ According to the Crisis Definition?”, Çankırı Karatekin University Journal of the Faculty of
  • Economics and Administrative Sciences, 6(2), pp. 85-102 Etudes économiques de l’OCDE : Turquie 2001, www.oecd. org/fr/turquie/1886401.pdf
  • FLOOD, P. Robert, GARBER M. Peter and Charles KRAMER; (1995), “Collapsing Exchange Rate Regimes: Another Linear Example”, NBER WP5318, www.nber.org/papers/w5318.pdf
  • FLOOD, P. Robert ve Nancy P. MARION; (2004), “A model of the Joint Distribution of Banking and Currency Crises”, Journal of International Money and Finance, 23, pp. 841-865.
  • KARTAL, Fikret; (2012), “Türkiye’de Banka Denetimi”, Finans Politik ve Ekonomik Yorumlar, 49 (565), ss. 55-68
  • KAPLAN Cafer; (2002), “Bankacılık Sektörünün Yabancı Para Pozisyon Açığı: Türkiye Örneği”, TCMB Araştırma Genel Müdürlüğü Çalışma Tebliği No:1, tcmb.gov.tr/wps/wcm/connect/df3efbff-b046-4df6-b280-91f731a4b0b8/wp5.pdf
  • KOENİG, Gilbert; (1997), Macroéconomie Internationale, Economica, Paris
  • KOENİG, Gilbert; (2000), Analyse Monétaire et Financière, Economica, Paris
  • KRUGMAN, Paul; (1999), “Balance Sheets, the Transfer Problem and Financial Crises”, International Tax and Public Finance, 6, pp. 459-472
  • LAHET, Délphine; (2001), “L’occurence d’une Crise Financière dans un Modèle de 3ème Génération”, Revue Française d’Economie, 16(2), pp. 179-206
  • NAKATANI, Ryota; (2016), “Twin Banking and Currency Crises and Monetary Policy”, Open Economies Review, 27, pp. 747- 767
  • SCIALOM, Laurence; (2013), Economie Bancaire, La Découverte, Paris
  • TCMB Finansal İstikrar Raporu (2005), tcmb.gov.tr, Sayı 1
  • TCMB Finansal İstikrar Raporu (2017), tcmb.gov.tr, Sayı 24
  • VELASCO, Andrés; (1987), “Financial Crises and Balance of Payments Crisis: A Simple Model of the Southern Cone Experience”, Journal of Development Economics, 27 (1-2), pp. 263-283

Banking Sector Behaviour and Exchange Rates

Year 2017, Issue: 634, 27 - 39, 01.12.2017

İrem Zeyneloğlu

Abstract

The present paper analyzes the role of banking sector behavior on the exchange rate in an original third generation currency crisis model. In this setup, banking sector is introduced as profit-maximizing rational agents. Thus, the model derives an explicit endogenous relation between main banking sector indicators and the exchange rate. Then, the evolution of the relevant banking sector indicators in Turkey during 2000 and 2016 is analyzed in order to see whether the relation derived by the model is validated for the exchange rate depreciations observed in February 2001 and from November to December 2016. The results show that the evolution of banking sector indicators is in line with the exchange rate depreciation in 2001, whereas it plays a limited role on the exchange rate in 2016. This difference can be attributed to the transformation of the banking system following the supervision and regulation policy implemented since 2002

Keywords

Exchange rate Currency crisis Banking sector

References

  • AGHION, Philippe, BACHETTA Philippe ve Abhijit BENARJEE; (2000), “A Simple Model of Monetary Policy and Currency Crisis”, European Economic Review, 44, pp. 728-738
  • AGHION, Philippe, BACHETTA Philippe ve Abhijit BENARJEE; (2001), “Currency Crises and Monetary Policy in An Economy with Credit Constraints”, European Economic Review, 45, pp. 1121-1150
  • AGHION, Philippe, BACHETTA Philippe ve Abhijit BENARJEE; (2004), “A corporate Balance-Sheet Approach to Currency Crises”, European Economic Review, 44, pp.
  • BDDK (2010), Kur Riski Değerlendirme Raporu, www.bddk. org.tr
  • BELLOCQ, François-Xavier et Vincent CAUPİN; (2005), “Turquie: Risque Systémique Bancaire et Vulnérabilités Macrofinancières”, Agence Française de Développement DT 2005/6, www.afd.fr/webdav/site/afd/shared/PUBLICATIONS/RECERCHE/Scientifiques/Documents-de-travail/006-documenttravail.pdf
  • BLEANEY, Micheal, BOUGHEAS Spiros ve Ilias SKAMNELOS; (2008), “A Model of Interactions between Banking Crises and Currency Crises”, Journal of International Money and Finance, 27, pp. 695-706
  • BUCH, Claudia ve Ralph P. HEINRICH; (1999), “Twin Crises and the Intermediary Role of Banks”, International Journal of Finance and Economics, 4, pp. 313-323
  • CARTAPANİS, André; (2004), “Le Déclenchement des Crises de Changes: Qu’avons-Nous Appris Depuis Dix Ans?”, Economie Internationale, 97 (1) pp. 5-48
  • CHANG, Roberto and Andrés VELASCO; (2000), “Financial Fragility and the Exchange Rate Regime”, Journal of Economic Theory, 92, pp. 1-34
  • CHANG, Roberto and Andrés VELASCO; (2001), “A Model of Financial Crises in Emerging Markets”, The Quarterly Journal of Economics, 116(2), pp. 489-517
  • EMİN, Doğuş ve Ayşegül AYTAÇ; (2016), “Predicting Currency Crises: How Do Indicators Differ According to the Crisis Definition?”, Çankırı Karatekin University Journal of the Faculty of
  • Economics and Administrative Sciences, 6(2), pp. 85-102 Etudes économiques de l’OCDE : Turquie 2001, www.oecd. org/fr/turquie/1886401.pdf
  • FLOOD, P. Robert, GARBER M. Peter and Charles KRAMER; (1995), “Collapsing Exchange Rate Regimes: Another Linear Example”, NBER WP5318, www.nber.org/papers/w5318.pdf
  • FLOOD, P. Robert ve Nancy P. MARION; (2004), “A model of the Joint Distribution of Banking and Currency Crises”, Journal of International Money and Finance, 23, pp. 841-865.
  • KARTAL, Fikret; (2012), “Türkiye’de Banka Denetimi”, Finans Politik ve Ekonomik Yorumlar, 49 (565), ss. 55-68
  • KAPLAN Cafer; (2002), “Bankacılık Sektörünün Yabancı Para Pozisyon Açığı: Türkiye Örneği”, TCMB Araştırma Genel Müdürlüğü Çalışma Tebliği No:1, tcmb.gov.tr/wps/wcm/connect/df3efbff-b046-4df6-b280-91f731a4b0b8/wp5.pdf
  • KOENİG, Gilbert; (1997), Macroéconomie Internationale, Economica, Paris
  • KOENİG, Gilbert; (2000), Analyse Monétaire et Financière, Economica, Paris
  • KRUGMAN, Paul; (1999), “Balance Sheets, the Transfer Problem and Financial Crises”, International Tax and Public Finance, 6, pp. 459-472
  • LAHET, Délphine; (2001), “L’occurence d’une Crise Financière dans un Modèle de 3ème Génération”, Revue Française d’Economie, 16(2), pp. 179-206
  • NAKATANI, Ryota; (2016), “Twin Banking and Currency Crises and Monetary Policy”, Open Economies Review, 27, pp. 747- 767
  • SCIALOM, Laurence; (2013), Economie Bancaire, La Découverte, Paris
  • TCMB Finansal İstikrar Raporu (2005), tcmb.gov.tr, Sayı 1
  • TCMB Finansal İstikrar Raporu (2017), tcmb.gov.tr, Sayı 24
  • VELASCO, Andrés; (1987), “Financial Crises and Balance of Payments Crisis: A Simple Model of the Southern Cone Experience”, Journal of Development Economics, 27 (1-2), pp. 263-283
There are 25 citations in total.

Details

Primary Language Turkish
Journal Section Research Article
Authors

İrem Zeyneloğlu This is me

Publication Date December 1, 2017
Published in Issue Year 2017 Issue: 634

Cite

APA Zeyneloğlu, İ. (2017). Banka Davranışları ve Döviz Kuru. Finans Politik Ve Ekonomik Yorumlar(634), 27-39.
AMA Zeyneloğlu İ. Banka Davranışları ve Döviz Kuru. FPEYD. December 2017;(634):27-39.
Chicago Zeyneloğlu, İrem. “Banka Davranışları Ve Döviz Kuru”. Finans Politik Ve Ekonomik Yorumlar, no. 634 (December 2017): 27-39.
EndNote Zeyneloğlu İ (December 1, 2017) Banka Davranışları ve Döviz Kuru. Finans Politik ve Ekonomik Yorumlar 634 27–39.
IEEE İ. Zeyneloğlu, “Banka Davranışları ve Döviz Kuru”, FPEYD, no. 634, pp. 27–39, December 2017.
ISNAD Zeyneloğlu, İrem. “Banka Davranışları Ve Döviz Kuru”. Finans Politik ve Ekonomik Yorumlar 634 (December 2017), 27-39.
JAMA Zeyneloğlu İ. Banka Davranışları ve Döviz Kuru. FPEYD. 2017;:27–39.
MLA Zeyneloğlu, İrem. “Banka Davranışları Ve Döviz Kuru”. Finans Politik Ve Ekonomik Yorumlar, no. 634, 2017, pp. 27-39.
Vancouver Zeyneloğlu İ. Banka Davranışları ve Döviz Kuru. FPEYD. 2017(634):27-39.