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Türk Bankacılık Sektörü Kredilerinde Sektörel Yoğunlaşma ve Kredi Riski

Year 2019, Issue: EK SAYI (2019) - Year: 2019 Volume: Ek Number: Ek, 43 - 68, 01.12.2019

Abstract

Bir ekonomide finansal piyasaların faaliyetleri ekonomideki tüm aktörleri doğrudan etkiler. Bankalar da bu finansal piyasalarda-ki önemli kurumlardır. Topladıkları fonları kredi olarak aktara-rak ekonominin etkinliğini artırmak açısından önemli bir rol oynarlar. Dolayısıyla Türk bankacılık sektörü toplam kredilerin-deki sektörel yoğunlaşmanın makroekonomik etkileri vardır. Bunlardan biri de sektörün kredi riskini artırarak finansal kırıl-ganlıklara yol açmasıdır. Çalışmada 2010-2017 döneminde üçer aylık verilerle kredi riski olarak takipli krediler, nakdi kredilerin sektörel yoğunlaşması, takipli krediler toplam krediler oranı, bankacılık sektörü özkaynak toplam aktifler oranı, kredi mev-duat oranı Türk bankacılık sektöründe kullandırılan sektörel kredilerin yoğunlaşması ile takipli krediler diğer bir deyişle kredi riski arasındaki ilişki durağanlık testleri de yapılarak En Küçük Kareler Yöntemi ’ne göre analiz edilmiştir. Sektörel yoğunlaşma göstergesi olarak Herfindahl-Hirschman Endeksi HHI kullanı-lan çalışma sonucunda kredilerde sektörel yoğunlaşma ile kredi riski arasında güçlü bir ilişki tespit edilmiştir

References

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  • Afşar, Muharrem.“Küresel Kriz ve Türk Bankacılık Sek- törüne Yansımaları”. Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi, 6(2), 2011, 143-171.
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  • BDDK. Finansal Piyasalar Raporu (16), 2009.
  • BDDK.Türk Bankacılık Temel Göstergeleri, 2017.
  • Bebczuk, Ricardo ve Arturo Galindo. “Financial Crisis And Sectoral Diversification Of Argentine Banks 1999–2004”. Applied Financial Economics 18.3, 2008, s.199-211.
  • Beck, Thorsten, Aslı Demirgüç-Kunt ve Ross Le- vin.“Bank Concentration and Crises”. NBER Working Paper no:9921, 2003,s.1-22.
  • Beck, Thorsten, Aslı Demirgüç-Kunt ve Ross Le- vin,“Bank Concentration and Fragility: Impact and Mecha- nics”.NBER Working Paper no:11500,2005, s.1-40.
  • Beck, Thorsten ve Olivier De Jonghe.“Lending Con- centration, Bank Performance and Systemic Risk”. World Bank, Policy Research Paper:6604, 2013, s.1-33.
  • Bernanke, Ben. “Credit in the Macroeconomy”. FRBNY Quarterly Review,1992, s.50-70.
  • Bernanke, B. ve Mark Gertler.“Inside The Black Box: The Credit Channel of Monetary Policy Transmission”, No. w5146. NBER,1995.
  • Bikker, Jacop A., and Katharina Haaf. “Measures Of Competition And Concentration In The Banking Industry: A Review Of The Literature”. Economic & Financial Modelling, 9(2), 2002, s. 53-98.
  • Boot, Arnoud W.A, ve Anjolein Schmeits. “Market Dis- cipline And Incentive Problems in Conglomerate Firms With Applications To Banking”. Journal of Financial Intermediation 9.3, 2000, s.240-273.
  • Chen, Yibing, Xianhua Wei ve Lingling Zhang. “A New Measurement of Sectoral Concentration of Credit Portfolios”. Procedia Computer Science 17, 2013a, s.1231-1240.
  • Chen, Yibing, Xianhua Wei, Lingling Zhang ve Yong Shi.“Sectoral Diversification And The Banks’ Return And Risk: Evidence from Chinese Listed Commercial Banks”. Procedia Computer Science 18, 2013b, s.1737-1746.
  • Civcir, İrfan. “Türkiye'de Kriz Sonrası Dönemde Kredi Çöküşü”, Türkiye Ekonomi Kurumu Tartışma Metni 2012/12.
  • Dell’Ariccia, G. “Learning By Lending, Competition, And Screening Incentives In The Banking Industry”. Wharton School for Financial Institutions, Centre for Financial Instituti- ons Working Paper No. 00-10, 2000.
  • Düllmann, Klaus ve Nancy Masschelein. “A Tractab- le Model to Measure Sector Concentration Risk In Credit Port- folios”. Journal of Financial Services Research,32.1-2, 2007, 55-9.
  • Gascón, Fernando ve VicTor González. “Diversifica- tion, Size And Risk at Spanish Banks”. WP EFMA Athens, 2000.
  • Goetz, Martin. R. “Bank Diversification, Market Struc- ture And Bank Risk Taking: Theory And Evidence From US Commercial Banks”. FRB of Boston Quantitative Analysis Unit Working Paper 12-2, 2012.
  • Karaçor, Zeynep Ve Korhan Gökmenoğlu.“Finansal Kriz Modelleri”. Küresel Ekonomik ve Finansal Kriz. Ed. Murat Çetinkaya. Ankara: Nobel Yayınevi, 2011.
  • Kiyotaki, Nobuhiro ve John Moore. “Credit Chains”. Journal of Political Economy, 105.21, 1997, s. 211-248.
  • Kuzucu,Serpil. “Türk Bankacılık Sektöründe Yoğun- laşma ve Rekabet İlişkisinin Değerlendirilmesi”.Doktora Tezi, Marmara Üniversitesi Bankacılık ve Sigortacılık Enstitüsü, 2014.
  • Liu, Chen. “Herding Behavior in Bank Lending: Evi- dence from U.S. Commercial Banks”. Trinity Western Univer- sity,2014.
  • Mileris, Ricardas. “Macroeconomic Determinants Of Loan Portfolio Credit Risk in Banks”. Engineering Economics 23.5. 2012, 496-504.
  • Minsky, Hyman. P. “The financial instability hypothe- sis”. The Jerome Levy Economics Institute Working Paper, (74), 1992.
  • Minsky, Hyman.P. İstikrarsız Bir Ekonominin İstikrarı, çev. Oğuz Esen.Ankara: Efil Yayınevi, 2013.
  • Mishkin, Frederic S. Para, Bankacılık ve Finansal Piya- salar İktisadı, çev. N.Engin, S.Şahin, S.Çiçek ve Ç.Boz. Ankara: Akademi Yayıncılık,2007.
  • Murphy, Edward V. “What Is Systemic Risk? Does It Apply to Recent JP Morgan Losses?”. Journal of Current Issues in Finance, Business and Economics. 5.3, 349, 2012, s.1-11.
  • Stiroh, Kevin J., ve Adrienne Rumble. “ The Dark Side Of Diversification: The Case of US financial holding compa- nies”. Journal of Banking & Finance 30.8,2006, s.2131-2161.
  • Tabak, B.M., Dimas M. Fazio ve Daniel O. Cajueiro. “The Effects of Loan Portfolio Concentrationon Brazilian Banks’ Return and Risk”,Journal of Banking and Finance, vol.35,ıssue:11, 2011, s.3065-3076.
  • Tarı, R. Ekonometri. Kocaeli Üniversitesi Yayını,2005.
  • TBB, 50.Yılında TBB Ve Türkiye’de Bankacılık Sistemi 1958-2007. İstanbul: TBB,2008.
  • TBB, Bankacılık Sektörü 2011-2015 Aralık. İstan- bul:TBB, 2016.
  • TKBB, Sektör Bilgileri, İstanbul: TKBB,2019 (erişim: 15.11.2019)
  • Tunay, K.Batu. “Kredi Portföylerinde Yoğunlaşma ve Risk İlişkisi”. BDDK Bankacılık ve Finansal Piyasalar Dergisi, cilt 9, sayı:1, 2015,s. 129-132.
  • Türkmen, Sibel Yılmaz ve İhsan Yiğit. “Diversification in Banking and Its Effects on Bank Performance:Evidence from Turkey”. American Internation Journal of Contemporary Rese- arch, Vol.2, no:12,2012, s. 111-115.
  • Winton, Andrew. “Don't Put All Your Eggs In One Basket? Diversification And Specialization In Lending”, Diver- sification and Specialization in Lendin, 1999 (erişim: 17.08.2016)
  • Yay, Gülsün Gürkan. Para ve Finans:Teori-Politika. İs- tanbul Bilgi Üniversitesi Yayını,2012.

The Sectoral Concentration in Turkish Banking Sector and Credit Risk

Year 2019, Issue: EK SAYI (2019) - Year: 2019 Volume: Ek Number: Ek, 43 - 68, 01.12.2019

Abstract

All the financial market operations in an economy influence directly all the actors in the economy. Banks are the important institutions in this financial markets by increasing the economic efficiency by crediting and collecting funds. Therefore, the sectoral credit concentration influences macro economy. For example, it leads to the financial fragility by increasing the credit risk in banking sector. In this study, the correlation of these sectoral concentration in the Turkish banking sector and nonperforming credits is analysed by the Least Square method by using quarterly data between 2010-2017. As a result of this study used Herfindahl-Hirschman Index HHI as the sectoral concentration indicator, there is a significant relationship between the sectoral concentration in the Turkish banking sector and credit risk in these period.

References

  • Acharya, V.Viral, Iftekhar Hasan ve Anthony Saunders. “Should Banks Be Diversified: Evidence Individual Loan Port- folios”. BIS Working Paper, no:118, 2004.
  • Afşar, Muharrem.“Küresel Kriz ve Türk Bankacılık Sek- törüne Yansımaları”. Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi, 6(2), 2011, 143-171.
  • BDDK.Bankacılık Sektörü Yeniden Yapılandırma Prog- ramı Gelişme Raporu, 2001.
  • BDDK. Finansal Piyasalar Raporu (16), 2009.
  • BDDK.Türk Bankacılık Temel Göstergeleri, 2017.
  • Bebczuk, Ricardo ve Arturo Galindo. “Financial Crisis And Sectoral Diversification Of Argentine Banks 1999–2004”. Applied Financial Economics 18.3, 2008, s.199-211.
  • Beck, Thorsten, Aslı Demirgüç-Kunt ve Ross Le- vin.“Bank Concentration and Crises”. NBER Working Paper no:9921, 2003,s.1-22.
  • Beck, Thorsten, Aslı Demirgüç-Kunt ve Ross Le- vin,“Bank Concentration and Fragility: Impact and Mecha- nics”.NBER Working Paper no:11500,2005, s.1-40.
  • Beck, Thorsten ve Olivier De Jonghe.“Lending Con- centration, Bank Performance and Systemic Risk”. World Bank, Policy Research Paper:6604, 2013, s.1-33.
  • Bernanke, Ben. “Credit in the Macroeconomy”. FRBNY Quarterly Review,1992, s.50-70.
  • Bernanke, B. ve Mark Gertler.“Inside The Black Box: The Credit Channel of Monetary Policy Transmission”, No. w5146. NBER,1995.
  • Bikker, Jacop A., and Katharina Haaf. “Measures Of Competition And Concentration In The Banking Industry: A Review Of The Literature”. Economic & Financial Modelling, 9(2), 2002, s. 53-98.
  • Boot, Arnoud W.A, ve Anjolein Schmeits. “Market Dis- cipline And Incentive Problems in Conglomerate Firms With Applications To Banking”. Journal of Financial Intermediation 9.3, 2000, s.240-273.
  • Chen, Yibing, Xianhua Wei ve Lingling Zhang. “A New Measurement of Sectoral Concentration of Credit Portfolios”. Procedia Computer Science 17, 2013a, s.1231-1240.
  • Chen, Yibing, Xianhua Wei, Lingling Zhang ve Yong Shi.“Sectoral Diversification And The Banks’ Return And Risk: Evidence from Chinese Listed Commercial Banks”. Procedia Computer Science 18, 2013b, s.1737-1746.
  • Civcir, İrfan. “Türkiye'de Kriz Sonrası Dönemde Kredi Çöküşü”, Türkiye Ekonomi Kurumu Tartışma Metni 2012/12.
  • Dell’Ariccia, G. “Learning By Lending, Competition, And Screening Incentives In The Banking Industry”. Wharton School for Financial Institutions, Centre for Financial Instituti- ons Working Paper No. 00-10, 2000.
  • Düllmann, Klaus ve Nancy Masschelein. “A Tractab- le Model to Measure Sector Concentration Risk In Credit Port- folios”. Journal of Financial Services Research,32.1-2, 2007, 55-9.
  • Gascón, Fernando ve VicTor González. “Diversifica- tion, Size And Risk at Spanish Banks”. WP EFMA Athens, 2000.
  • Goetz, Martin. R. “Bank Diversification, Market Struc- ture And Bank Risk Taking: Theory And Evidence From US Commercial Banks”. FRB of Boston Quantitative Analysis Unit Working Paper 12-2, 2012.
  • Karaçor, Zeynep Ve Korhan Gökmenoğlu.“Finansal Kriz Modelleri”. Küresel Ekonomik ve Finansal Kriz. Ed. Murat Çetinkaya. Ankara: Nobel Yayınevi, 2011.
  • Kiyotaki, Nobuhiro ve John Moore. “Credit Chains”. Journal of Political Economy, 105.21, 1997, s. 211-248.
  • Kuzucu,Serpil. “Türk Bankacılık Sektöründe Yoğun- laşma ve Rekabet İlişkisinin Değerlendirilmesi”.Doktora Tezi, Marmara Üniversitesi Bankacılık ve Sigortacılık Enstitüsü, 2014.
  • Liu, Chen. “Herding Behavior in Bank Lending: Evi- dence from U.S. Commercial Banks”. Trinity Western Univer- sity,2014.
  • Mileris, Ricardas. “Macroeconomic Determinants Of Loan Portfolio Credit Risk in Banks”. Engineering Economics 23.5. 2012, 496-504.
  • Minsky, Hyman. P. “The financial instability hypothe- sis”. The Jerome Levy Economics Institute Working Paper, (74), 1992.
  • Minsky, Hyman.P. İstikrarsız Bir Ekonominin İstikrarı, çev. Oğuz Esen.Ankara: Efil Yayınevi, 2013.
  • Mishkin, Frederic S. Para, Bankacılık ve Finansal Piya- salar İktisadı, çev. N.Engin, S.Şahin, S.Çiçek ve Ç.Boz. Ankara: Akademi Yayıncılık,2007.
  • Murphy, Edward V. “What Is Systemic Risk? Does It Apply to Recent JP Morgan Losses?”. Journal of Current Issues in Finance, Business and Economics. 5.3, 349, 2012, s.1-11.
  • Stiroh, Kevin J., ve Adrienne Rumble. “ The Dark Side Of Diversification: The Case of US financial holding compa- nies”. Journal of Banking & Finance 30.8,2006, s.2131-2161.
  • Tabak, B.M., Dimas M. Fazio ve Daniel O. Cajueiro. “The Effects of Loan Portfolio Concentrationon Brazilian Banks’ Return and Risk”,Journal of Banking and Finance, vol.35,ıssue:11, 2011, s.3065-3076.
  • Tarı, R. Ekonometri. Kocaeli Üniversitesi Yayını,2005.
  • TBB, 50.Yılında TBB Ve Türkiye’de Bankacılık Sistemi 1958-2007. İstanbul: TBB,2008.
  • TBB, Bankacılık Sektörü 2011-2015 Aralık. İstan- bul:TBB, 2016.
  • TKBB, Sektör Bilgileri, İstanbul: TKBB,2019 (erişim: 15.11.2019)
  • Tunay, K.Batu. “Kredi Portföylerinde Yoğunlaşma ve Risk İlişkisi”. BDDK Bankacılık ve Finansal Piyasalar Dergisi, cilt 9, sayı:1, 2015,s. 129-132.
  • Türkmen, Sibel Yılmaz ve İhsan Yiğit. “Diversification in Banking and Its Effects on Bank Performance:Evidence from Turkey”. American Internation Journal of Contemporary Rese- arch, Vol.2, no:12,2012, s. 111-115.
  • Winton, Andrew. “Don't Put All Your Eggs In One Basket? Diversification And Specialization In Lending”, Diver- sification and Specialization in Lendin, 1999 (erişim: 17.08.2016)
  • Yay, Gülsün Gürkan. Para ve Finans:Teori-Politika. İs- tanbul Bilgi Üniversitesi Yayını,2012.
There are 39 citations in total.

Details

Primary Language Turkish
Journal Section Research Article
Authors

Sultan Sarı This is me

Publication Date December 1, 2019
Published in Issue Year 2019 Issue: EK SAYI (2019) - Year: 2019 Volume: Ek Number: Ek

Cite

APA Sarı, S. (2019). Türk Bankacılık Sektörü Kredilerinde Sektörel Yoğunlaşma ve Kredi Riski. Iğdır Üniversitesi Sosyal Bilimler Dergisi(EK SAYI (2019), 43-68.