FINANSAL KRIZ ÖNCESI VE SONRASI TÜRK BANKACILIK SEKTÖRÜNDE PIYASA, DÖVIZ KURU VE FAIZ ORANI RISKLERININ BELIRLEYICILERININ DEĞERLENDIRILMESI

Year 2019, , 673 - 693, 01.10.2019

İsmail Erkan Çelik

https://doi.org/10.17130/ijmeb.2019355045

Abstract

Bu çalışma bankalara özel değişkenlerin, piyasa riski, kur riski ve faiz oranı riskini beta üzerine etkilerini, Türk bankacılık sektörü açısından 2002-2019, 2002-2008 kriz öncesi ve 2010-2019 kriz sonrası dönemler için araştırmaktadır. İki aşamalı yaklaşımı kullanarak, önce risk betaları, kayan pencereli GARCH 1,1 modeli kullanılarak tahmin edilmiş ve ardından da, bu üç farklı risk betasının her birinin, bankaya özgü belirleyiciler tarafından nasıl etkilendiği panel veri yöntemi kullanılarak incelenmiştir. Sonuçlar, faiz oranı ve piyasa risk betalarının, döviz kuru riskine kıyasla, finansal oranlarla daha yüksek düzeyde ilişkili olduğunu göstermektedir.

Keywords

Bankacılık Sektörü, Piyasa Riski, Kur Riski, Panel Data, Betanın Belirleyicileri, GARCH Model

EVALUATING THE DETERMINANTS OF MARKET, EXCHANGE RATE AND INTEREST RATE RISKS IN THE PRE- AND POST FINANCIAL CRISIS FOR THE TURKISH BANKING INDUSTRY

Abstract

This study investigates the bank specific determinants of market risk, exchange rate risk and interest rate risk betas over the whole period of 2002-2019, pre-crisis period of 20022008 and the post-crisis period of 2010-2019 for the Turkish banking sector. Using the two step approach, first the risk betas are estimated by employing GARCH 1,1 model with rolling window estimation and then, the bank specific determinants of each of these three different risk betas are determined by using panel data method. The results show that the interest rate and market beta is highly related to financial ratios compared to the exchange rate risk

Keywords

Banking Sector, Market Risk, Exchange Rate Risk, Panel Data, Determinants of Beta, GARCH Model

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