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THE EFFECT OF MONETARY POLICY ON BANKS RISK TAKING IN TURKEY

Year 2014, , 1 - 17, 01.01.2014
https://doi.org/10.11122/ijmeb.2014.10.21.476

Abstract

In periods of expansionary monetary policies, the effects of declines in interest rates on valuations, income and cash flows increase the risk taking behavior of banks.. In this context, our study investigates whether the implementation of monetary policy in 2002Q4-2012Q3 period in Turkey affects the risk taking behavior of banks or not by using dynamic panel data framework. According to our results, there is a positive relationship between the changes in short-term interest rates and banks’ risk taking. The result reflects that a decrease in short term interest rates has a positive impact on the loan portfolio via outstanding loans. In other words, banks’ risk taking decreases if interest rates are lowered. However, was found negative relationship between the interest rate, which falls below benchmark level and banks’ risk taking. According to the results, the magnitude of this effect increases as the scales of the banks get smaller

References

  • Adrian, T., & Shin, H. S. (2010). Liquidity and leverage. Journal of Financial Intermediation, 19, 418–437.
  • Agenor, P. R., & Silva, L. (2012). Macroeconomic stability, financial stability, and monetary policy rules. International Finance, 15(2), 205-224.
  • Altunbaş, Y., Gambacorta, L., & David, M. I. (2010). Does monetary policy affect bank risk- taking? ECB Working Paper Series, 1166.
  • Altunbaş, Y., Fazylov, O., & Molyneux, P. (2002). Evidence on the bank lending channel in Europe. Journal of Banking & Finance, 26 (11), 2093-2210.
  • Apel, M., & Claussen, C. (2012). Monetary policy, interest rate and risk-taking. Sveriges Riksbank Economic Review, 2, 68-83.
  • Arellano, M., & Bond, S. (1991). Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations. Review of Economic Studies, 58, 277–297.
  • Bernanke, B. (2010). Emerging from the crisis: Where do we stand? A speech at the sixth ECB Conference, Frankfurt.
  • Bernanke, B., & Blinder, A. S. (1988). Credit, money and aggregate demand. American Economic Review, 78 (2), 435-439.
  • Borio, C. (2005). Monetary and financial stability: So close and yet so far? National Institute Economic Review, 192. 84-101.
  • Borio, C., & Zhu, H. (2012). Capital regulation, risk-taking and monetary policy: A missing link in the transmission mechanism? Journal of Financial Stability, 8 236–251.
  • Brissimis, S. N., & Delis, M. D. (2010). Bank heterogeneity and monetary policy transmission. ECB Working Paper, 1233.
  • Buch, C. M., Eickmeier S., & Prieto, E. (2010). Macroeconomic factors and micro-level bank risk. CESifo Working Paper, 3194.
  • De Nicolo, G., Dell’Ariccia, G., Laeven, L., & Valencia, F. (2010). Monetary policy and bank risk taking. IMF Staff Position Note, SPN/10/09.
  • Delis M. D. & Kouretas G. P. (2011). Interest rates and bank risk taking, Journal of Banking and Finance, 35, 840-855.
  • Dell’ Ariccia, G., & Marquez, R. (2006). Lending booms and lending standarts. Journal of Finance, 61, 2511-2546.
  • Dell’Ariccia, G., Laeven, L., & Marquez, R. (2010). Monetary policy, leverage, and bank risk- taking. International Monetary Fund Working Paper, 10/276
  • Dokko, J., Doyle, B., Kiley, M. T., Kim, J., Sherlund, S., Sim, J., & Skander, V. H. (2011). Monetary policy and the housing bubble. Economic Policy, 26, 237-287.
  • Fiordelisi, F., Marques-Ibanez, D., & Molyneux, P. (2010). Efficiency and risk in european banking. European Central Bank Working Paper Series 1211.
  • Gaggl, P., & Valderrama, M. T. (2010). Does a low interest rate environment affect risk taking in Austria? Monetary Policy & The Economy, 32-48.
  • Gambacorta, L. (2009). Monetary policy and the risk-taking channel. BIS Quarterly Review, 43-53.
  • Gibson, M. S. (1997). The bank lending channel of monetary policy transmission: Evidence from a model of bank behavior that incorporates long-term customer relationships. Board of Governors of the Federal Reserve System International Finance Discussion Papers, 584.
  • Ioannidou, V. P., Ongena, S., & Peydró, J. L. (2009). Monetary policy, risk-taking and pricing: Evidence from a quasi-natural experiment. European Banking Center Discussion Paper, 2009–31S.
  • Jimenez, G., Lopez, J. A., & Saurina, J. (2007). How does competition impact bank risk-taking? Federal Reserve Bank of San Francisco Working Paper Series, 23.
  • Jimenez, G., Ongena, S., Peydro, J. L., & Saurina, J. (2008). Hazardous times for monetary policy: What do twenty-three million bank loans say about the effects of monetary policy on credit risk-taking? Banco de España Working Papers, 0833.
  • Landau, J. P. (2011). Global liquidity-concept, measurement and policy implications. CGFS Papers, 45.
  • López, M., Fernando, T., & Hector, Z. (2012). The risk-taking channel in Colombia revisited. Banco de la Republica Colombia Working Paper, 690.
  • Maddoloni, A., & Peydro, J. S. (2010). Bank risk taking , securitization, supervision and low interest rates: Evidence from the euro area and the US lendind standarts. ECB Working Papers, 1248.
  • Michalak, T. C. (2010). The nexus between monetary policy, banking market structure and bank risk taking: An empirical assessment of the risk taking channel of monetary policy. Ruhr-Universität Bochum Working Paper.
  • Minsky, H. (1986). Stabilizing an unstable economy. Yale University Press, New Haven.
  • Özsuca, E. A., & Akbostancı, E. (2012), An empirical analysis of the risk taking channel of monetary policy in Turkey. ERC Working Papers 12/08.
  • Paligorova, T., & Jimenez, J. S. (2012). Monetary policy and risk taking channel: Insights from the lending behaviour of banks. Bank of Canada Review, 23-30.
  • Rajan, R. (2005). Has financial development made the world riskier? NBER Working Paper, 11728.
  • Svensson, L. E. O. (2010). Inflation targeting after the financial crisis. BIS Economic Review, 16/2010.
  • Tabak, B. M., Laiz, M., & Daniel, C. (2010). Financial stability and monetary policy-the case of Brasil. Banco De Brasil Working Paper, 217.
  • Taylor, J. B. (2009). The financial crisis and the policy responses: An empirical analysis of what went wrong. NBER Working Paper, 14631.
  • Windmeijer, F. (2005). A finite sample correction for the variance of linear efficient two-step gmm estimators. Journal of Econometrics, 126(1), 25-51.

TÜRKİYE’DE PARA POLİTİKALARININ BANKALARIN RİSK YÜKLENİMLERİ ÜZERİNDEKİ ETKİLERİ

Year 2014, , 1 - 17, 01.01.2014
https://doi.org/10.11122/ijmeb.2014.10.21.476

Abstract

Genişletici para politikalarının uygulandığı dönemlerde faiz oranlarında meydana gelen düşüşlerin değerlemeler, gelirler ve nakit akımları üzerindeki etkileri, bankaların risk yüklenimlerini kolaylaştırmaktadır. Bu kapsamda çalışmamızda 2002Q4-2012Q3 döneminde Türkiye’de uygulanan para politikalarının bankaların risk yüklenimlerini etkileyip etkilemediği dinamik panel yaklaşımı ile araştırılmaktadır. Çalışma sonuçlarımıza göre, kısa vadeli faiz oranlarındaki değişim ile bankaların risk yüklenimleri arasında pozitif yönlü bir ilişki vardır. Bu sonuç, düşük faiz oranlarının bankaların kredi portföyleri üzerindeki -henüz geri ödemesi yapılmamış krediler vasıtasıyla gerçekleşen- pozitif yönlü etkilerini yansıtmaktadır. Bununla birlikte faiz oranlarının denge değerin altına düşmesi ile bankaların risk yüklenimleri arasınd ise negatif yönlü bir ilişki tespit edilmiştir. Elde edilen sonuçlara göre bu etkinin büyüklüğü banka ölçeği küçüldükçe artmaktadır.

References

  • Adrian, T., & Shin, H. S. (2010). Liquidity and leverage. Journal of Financial Intermediation, 19, 418–437.
  • Agenor, P. R., & Silva, L. (2012). Macroeconomic stability, financial stability, and monetary policy rules. International Finance, 15(2), 205-224.
  • Altunbaş, Y., Gambacorta, L., & David, M. I. (2010). Does monetary policy affect bank risk- taking? ECB Working Paper Series, 1166.
  • Altunbaş, Y., Fazylov, O., & Molyneux, P. (2002). Evidence on the bank lending channel in Europe. Journal of Banking & Finance, 26 (11), 2093-2210.
  • Apel, M., & Claussen, C. (2012). Monetary policy, interest rate and risk-taking. Sveriges Riksbank Economic Review, 2, 68-83.
  • Arellano, M., & Bond, S. (1991). Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations. Review of Economic Studies, 58, 277–297.
  • Bernanke, B. (2010). Emerging from the crisis: Where do we stand? A speech at the sixth ECB Conference, Frankfurt.
  • Bernanke, B., & Blinder, A. S. (1988). Credit, money and aggregate demand. American Economic Review, 78 (2), 435-439.
  • Borio, C. (2005). Monetary and financial stability: So close and yet so far? National Institute Economic Review, 192. 84-101.
  • Borio, C., & Zhu, H. (2012). Capital regulation, risk-taking and monetary policy: A missing link in the transmission mechanism? Journal of Financial Stability, 8 236–251.
  • Brissimis, S. N., & Delis, M. D. (2010). Bank heterogeneity and monetary policy transmission. ECB Working Paper, 1233.
  • Buch, C. M., Eickmeier S., & Prieto, E. (2010). Macroeconomic factors and micro-level bank risk. CESifo Working Paper, 3194.
  • De Nicolo, G., Dell’Ariccia, G., Laeven, L., & Valencia, F. (2010). Monetary policy and bank risk taking. IMF Staff Position Note, SPN/10/09.
  • Delis M. D. & Kouretas G. P. (2011). Interest rates and bank risk taking, Journal of Banking and Finance, 35, 840-855.
  • Dell’ Ariccia, G., & Marquez, R. (2006). Lending booms and lending standarts. Journal of Finance, 61, 2511-2546.
  • Dell’Ariccia, G., Laeven, L., & Marquez, R. (2010). Monetary policy, leverage, and bank risk- taking. International Monetary Fund Working Paper, 10/276
  • Dokko, J., Doyle, B., Kiley, M. T., Kim, J., Sherlund, S., Sim, J., & Skander, V. H. (2011). Monetary policy and the housing bubble. Economic Policy, 26, 237-287.
  • Fiordelisi, F., Marques-Ibanez, D., & Molyneux, P. (2010). Efficiency and risk in european banking. European Central Bank Working Paper Series 1211.
  • Gaggl, P., & Valderrama, M. T. (2010). Does a low interest rate environment affect risk taking in Austria? Monetary Policy & The Economy, 32-48.
  • Gambacorta, L. (2009). Monetary policy and the risk-taking channel. BIS Quarterly Review, 43-53.
  • Gibson, M. S. (1997). The bank lending channel of monetary policy transmission: Evidence from a model of bank behavior that incorporates long-term customer relationships. Board of Governors of the Federal Reserve System International Finance Discussion Papers, 584.
  • Ioannidou, V. P., Ongena, S., & Peydró, J. L. (2009). Monetary policy, risk-taking and pricing: Evidence from a quasi-natural experiment. European Banking Center Discussion Paper, 2009–31S.
  • Jimenez, G., Lopez, J. A., & Saurina, J. (2007). How does competition impact bank risk-taking? Federal Reserve Bank of San Francisco Working Paper Series, 23.
  • Jimenez, G., Ongena, S., Peydro, J. L., & Saurina, J. (2008). Hazardous times for monetary policy: What do twenty-three million bank loans say about the effects of monetary policy on credit risk-taking? Banco de España Working Papers, 0833.
  • Landau, J. P. (2011). Global liquidity-concept, measurement and policy implications. CGFS Papers, 45.
  • López, M., Fernando, T., & Hector, Z. (2012). The risk-taking channel in Colombia revisited. Banco de la Republica Colombia Working Paper, 690.
  • Maddoloni, A., & Peydro, J. S. (2010). Bank risk taking , securitization, supervision and low interest rates: Evidence from the euro area and the US lendind standarts. ECB Working Papers, 1248.
  • Michalak, T. C. (2010). The nexus between monetary policy, banking market structure and bank risk taking: An empirical assessment of the risk taking channel of monetary policy. Ruhr-Universität Bochum Working Paper.
  • Minsky, H. (1986). Stabilizing an unstable economy. Yale University Press, New Haven.
  • Özsuca, E. A., & Akbostancı, E. (2012), An empirical analysis of the risk taking channel of monetary policy in Turkey. ERC Working Papers 12/08.
  • Paligorova, T., & Jimenez, J. S. (2012). Monetary policy and risk taking channel: Insights from the lending behaviour of banks. Bank of Canada Review, 23-30.
  • Rajan, R. (2005). Has financial development made the world riskier? NBER Working Paper, 11728.
  • Svensson, L. E. O. (2010). Inflation targeting after the financial crisis. BIS Economic Review, 16/2010.
  • Tabak, B. M., Laiz, M., & Daniel, C. (2010). Financial stability and monetary policy-the case of Brasil. Banco De Brasil Working Paper, 217.
  • Taylor, J. B. (2009). The financial crisis and the policy responses: An empirical analysis of what went wrong. NBER Working Paper, 14631.
  • Windmeijer, F. (2005). A finite sample correction for the variance of linear efficient two-step gmm estimators. Journal of Econometrics, 126(1), 25-51.
There are 36 citations in total.

Details

Primary Language Turkish
Journal Section Research Article
Authors

Nejla Adanur Aklan This is me

Hülya Kanalıcı Akay This is me

Mehmet Çınar This is me

Publication Date January 1, 2014
Published in Issue Year 2014

Cite

APA Adanur Aklan, N., Kanalıcı Akay, H., & Çınar, M. (2014). TÜRKİYE’DE PARA POLİTİKALARININ BANKALARIN RİSK YÜKLENİMLERİ ÜZERİNDEKİ ETKİLERİ. Uluslararası Yönetim İktisat Ve İşletme Dergisi, 10(21), 1-17. https://doi.org/10.11122/ijmeb.2014.10.21.476