SERMAYE YETERLİLİĞİ AÇISINDAN BASEL III KRİTERİNİN GEREKLİLİĞİ VE TÜRK BANKACILIK SİSTEMİNE ETKİLERİ

Year 2017, Volume: 1 Issue: 2, 19 - 45, 29.12.2017

Gulrukh Gasımova , Azar Karımov

Abstract

2007 yılı küresel
mortgage krizi ve 2009 yılı Avrupa krizi sonrasında bankacılık sisteminde
oluşan sermaye ve likidite yetersizliği, ekonomiye büyük bir tehdit olarak
ortaya çıkmıştır. Bankacılık sistemini daha iyi düzenlemek amacıyla, Basel
Bankacılık Gözetim ve Denetim Otoritesi sermaye, likidite ve kredi riski
açısından BASEL III düzenleme paketini sunmuştu. Bu çalışmada yeni sermaye
düzenlemelerinin, Türkiye’de bankaların kredi faiz oranlarına ve kredi hacmine,
risk alma kapasitesine ve piyasa değerine nasıl bir etki yapacağı
incelenmektedir. Bu kapsamda, BASEL III düzenlemesi tam olarak Türkiye’de
uygulanmaya başladıktan sonra kredi faiz oranlarında mütevazi bir artış, bu
artıştan ve kredi talep inelastikliğinden dolayı kredi hacminde küçük bir düşüş
olacağı beklenilmektedir. Ayrıca, risk ağırlıkla varlıklarla ölçülen risk alma
kapasitesinde aynı zamanda da piyasa değerinde bir düşüş olacağı
belirlenmiştir. 

Keywords

BASEL III, sermaye gereksinimleri, kredi faiz oranları, karlılık, piyasa değeri

References

• Abreu, M., & Mendes, V. (2001). Commercial bank interest margins and profitability: evidence from some EU countries. Paper presented at the Proceedings of the Pan-European Conference Jointly Organized by the IEFSUK & University of Macedonia Economic & Social Sciences, Thessaloniki, Greece, May 17–20.
• Ackermann, J. (2010). The new architecture of financial regulation: Will it prevent another crisis? Lse Financial Market Paper Series.
• Admati, A. R., DeMarzo, P. M., Hellwig, M. F., & Pfleiderer, P. (2011). Fallacies, Irrelevant Facts, and Myths in the Discussion of Capital Regulation: Why Bank Equity is Not Expensive. Rock Center for Corporate Governance at Stanford University Working Paper No. 86.
• Asquith, P., & Mullins, D. W. (1986). Equity Issues and Offering Dilution. Journal of Financial Economics, Volume 15, 61-89.
• Athanasoglou, P., Delis, M., & Staikouras. (2006). Determinants of Bank Profitability in the South Eastern European Region. Munich Personal RePEc Archive No. 10274.
• Awdeh, A., El-Moussawi, C., & Machrouh, F. (2011). The Effect of Capital Requirements on Banking Risk. International Research Journal of Finance and Economics (Issue 66), 133-146.
• BCBS. (2011a). Basel III rules: Summarizing table. Bank for International Settlements.
• BCBS. (2010). Basel III: A global regulatory framework for more resilient banks and banking systems. Bank for International Settlements.
• BCBS. (2011b). Global systemically important banks: Assessment methodology and the additional loss absorbency requirement. Rules text, Bank for International Settlements.
• Berger, A. N. (1995). The Relationship between Capital and Earnings in Banking. Journal of Money, Credit and Banking, Volume 27 (Issue 2), 432-456.
• Bourke, P. (1989). Concentration and other determinants of bank profitability in Europe, North America and Australia. Journal of Banking & Finance, Volume 13 (Issue 1), 65-79.
• Cosimano, T. F., & Hakura, D. S. (2011). Bank Behavior in Response to Basel III: A Cross-Country Analysis. IMF Working Paper 11/119, International Monetary Fund.
• Elliott, D. J. (2009a). Bank Capital and the Stress Tests. Business and Public Policy at Brookings.
• Elliott, D. J. (2009b). Quantifying the Effects on Lending of Increased Capital Requirements. Pew Financial Reform Project Briefing Paper 7.
• Goddard, J., Molyneux, P., & Wilson, J. O. (2004). Dynamics of Growth and Profitability in Banking. Volume 36 (Issue 6), 1069-1090.
• Greenspan, A. (2011, July 26). Regulators must risk more, intervene less. Financial Times.
• Chami, R., & Cosimano, T. F. (2001). Monetary policy with a touch of Basel. IMF Working Paper 01/151, International Monetary Fund.
• Jacques, K., & Nigro, P. (1997). Risk-based capital, portfolio risk, and bank capital: A simultaneous equations approach. Journal of Economics and Business, Volume 49 (Issue 6), 533-547.
• Jokipii, T., & Milne, A. (2011). Bank capital buffer and risk adjustment decisions. Journal of Financial Stability, Volume 7 (Issue 3), 165–178.
• Kanas, A., Eriotisc, N., & Vasilioub, D. (2011). Revisiting bank profitability: A semi-parametric approach. October 2011 (In press).
• LEI Group. (2010). An assessment of the long-term economic impact of stronger capital and liquidity requirements. Bank for International Settlements.
• MAG. (2010a). Assessing the macroeconomic impact of the transition to stronger capital and liquidity requirements. Interim report, Bank for International Settlements.
• MAG. (2010b). Assessing the Macroeconomic Impact of the transition to stronger capital and liquidity requirements. Final report, Bank for International Settlements.
• Masulis, R. W., & Korwar, A. N. (1985). Seasoned Equity Offerings: An Empirical Investigation. Journal of Financial Economics, Volume 15 (Issue 1/2), 91-118.
• Mehran, H., & Thakor, A. (2009). Bank Capital and Value in the Cross Section. Staff Report No. 390, Federal Reserve Bank of New York.
• Milne, A., & Jokipi, T. (2009). Bank capital buffer and risk adjustment decisions. Swiss National Bank Working Paper, Swiss National Bank.
• Mishkin, F. S., & Eakins, S. (2008). Financial Markets and Institutions (6th ed.). Addison Wesley.
• Modigliani, F., & Miller, M. H. (1958). The Cost of Capital, Corporation Finance and the Theory of Investment. The American Economic Review, Volume 48 (Issue 3), 261-297.
• Molyneux, P., & Thornton, J. (1992). Determinants of European bank profitability: A note. Journal of Banking & Finance, Volume 16 (Issue 6), 1173–1178.
• Myers, S. C., & Majluf, N. S. (1984). Corporate Financing and Investment Decisions When Firms Have Information that Investors do not have. Journal of Financial Economics, Volume 13 (Issue 2), 187-221.
• Ngo, P. T. (2008). Capital-Risk Decisions and Profitability in Banking: Regulatory versus Economic Capital. Australian National University, School of Finance and Applied Statistics.
• Pasiouras, F., & Kosmidoua, K. (2007). Factors influencing the profitability of domestic and foreign commercial banks in the European Union. Research in International Business and Finance, Volume 21 (Issue 2), 222–237.
• Roger, S., & Vlcek, J. (2011). Macroeconomic Costs of Higher Bank Capital and Liquidity Requirements. IMF Working Paper 11/103, International Monetary Fund.
• Ross, S. A. (1977). The Determination of Financial Structure: The Incentive-Signaling Approach. The Bell Journal of Economics, Volume 8 (Issue 6), 23-40.
• Shrives, R. E., & Dahl, D. (1992). The relationship between risk and capital in commercial banks. Journal of Banking and Finance, Volume 16 (Issue 2), 439-457.
• Tysk, J., & Janson, S. (2003). Volatility time and properties of option prices. The Annals of Applied Probability, Volume 13 (Issue 3), 890-913.
• Valkanov, E., & Kleimeier, S. (2007). The role of regulatory capital in international bank mergers and acquisitions. Research in International Business and Finance, Volume 21 (Issue 1), 50-68.
• Zhang, Z., Wu, J., & Liu, Q. (2008). Impacts of Capital Adequacy Regulation on Risk-taking Behaviors of Banking. Systems Engineering - Theory & Practice, Volume 28 (Issue 8), 183–189.