TÜRK BANKACILIK SEKTÖRÜNÜN FİNANSAL PERFORMANSI VE MAKROEKONOMİK PERFORMANS ARASINDAKİ ASİMETRİK İLİŞKİ

Abstract

Amaç-Bu çalışmanın amacı Türk bankacılık sektörünün finansal performansının bir göstergesi olan öz sermaye karlılığı (ROE) ile beş farklı makroekonomik değişkenden, ağırlıklandırılmış puanlama sistemi ile oluşturulmuş makroekonomik performans göstergesi arasındaki ilişkilerin asimetrik olup olmadığını incelemektir. Bu beş farklı makroekonomik değişken, kişi başına düşen GSYİH, ekonomik büyüme oranları, enflasyon oranları, bütçe dengesi ve cari işlemler hesabından oluşmaktadır.
Yöntem- 2001:Q1-2015:Q3 dönemine ait çeyrek verilerinin kullanıldığı bu çalışmada, ilk olarak Narayan ve Popp (2010) tarafından geliştirilen yapısal kırılmalı birim kök testi ve Hatemi-J (2012) tarafından geliştirilen asimetrik nedensellik testi kullanılmıştır.
Bulgular- Çalışmadan elde edilen bulgulara göre, makroekonomik performansta yaşanan pozitif bir şok ROE üzerinde pozitif bir harekete neden olurken makroekonomik performansa yaşanan negatif bir şok ROE ’de negatif bir harekete neden olmamaktadır.
Sonuç- Makroekonomik performans ile Türk bankacılık sektörünün finansal performansı arasında asimetrik nedensellik ilişkisi vardır.

Keywords

• Makroekonomik performans
• ROE
• asimetrik nedensellik
• bankacılık sektörü
• Türkiye

ASYMMETRIC RELATIONSHIP BETWEEN FINANCIAL PERFORMANCE OF TURKISH BANKING SECTOR AND MACROECONOMIC PERFORMANCE

Abstract

Purpose- This paper aims to examine the existence of asymmetric relationship between the financial performance (in terms of equity profitability) of Turkish banking system and macroeconomic performance of Turkish economy.  The macroeconomic performance variable used in the research model is a weighted combination (scoring) of five different macroeconomic variables (per capita GDP, economic growth rate, inflation rate, budget balance and current account).

 Methodolgy- The structural breaks unit root test developed by Narayan and Popp (2010) and the asymmetric causality test developed by Hatemi-J (2012) are used in empirical analyses of the paper on the quarterly data consisting the period of 2001: Q1-2015: Q3.

Findings- Findings of the study indicate that a positive shock in macroeconomic performance causes a positive shock in financial performance; while a negative shock does not cause a negative shock in financial performance.

Conclusion-    There exists an asymmetrical causality relationship between the financial performance of the Turkish banking sector and the macroeconomic performance of Turkish economy. 

Keywords

• Macroeconomic performance
• ROE
• asymmetric causality
• banking sector
• Turkey

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