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TÜRK BANKACILIK SEKTÖRÜNÜN FİNANSAL PERFORMANSI VE MAKROEKONOMİK PERFORMANS ARASINDAKİ ASİMETRİK İLİŞKİ

Year 2017, , 87 - 97, 30.06.2017
https://doi.org/10.17261/Pressacademia.2017.437

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.

References

  • Abreau, M. ve Mendes, M. 2002, “Commercial Bank Interest Margins and Profitability: Evidence from EU Countries” University of Porto Working Paper Series, 122.
  • Amato, L.H. ve Wilder, R.P. 1985, “The Effects of Firm Size on Profit Rate in U.S. Manufacturing”, Southern Economics Journal, 52, 181-190.
  • Athanasoglou, P.P., Brissimis, S. N. ve Delis, M.D. 2008, “Bank-Specific, Industry-Specific and Macroeconomic Determinants of Bank Profitability” Journal of International Financial Markets, Institutions & Money, 18: 121-136.
  • Athanasoglou, P., Delis, D. ve Staikouras, K. 2006, “Determinants of Bank Profitability in the South Eastern European Region”, Bank of Greece Working Paper, 47.
  • Barajas, A., Steiner, R. ve Salazar, N. 1999, “Interest Spreads in Banking in Colombia 1974-96”, IMF Çalısma Tebligi, 46, 196-224.
  • Barth, J. R., Tong L., Triphon P. ve Glenn Y. 2006, Capital Access Index 2006: Best Markets for Business Finance, Milken Institute.
  • Bashir, A. H. M. 2000, “Assessing the Performance of Islamic Banks: Some Evidence from the Middle East”, Islamic Economic Studies, 11(1).
  • Bashir. A. 2003, Determinants of Profitability in Islamic Banks: Some Evidence from the Middle East, Islamic Economic Studies, 11, 31-57.
  • Bokhari, H.W. ve. Khan, M.A. 2013, “The Impact of Capital Structure on Firm’s Performance: A Case of Non-Financial Sector of Pakistan”, European Journal of Business and Management, 5, 111-137.
  • Bourke, P. 1989, Concentration and Other Determinants of Bank Profitability in Europe, North America and Australia. Journal of Banking and Finance, 13, 65-79.
  • Dağıdır, C. 2010, “Türk Bankacılık Sektöründe Karlılık ve Makro Ekonomik Değişkenlerle İlişkisi”, Ekonomi Bilimleri Dergisi, 2(1), 25-33.
  • Demirgüç-Kunt, A. ve Huizinga, H. P. 1999, “Determinants of Commercial Bank Interest Margins and Profitability: Some International Evidence”, World Bank Economic Review, 13, (March), 379-408.
  • Demirgüneş, K. ve Üçler, G. 2015, “Inter-Relationship Between Profitability, Growth and Size: Case of Turkey”, Journal of Business, Economics and Finance, 4(4), 659-678.
  • Ebaid, I.E. 2009, “The Impact of Capital Structure Choice on Firm Performance: Empirical Evidence from Egypt”, Journal of Risk Finance, 10, 477-487.
  • Ferati, R. ve Ejupi, E. 2012, “Capital Structure and Profitability: The Macedonian Case”, European Scientific Journal, 8, 51-58.
  • Fitzsimmons, J.R., Steffens, P.R. ve Douglas, E.J. 2005, Growth and Profitability in Small and Medium Sized Australian Firms, AGSE Entrepreneurship Exchange, Melbourne, February.
  • Glancey, K. 1998, “Determinants of Profitability in Small Entrepreneurial Firms”, International Journal of Entrepreneurial Behavior and Research, 4, 14-15.
  • Granger, Clive W.J. 1969, “Investigating Causal Relations by Econometric Models and Cross-spectral Methods”, Econometrica, 37, 424-438.
  • Gündoğdu, F. ve Aksu, H. 2011, “Mevduat Bankacılığında Karlılık ve Makroekonomik Değişkenler İlişkisi: Türkiye Üzerine Bir Uygulama”, Atatürk Üniversitesi İ.İ.B.F. Dergisi, 10. Ekonometri ve İstatistik Sempozyumu Özel Sayısı, 243-270.
  • Guru, B., Staunton, J. ve Shanmugam, B. 2000, Determinants of Commercial Bank Profitability in Malaysia, Asian Academy of Management Journal, V, 2, 1-22.
  • Hacker, R. S. ve Hatemi-J, A. 2006, “Tests for Causality between Integrated Variables Using Asymptotic and Bootstrap Distributions: Theory and Application”, Applied Economics, 38, 1489-1500.
  • Hatemi-J, A. 2012, “Asymetric Causality Tests with an Application”, Empirical Economics, 43, 447-456.
  • Hassan, M.K. ve Bashir A-H.M. 2003, "Determinants of Islamic Banking Profitability", Paper Presented at the Economic Research Forum (ERF) 10th Annual Conference, Marrakesh, Morocco, 16-18 December.
  • Ho, T. S. Y. ve Saunders, A. 1981, “The Determinants of Bank Interest Margins: Theory and Empirical Evidence”, Journal of Financial and Quantitative Analysis, 16, 581-600.
  • Illo, A.D. 2011, “The Effect of Macroeconomic Factors on Financial Performance of Commercial Banks in Kenya”, A Research Project in Department of Finance and Accounting School of Business, University of Nairobi.
  • Jiang, G., Tang, N., Law, E., ve Sze, A. 2003, "Determinants of Bank Profitability in Hong Kong," Hong Kong Monetary Authority Research Memorandum, September.
  • Kaya, Y.T. 2002, “Türk Bankacılık Sektöründe Karlılığın Belirleyicileri 1997-2000”, Bankacılık Düzenleme ve Denetleme Kurumu, MSPD Çalışma Raporları:2002/1.
  • Kosmidou, K., Tanna, S. ve Pasiouras, F. 2005,“Determinants of Profitability of Domestic UK Commercial Banks: Panel Evidence From the Period 1995-2002”, Applied Research Working Paper Series, Coventry University Business School. http://repec.org/mmfc05/paper45.pdf.
  • Mauri, A. ve Michael, M. 1998, “Firm and Industry Effects within Strategic Management: An Empirical Examination”, Strategic Management Journal, 19, 211-219.
  • Narayan, P. K. ve Popp, S. 2010, “A New Unit Root Test with Two Structural Breaks in Level and Slope at Unknown Time”, Journal of Applied Statistics, 37, 1425-1438.
  • Naceur, B. S. ve Goaied, M. 2001, “The Determinants of the Tunisian Deposit Banks’ Performance” Applied Financial Economics, 11: 317-319.
  • Neely, M. ve Wheelock, D. 1997, “Why Does Bank Performance Vary Across States?” Federal Reserve Bank of St. Louis Review. 79: 27-40.
  • Roquebert, J., Phillips, R ve Westfall, P. 1996, “Markets vs. Management: What “Drives” Profitability?”, Strategic Management Journal, 17, 653-664.
  • Parasız, İ. 1997, Para Banka ve Finansal Piyasalar, Ezgi Kitabevi Yayınları, 6. Baskı, Bursa.
  • Phillips, P.C.B. ve Perron, P. 1988, “Testing for a Unit Root in Time Series Regression”, Biometrika, 75, 335-346.
  • Podder, B. 2012, Determinants of Profitability of Private Commercial Banks in Bangladesh: An Empirical Study, A Thesis for a Professional Master in Banking and Finance, Asian Institute of Technology, Thailand
  • Sarıkamış, M.C., Evci, S. ve Ergün, B. 2014, “Türk Bankacılık Sektöründe Karlılığın Belirleyicileri”, Kafkas Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 5(8), 117-134.
  • Saunders, A. ve Schumacher, L. 2000, The Determinants of Bank Interest Margins: An International Study, Journal of International Money and Finance, 19,813-832.
  • Sufian, F., Habibullah. M.S. 2009. “Bank Specific and Macroeconomic Determinants of Bank Profitability: Empirical Evidence from the China Banking Sector”, Frontiers of Economics in China, 4 (2), 274-291.
  • Taşkın, D. 2011, “Türkiye’de Ticari Bankaların Performansını Etkileyen Faktörler”, Ege Akademik Bakış, 11(2), 289-298.
  • Toda, H.Y. ve Yamamoto, T. 1995, Statistical Inference in Vector Autoregressions with Possibly Integrated Processes”, Journal of Econometrics, 66, 225-250.
  • Tunay, K.B. ve Silpagar, A.M. 2006, “Türk Ticari Bankacılık Sektöründe Karlılığa Dayalı Performans Analizi-II”, Türkiye Bankalar Birliği Araştırma Serisi, Sayı:2006-02.
  • Velnampy, T. ve Niresh, J.A. 2012, “The Relationship between Capital Structure and Profitability”, Global Journal of Management and Business Research, 12, 67-73.
  • Yiğit, P.A. 2005, “Düşen Enflasyon Ortamında Bankacılık ve Türk Bankacılık Sektörü, TC Merkez Bankası Uzmanlık Yeterlilik Tezi, Ankara.

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

Year 2017, , 87 - 97, 30.06.2017
https://doi.org/10.17261/Pressacademia.2017.437

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. 

References

  • Abreau, M. ve Mendes, M. 2002, “Commercial Bank Interest Margins and Profitability: Evidence from EU Countries” University of Porto Working Paper Series, 122.
  • Amato, L.H. ve Wilder, R.P. 1985, “The Effects of Firm Size on Profit Rate in U.S. Manufacturing”, Southern Economics Journal, 52, 181-190.
  • Athanasoglou, P.P., Brissimis, S. N. ve Delis, M.D. 2008, “Bank-Specific, Industry-Specific and Macroeconomic Determinants of Bank Profitability” Journal of International Financial Markets, Institutions & Money, 18: 121-136.
  • Athanasoglou, P., Delis, D. ve Staikouras, K. 2006, “Determinants of Bank Profitability in the South Eastern European Region”, Bank of Greece Working Paper, 47.
  • Barajas, A., Steiner, R. ve Salazar, N. 1999, “Interest Spreads in Banking in Colombia 1974-96”, IMF Çalısma Tebligi, 46, 196-224.
  • Barth, J. R., Tong L., Triphon P. ve Glenn Y. 2006, Capital Access Index 2006: Best Markets for Business Finance, Milken Institute.
  • Bashir, A. H. M. 2000, “Assessing the Performance of Islamic Banks: Some Evidence from the Middle East”, Islamic Economic Studies, 11(1).
  • Bashir. A. 2003, Determinants of Profitability in Islamic Banks: Some Evidence from the Middle East, Islamic Economic Studies, 11, 31-57.
  • Bokhari, H.W. ve. Khan, M.A. 2013, “The Impact of Capital Structure on Firm’s Performance: A Case of Non-Financial Sector of Pakistan”, European Journal of Business and Management, 5, 111-137.
  • Bourke, P. 1989, Concentration and Other Determinants of Bank Profitability in Europe, North America and Australia. Journal of Banking and Finance, 13, 65-79.
  • Dağıdır, C. 2010, “Türk Bankacılık Sektöründe Karlılık ve Makro Ekonomik Değişkenlerle İlişkisi”, Ekonomi Bilimleri Dergisi, 2(1), 25-33.
  • Demirgüç-Kunt, A. ve Huizinga, H. P. 1999, “Determinants of Commercial Bank Interest Margins and Profitability: Some International Evidence”, World Bank Economic Review, 13, (March), 379-408.
  • Demirgüneş, K. ve Üçler, G. 2015, “Inter-Relationship Between Profitability, Growth and Size: Case of Turkey”, Journal of Business, Economics and Finance, 4(4), 659-678.
  • Ebaid, I.E. 2009, “The Impact of Capital Structure Choice on Firm Performance: Empirical Evidence from Egypt”, Journal of Risk Finance, 10, 477-487.
  • Ferati, R. ve Ejupi, E. 2012, “Capital Structure and Profitability: The Macedonian Case”, European Scientific Journal, 8, 51-58.
  • Fitzsimmons, J.R., Steffens, P.R. ve Douglas, E.J. 2005, Growth and Profitability in Small and Medium Sized Australian Firms, AGSE Entrepreneurship Exchange, Melbourne, February.
  • Glancey, K. 1998, “Determinants of Profitability in Small Entrepreneurial Firms”, International Journal of Entrepreneurial Behavior and Research, 4, 14-15.
  • Granger, Clive W.J. 1969, “Investigating Causal Relations by Econometric Models and Cross-spectral Methods”, Econometrica, 37, 424-438.
  • Gündoğdu, F. ve Aksu, H. 2011, “Mevduat Bankacılığında Karlılık ve Makroekonomik Değişkenler İlişkisi: Türkiye Üzerine Bir Uygulama”, Atatürk Üniversitesi İ.İ.B.F. Dergisi, 10. Ekonometri ve İstatistik Sempozyumu Özel Sayısı, 243-270.
  • Guru, B., Staunton, J. ve Shanmugam, B. 2000, Determinants of Commercial Bank Profitability in Malaysia, Asian Academy of Management Journal, V, 2, 1-22.
  • Hacker, R. S. ve Hatemi-J, A. 2006, “Tests for Causality between Integrated Variables Using Asymptotic and Bootstrap Distributions: Theory and Application”, Applied Economics, 38, 1489-1500.
  • Hatemi-J, A. 2012, “Asymetric Causality Tests with an Application”, Empirical Economics, 43, 447-456.
  • Hassan, M.K. ve Bashir A-H.M. 2003, "Determinants of Islamic Banking Profitability", Paper Presented at the Economic Research Forum (ERF) 10th Annual Conference, Marrakesh, Morocco, 16-18 December.
  • Ho, T. S. Y. ve Saunders, A. 1981, “The Determinants of Bank Interest Margins: Theory and Empirical Evidence”, Journal of Financial and Quantitative Analysis, 16, 581-600.
  • Illo, A.D. 2011, “The Effect of Macroeconomic Factors on Financial Performance of Commercial Banks in Kenya”, A Research Project in Department of Finance and Accounting School of Business, University of Nairobi.
  • Jiang, G., Tang, N., Law, E., ve Sze, A. 2003, "Determinants of Bank Profitability in Hong Kong," Hong Kong Monetary Authority Research Memorandum, September.
  • Kaya, Y.T. 2002, “Türk Bankacılık Sektöründe Karlılığın Belirleyicileri 1997-2000”, Bankacılık Düzenleme ve Denetleme Kurumu, MSPD Çalışma Raporları:2002/1.
  • Kosmidou, K., Tanna, S. ve Pasiouras, F. 2005,“Determinants of Profitability of Domestic UK Commercial Banks: Panel Evidence From the Period 1995-2002”, Applied Research Working Paper Series, Coventry University Business School. http://repec.org/mmfc05/paper45.pdf.
  • Mauri, A. ve Michael, M. 1998, “Firm and Industry Effects within Strategic Management: An Empirical Examination”, Strategic Management Journal, 19, 211-219.
  • Narayan, P. K. ve Popp, S. 2010, “A New Unit Root Test with Two Structural Breaks in Level and Slope at Unknown Time”, Journal of Applied Statistics, 37, 1425-1438.
  • Naceur, B. S. ve Goaied, M. 2001, “The Determinants of the Tunisian Deposit Banks’ Performance” Applied Financial Economics, 11: 317-319.
  • Neely, M. ve Wheelock, D. 1997, “Why Does Bank Performance Vary Across States?” Federal Reserve Bank of St. Louis Review. 79: 27-40.
  • Roquebert, J., Phillips, R ve Westfall, P. 1996, “Markets vs. Management: What “Drives” Profitability?”, Strategic Management Journal, 17, 653-664.
  • Parasız, İ. 1997, Para Banka ve Finansal Piyasalar, Ezgi Kitabevi Yayınları, 6. Baskı, Bursa.
  • Phillips, P.C.B. ve Perron, P. 1988, “Testing for a Unit Root in Time Series Regression”, Biometrika, 75, 335-346.
  • Podder, B. 2012, Determinants of Profitability of Private Commercial Banks in Bangladesh: An Empirical Study, A Thesis for a Professional Master in Banking and Finance, Asian Institute of Technology, Thailand
  • Sarıkamış, M.C., Evci, S. ve Ergün, B. 2014, “Türk Bankacılık Sektöründe Karlılığın Belirleyicileri”, Kafkas Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 5(8), 117-134.
  • Saunders, A. ve Schumacher, L. 2000, The Determinants of Bank Interest Margins: An International Study, Journal of International Money and Finance, 19,813-832.
  • Sufian, F., Habibullah. M.S. 2009. “Bank Specific and Macroeconomic Determinants of Bank Profitability: Empirical Evidence from the China Banking Sector”, Frontiers of Economics in China, 4 (2), 274-291.
  • Taşkın, D. 2011, “Türkiye’de Ticari Bankaların Performansını Etkileyen Faktörler”, Ege Akademik Bakış, 11(2), 289-298.
  • Toda, H.Y. ve Yamamoto, T. 1995, Statistical Inference in Vector Autoregressions with Possibly Integrated Processes”, Journal of Econometrics, 66, 225-250.
  • Tunay, K.B. ve Silpagar, A.M. 2006, “Türk Ticari Bankacılık Sektöründe Karlılığa Dayalı Performans Analizi-II”, Türkiye Bankalar Birliği Araştırma Serisi, Sayı:2006-02.
  • Velnampy, T. ve Niresh, J.A. 2012, “The Relationship between Capital Structure and Profitability”, Global Journal of Management and Business Research, 12, 67-73.
  • Yiğit, P.A. 2005, “Düşen Enflasyon Ortamında Bankacılık ve Türk Bankacılık Sektörü, TC Merkez Bankası Uzmanlık Yeterlilik Tezi, Ankara.
There are 44 citations in total.

Details

Primary Language Turkish
Journal Section Articles
Authors

Gulbahar Ucler

Dogan Uysal

Publication Date June 30, 2017
Published in Issue Year 2017

Cite

APA Ucler, G., & Uysal, D. (2017). TÜRK BANKACILIK SEKTÖRÜNÜN FİNANSAL PERFORMANSI VE MAKROEKONOMİK PERFORMANS ARASINDAKİ ASİMETRİK İLİŞKİ. Journal of Economics Finance and Accounting, 4(2), 87-97. https://doi.org/10.17261/Pressacademia.2017.437

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