Estimation of Turkish Banking Sector Financial Fragility Index and Determination of the Factors Effecting the Index

Year 2025, Volume: 10 Issue: 2, 106 - 113

Müge Gürgül , Onur Sunal

Abstract

The concept of financial fragility is defined as an early warning indicator in which a financial crisis has not yet occurred but symptoms are observed. Banking sector fragility index was calculated for 15 deposit banks in Turkey and the impact of macroeconomic and bank-specific proportional indicators was examined for 2006Q1:2022Q2. Results based on static panel models inferred that the likelihood of banks to be fragile is significantly determined by ROA, ROE, inflation rate, CDS, fear index and commercial loan interest rate. Including NPL in the index, it was both intended to make an original contribution to the literature and aimed to reveal the factors determining the index. Thus, BSF index is a reliable proxy for banking sector risk status

Keywords

Banking Crisis , Banking Sector Financial Fragility Index , Financial Fragility , Panel Data Analysis , Turkish Banking Sector.

Türk Bankacılık Sektörü Finansal Kırılganlık Endeksinin Tahmini ve Endeksi Etkileyen Faktörlerin Belirlenmesi

Abstract

Finansal kırılganlık kavramı, finansal krizin henüz meydana gelmediği ancak belirtilerinin gözlemlendiği evrenin erken uyarı göstergesi olarak tanımlamaktadır. Türkiye’deki 15 mevduat bankasının, yabancı sermayeli bankalar dahil, 2006Q1:2022Q2 dönemini kapsayan çalışmada, her banka için bankacılık sektörü finansal endeksi hesaplanmış, bankalara göre değişmeyen makro ekonomik göstergeler ile bankalara özgü oransal göstergelerin endeks üzerindeki etkisi incelenmiştir. Statik panel modellere dayanan sonuçlar, bankaların kırılgan olma olasılığının aktif karlılık oranı ve özkaynak karlılık oranı, enflasyon oranı, kredi risk pirimi, korku endeksi ve ticari kredi faiz oranı tarafından anlamlı bir şekilde belirlendiğini ortaya koymaktadır. Takipteki krediler değişkeninin endekse dahil edilmesiyle literatüre özgün bir katkı yapılması amaçlanmış, endeksi belirleyen faktörlerin ortaya çıkarılması hedeflenmiş ve böylece endeksin bankacılık sektörü risk durumu için güvenilir bir gösterge olduğu sonucuna varılmıştır.

Keywords

Bankacılık Krizleri , Bankacılık Sektörü Finansal Kırılganlık Endeksi , Finansal Kırılganlık , Panel Veri Analizi , Türk Bankacılık Sektörü

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