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Makroekonomik Belirsizliklerin Bankaların Döviz Kuru Riski Üzerine Etkilerinin Toda-Yamamoto Nedensellik Analizi ile İncelenmesi

Year 2020, Volume: 1 Issue: 1, 1 - 10, 31.07.2020

Abstract

Bu çalışmada Türkiye’deki makroekonomik faktörlerin bankaların döviz kuru riski üzerindeki etkisinin belirlenmesi amaçlanmıştır. Bu çerçevede, makroekonomik faktörleri temsilen ekonomik büyüme ve enflasyon verileri dikkate alınmıştır. Bunların yanı sıra, her üç değişken için de 1988 ve 2019 dönem aralığındaki yıllık veriler kullanılmıştır. Çalışmanın analiz sürecinde ise Toda Yamamoto nedensellik analizinden faydalanılmıştır. Dolayısıyla, tezin temel olarak iki farklı hipotezi bulunmaktadır. İlk hipotezde, ekonomik büyümenin döviz kuru riskini arttırdığı hususu dikkate alınmaktadır. Öte yandan, ikinci hipotezde de enflasyon oranının döviz kuru riski üzerindeki etkisi söz konusudur. Elde edilen analiz sonuçlarına göre, ilk hipotezde bahsedilen ilişki bulunmazken, ikinci hipotezdeki ilişkinin doğruluğu test edilmiştir. Başka bir ifadeyle, Türkiye’deki ekonomik büyüme, bankaların döviz kuru riski üzerinde nedensellik etkisine sahip değildir. Buna karşın, enflasyon oranının arttığı durumda ise bankaların daha fazla döviz kuru riskine sahip olduğu anlaşılmaktadır. Bu hususun temel teorisi ise enflasyon oranının arttığı durumda, faiz oranlarının da arttığı ve bunun sonucunda da bankaların döviz kredileri üzerine yoğunlaştığı şeklindedir. Belirtilen bu durum ise bankaların döviz kuru riskini arttırmaktadır. Bu hususlar dikkate alındığında, Türkiye’deki yetkili otoritenin özellikle yüksek enflasyon olduğu dönemlerde, bankaların döviz pozisyonu üzerindeki kontrollerini arttırmaları gerekmektedir. Aksi takdirde, çok fazla döviz kuru riskine maruz kalan bankalar yüzünden sistemin etkinliğinin azalabilmesi riski bulunmaktadır.

References

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  • Harasztosi, P., & Kátay, G. (2020). Currency matching by non-financial corporations. Journal of Banking & Finance, 113, 105739.
  • Huang, H., & Zhang, Z. (2019). Virtual Standard Currency for Approximating Foreign Exchange Rates. International Journal of Electronic Commerce, 23(1), 33-62.
  • Ito, H., & McCauley, R. N. (2019). A key currency view of global imbalances. Journal of International Money and Finance, 94, 97-115.
  • Kryzanowski, L., Zhang, J., & Zhong, R. (2019). Currency hedging and quantitative easing: Evidence from global bond markets. International Review of Finance.
  • Mantzura, A., & Schreiber, B. Z. (2019). Predicting foreign investors’ carry trade activity in the Israeli FX market using a time-varying currency risk premium approach. International Review of Economics & Finance, 59, 438-457.
  • Molele, M. H., & Mukuddem-Petersen, J. (2020). Emerging market currency risk exposure: evidence from South Africa. The Journal of Risk Finance.
  • Oktar, S., & Yüksel, S. (2016). Bankalarin Türev Ürün Kullanimini Etkileyen Faktörler: Mars Yöntemi ile Bir Inceleme/Determinants of the Use Derivatives in Banking: An Analysis with MARS Model. Finans Politik & Ekonomik Yorumlar, 53(620), 31.
  • Ornelas, J. R. H. (2019). Expected currency returns and volatility risk premia. The North American Journal of Economics and Finance, 49, 206-234.
  • Ornelas, J. R. H., & Mauad, R. B. (2019). Volatility risk premia and future commodity returns. Journal of International Money and Finance, 96, 341-360.
  • Ravn, S., Coffey, J., & Roberts, S. (2019). The currency of images: Risk, value and gendered power dynamics in young men’s accounts of sexting. Feminist Media Studies, 1-17.
  • Tunay, K. B., & Yüksel, S. (2017). The relationship between corporate governance and foreign ownership of the banks in developing countries. Contaduría y Administración, 62(5), 1627-1642.
  • Tunay, N., Yüksel, S., & Tunay, K. B. (2019). The effects of technology on bank performance in advanced and emerging economies: an empirical analysis. In Handbook of research on managerial thinking in global business economics (pp. 263-280). IGI Global.
  • Vidaházy, V., & Yeşin, P. (2020). Deleveraging and Foreign Currency Loan Conversion Programs in Europe. Comparative Economic Studies, 1-27.
  • Wang, S., Liu, Q., Dinçer, H., & Yüksel, S. (2020). Analysis of Innovation Performance for Retail Banking Industry With the Hybrid Fuzzy Decision-Making Approach. SAGE Open, 10(2), 2158244020927425.
  • Wybieralski, P. (2020). Cross-Currency Interest Rate Swap Application in the Long-Term Currency Risk Management. Annales Universitatis Mariae Curie-Skłodowska, sectio H–Oeconomia, 54(2), 113-124.
  • Yüksel, S. (2017). Determinants of the credit risk in developing countries after economic crisis: A case of Turkish banking sector. In Global financial crisis and its ramifications on capital markets (pp. 401-415). Springer, Cham.
  • Yuksel, S., & Zengin, S. (2017). Influencing factors of net interest margin in Turkish banking sector. International Journal of Economics and Financial Issues, 7(1).
  • Yüksel, S., Mukhtarov, S., Mammadov, E., & Özsarı, M. (2018). Determinants of profitability in the banking sector: an analysis of post-soviet countries. Economies, 6(3), 41.
Year 2020, Volume: 1 Issue: 1, 1 - 10, 31.07.2020

Abstract

References

  • Amstad, M., Packer, F., & Shek, J. (2020). Does sovereign risk in local and foreign currency differ?. Journal of International Money and Finance, 101, 102099.
  • Avdjiev, S., Bruno, V., Koch, C., & Shin, H. S. (2019). The dollar exchange rate as a global risk factor: evidence from investment. IMF Economic Review, 67(1), 151-173.
  • Cepni, O., & Güney, I. E. (2019). Local currency bond risk premia: A panel evidence on emerging markets. Emerging Markets Review, 38, 182-196.
  • Delikouras, S., Dittmar, R. F., & Li, H. (2019). Do Dollar-Denominated Emerging Market Corporate Bonds Insure Foreign Exchange Risk?. Available at SSRN 2616265.
  • Dinçer, H., & Karakuş, H. (2020). Uluslararası Bankacılık İşlemlerinde Mortgage Piyasasına Dayalı Finansal Ürünlerin Geliştirilmesine Yönelik Strateji Önerileri. Ekonomi İşletme ve Maliye Araştırmaları Dergisi, 2(1), 30-52.
  • Dinçer, H., Yüksel, S., & Çetiner, İ. T. (2019a). Strategy selection for organizational performance of Turkish banking sector with the integrated multi-dimensional decision-making approach. In Handbook of research on contemporary approaches in management and organizational strategy (pp. 273-291). IGI Global.
  • Dinçer, H., Yüksel, S., Eti, S., & Tula, A. (2019b). Effects of demographic characteristics on business success: an evidence from Turkish banking sector. In Handbook of research on business models in modern competitive scenarios (pp. 304-324). IGI Global.
  • Eti, S., Kalkavan, H., Dinçer, H., & Yüksel, S. (2020). Predicting the Role of Islamic Banking on Sustainable Economic Development: An Analysis for Turkey With ARIMA Model. In Handbook of Research on Creating Sustainable Value in the Global Economy (pp. 146-164). IGI Global.
  • Fernández-Herraiz, C., Prado-Domínguez, A. J., Pateiro-Rodríguez, C., & García-Iglesias, J. M. (2019). The role of the enhanced carry to risk on currency policy: the Mexican Peso. Applied Economics, 51(17), 1808-1816.
  • Harasztosi, P., & Kátay, G. (2020). Currency matching by non-financial corporations. Journal of Banking & Finance, 113, 105739.
  • Huang, H., & Zhang, Z. (2019). Virtual Standard Currency for Approximating Foreign Exchange Rates. International Journal of Electronic Commerce, 23(1), 33-62.
  • Ito, H., & McCauley, R. N. (2019). A key currency view of global imbalances. Journal of International Money and Finance, 94, 97-115.
  • Kryzanowski, L., Zhang, J., & Zhong, R. (2019). Currency hedging and quantitative easing: Evidence from global bond markets. International Review of Finance.
  • Mantzura, A., & Schreiber, B. Z. (2019). Predicting foreign investors’ carry trade activity in the Israeli FX market using a time-varying currency risk premium approach. International Review of Economics & Finance, 59, 438-457.
  • Molele, M. H., & Mukuddem-Petersen, J. (2020). Emerging market currency risk exposure: evidence from South Africa. The Journal of Risk Finance.
  • Oktar, S., & Yüksel, S. (2016). Bankalarin Türev Ürün Kullanimini Etkileyen Faktörler: Mars Yöntemi ile Bir Inceleme/Determinants of the Use Derivatives in Banking: An Analysis with MARS Model. Finans Politik & Ekonomik Yorumlar, 53(620), 31.
  • Ornelas, J. R. H. (2019). Expected currency returns and volatility risk premia. The North American Journal of Economics and Finance, 49, 206-234.
  • Ornelas, J. R. H., & Mauad, R. B. (2019). Volatility risk premia and future commodity returns. Journal of International Money and Finance, 96, 341-360.
  • Ravn, S., Coffey, J., & Roberts, S. (2019). The currency of images: Risk, value and gendered power dynamics in young men’s accounts of sexting. Feminist Media Studies, 1-17.
  • Tunay, K. B., & Yüksel, S. (2017). The relationship between corporate governance and foreign ownership of the banks in developing countries. Contaduría y Administración, 62(5), 1627-1642.
  • Tunay, N., Yüksel, S., & Tunay, K. B. (2019). The effects of technology on bank performance in advanced and emerging economies: an empirical analysis. In Handbook of research on managerial thinking in global business economics (pp. 263-280). IGI Global.
  • Vidaházy, V., & Yeşin, P. (2020). Deleveraging and Foreign Currency Loan Conversion Programs in Europe. Comparative Economic Studies, 1-27.
  • Wang, S., Liu, Q., Dinçer, H., & Yüksel, S. (2020). Analysis of Innovation Performance for Retail Banking Industry With the Hybrid Fuzzy Decision-Making Approach. SAGE Open, 10(2), 2158244020927425.
  • Wybieralski, P. (2020). Cross-Currency Interest Rate Swap Application in the Long-Term Currency Risk Management. Annales Universitatis Mariae Curie-Skłodowska, sectio H–Oeconomia, 54(2), 113-124.
  • Yüksel, S. (2017). Determinants of the credit risk in developing countries after economic crisis: A case of Turkish banking sector. In Global financial crisis and its ramifications on capital markets (pp. 401-415). Springer, Cham.
  • Yuksel, S., & Zengin, S. (2017). Influencing factors of net interest margin in Turkish banking sector. International Journal of Economics and Financial Issues, 7(1).
  • Yüksel, S., Mukhtarov, S., Mammadov, E., & Özsarı, M. (2018). Determinants of profitability in the banking sector: an analysis of post-soviet countries. Economies, 6(3), 41.
There are 27 citations in total.

Details

Primary Language Turkish
Subjects Finance
Journal Section Research Articles
Authors

Serhat Yuksel

Fikret Oflaz This is me 0000-0002-6303-8386

Publication Date July 31, 2020
Published in Issue Year 2020 Volume: 1 Issue: 1

Cite

IEEE S. Yuksel and F. Oflaz, “Makroekonomik Belirsizliklerin Bankaların Döviz Kuru Riski Üzerine Etkilerinin Toda-Yamamoto Nedensellik Analizi ile İncelenmesi”, JSAS, vol. 1, no. 1, pp. 1–10, 2020.