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Year 2015, Volume: 7 Issue: 13, 377 - 408, 13.11.2015
https://doi.org/10.14784/jfrs.51026

Abstract

This study aims to analysis of individual and systemic risks of large scale commercial banks in Turkey. In the study panel data analysis have been made with annual data covering the 2003-2013 period. Empirical findings indicates that variables such as capital adequacy, leverage and size explain the individual risk. Systemic risk is affected by deposits and loans to total assets, non-interest income, organizational structure of banks. Also, bank size associated with capital and non-interest income has been observed to have an effect on systemic risk. In general, some of the systemic risk factors with individual risk factors of large scale banks operating in the system are common

References

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  • AmIhud, Yakov; DeLong, Gayle L. ve Saunders, Anthony. (2002), “The Effects of Cross-Border Bank Mergers on Bank Risk and Value”, Journal of International Money and Finance, 21(6), 857-877.
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  • Beck, Thorsten; Demirgüc-Kunt, Asli ve LevIne, Ross. (2006b), “Bank Concentration and Fragility: Impact and Mechanics”, The Risks of Financial Institutions içinde, (Eds. M. Carey ve R. Stulz), Cambridge, Massachusetts: NBER, 193-234.
  • Benston, George J.; Hunter, William C. ve Wall, Larry D. (1995), “Motivations for Bank Mergers and Acquisitions: Enhancing the Deposit Insurance Put Option versus Earning Diversification”, Journal of Money, Credit and Banking, 27(3), 777-788.
  • Berger, Allen N. ve Humphrey, David B.. (1994), “Bank Scale Economies, Mergers, Concentration, and Efficiency: The U.S. Experience”, The Wharton School, Financial Institutions Center Papers, No: 94-25.
  • Berger, Allen N. ve Mester, Loretta J. (1997), “Inside the Black Box: What Explains Differences in the Efficiencies of Financial Institutions”, Journal of Banking and Finance, 21(7), 895-947.
  • BIllIo, Monica; Getmansky, Mila, Lo, Andrew W. ve PelIzzon, Loriana. (2012), “Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors”, Journal of Financial Economics, 104(3), 535-559.
  • Black, Lamont; Correa, Ricardo, Huang, Xing ve Zhou, Hao. (2013), “The Systemic Rsik of European Banks during the Financial and Sovereign Debt Crises”, Board of Governors of the Federal Reserve System, International Finance Discussion Papers, No: 1083, July.
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  • Claessens, Stijn; PazarbasIoglu, Ceyda, Laeven, Luc, Dobler, Marc, ValencIa, Fabian, Nedelescu, Oana, ve Seal, Katharine. (2011), “Crisis Management and Resolution: Early Lessons from the Financial Crisis”, IMF Staff Discussion Notes, No: SDN/11/05, March.
  • CraIg, Ben ve Cabral dos Santos, Joao. (1997), “The Risk Effects of Bank Acquisitions”, Federal Reserve Bank of Cleveland Economic Review, Issue Q II, 25-35.
  • De Jonghe, Oliver. (2010), “Back to the Basics in Banking? A Micro-Analysis of Banking System Stability”, Journal of Financial Intermediation, 19(3), 387-417.
  • De NIcolo, Gianni; Bartholomew, Philip F., Zaman, Johanara ve ZephIrIn, Mary G.. (2004), “Bank Consolidation, Internationalization, and Conglomeration: Trends and Implications for Financial Risk”, Financial Markets, Institutions and Instruments, 13(4), 173-217.
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  • Drehmann, Mathias ve Tarashev, Nikola. (2013), “Measuring the Systemic Importance of Interconnected Banks”, Journal of Financial Intermediation, 22(4), 586-607.
  • DrIscoll, John C. ve Kraay, Aart C.. (1998), “Consistent Covariance Matrix Estimation With Spatially Dependent Panel Data”, Review of Economics and Statistics, 80(4), 549-560.
  • ECB. (2007), “Risk Measurement and Systemic Risk”, Fourth Joint Central Bank Research Conference, 8-9 November 2005, Frankfurt:ECB, April.
  • Emmons, William R.; GIlbert, Alton R. ve Yeager, Timothy J.. (2004), “Reducing the Risk at Small Community Banks: Is Size or Geographic Diversification that Matters?”, Journal of Financial Services Research, 25(2-3), 259-281.
  • FarhI, Emanuel ve TIrole, Jean. (2012), “Collective Moral Hazard, Maturity Mismatch and Systemic Bailouts”, American Economic Review, 12(1), 60-93.
  • Feng, Guohua ve SerletIs, Apostolos. (2010), “Efficiency, Technical Change, and Returns to Scale inLarge US Banks: Panel Data Evidence from an Output Distance Function Satisfying Theoretical Regularity”, Journal of Banking and Finance, 34(1), 127-138.
  • Freedman, David A. (2006), “On The So-Called ‘Huber Sandwich Estimator’ and ‘Robust Standard Errors’ ”, The American Statistician, 60(4), 299-302.
  • FreIxas, Xavier ve Rochet, Jean-Charles. (1997), Microeconomics of Banking, Cambirdge, Massachusettes: MIT Press.
  • Gulde, Anne-Marie; Hoelscher, David, Ize, Alain, Marston, David ve De NIcolo, Gianni. (2004), “Financial Stability in Dollarized Economies”, IMF Occasional Papers, No: 230.
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  • Huang, Xin; Zhou, Hao ve Zhu, Haibin. (2012), “Assessing the Systemic Risk of A Heterogeneous Portfolio of Banks during the Recent Financial Crisis”, Journal of Financial Stability, 8(3), 193- 205.
  • Hughes, Joseph P.; Lang, Willam W., Mester, Loretta J. ve Moon, Choon-Geol. (1996), “Efficient Banking under Interstate Branching”, Journal of Money, Credit, and Banking, 28(4), 1045-1071.
  • Hughes, Joseph P.; Lang, Willam W., Mester, Loretta J. ve Moon, Choon-Geol. (1999), “The Dollars and Sense of Bank Consolidation”, Journal of Banking and Finance, 23(2-4), 291-324.
  • Hughes, Joseph P.; Lang, Willam W., Mester, Loretta J. ve Moon, Choon-Geol. (2000), “Recovering Risky Technologies Using the Almost Ideal Demand System: An Application to U.S. Banking”, Journal of Financial Services Research, 18(1), 5-27.
  • Hughes, Joseph P. ve Mester, Loretta J. (1998), “Bank Capitalization and Cost: Evidence of Scale Economies in Risk Management and Signaling”, Review of Economics and Statistics, 80(2), 314- 325.
  • Hughes, Joseph P. ve Mester, Loretta J. (2011), “Who Said Large Banks Don’t Experience Scale Economies? Evidence from a Risk-Return-Driven Cost Function”, Federal Reserve Bank of Philadelphia Working Papers, No: 11-27, July.
  • Hughes, Joseph P. ve Mester, Loretta J. (2012). “Efficiency in Banking: Theory, Practice, and Evidence”, The Oxford Handbook of Banking içinde, (Eds. A.N. Berger, P. Molyneux, and J. Wilson), Second Edition, Oxford University Press, 463-485.
  • Hughes, Joseph P.; Mester, Loretta J. ve Moon, Choon.-Geol. (2001). “Are Scale Economies in Banking Elusive or Illusive? Evidence Obtained by Incorporating Capital Structure and Risk-taking into Models of Bank Production”, Journal of Banking and Finance, 25(12), 2169-2208.
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  • IMF. (2009), “Responding to the Financial Crisis and Measuring Systemic Risks”, Global Financial Stability Report, April.
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  • Laeven, Luc; RatnovskI, Lev ve Tong, Hui. (2014), “Bank Size and Systemic Risk”, IMF Staff Discussion Notes, No: SDN/14/04, May.
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TÜRKİYE’DE BÜYÜK ÖLÇEKLİ BANKALAR AÇISINDAN MÜNFERİT VE SİSTEMİK RİSKLERİN ANALİZİ

Year 2015, Volume: 7 Issue: 13, 377 - 408, 13.11.2015
https://doi.org/10.14784/jfrs.51026

Abstract

Öz
Bu çalışma Türkiye’de faaliyet gösteren büyük ölçekli ticari bankaların münferit ve sistemik risklerini analiz
etmeyi amaçlamaktadır. 2003-2013 dönemini kapsayan yıllık verilerle doğrusal panel veri analizleri yapılmıştır.
Ulaşılan bulgular, sermaye yeterliliği, kaldıraç oranı ve büyüklük gibi değişkenlerin münferit riski açıkladıklarını
göstermektedir. Sistemik risk ise, mevduat ve kredilerin toplam aktiflere oranından, faiz dışı gelirlerden,
bankaların örgüt yapısından etkilenmektedir. Ayrıca büyüklükle ilişkilendirilen sermaye yeterliliği ve faiz dışı
gelirlerin de sistemik risk üzerinde etkili oldukları gözlemlenmiştir. Genel olarak sistemde faaliyet gösteren büyük
bankaların münferit risk unsurları ile sistemik risk unsurlarının bazıları ortaktır.
Anahtar Kelimeler: Büyük ölçekli bankalar, Münferit risk, Sistemik risk, Panel veri
Jel Kodları: C23, G01, G21

References

  • Acharya, Viral V. (2009), “A Theory of Systemic Risk and Design of Prudential Bank Regulation”, Journal of Financial Stability, 5(3), 224-255.
  • Acharya, Viral V.; Pedersen, Lasse H., PhIlIppon, Thomas ve Matthew, Richardson. (2010),
  • “Measuring Systemic Risk”, Federal Reserve Bank of Cleveland Working Papers, No: 10-02.
  • Acharya, Viral V., Engle, Robert ve RIchardson, Matthew. (2012), “Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks”, American Economic Review, 102(3), 59- 64.
  • AdrIan, Tobias ve BrunnermeIer, Markus K. (2008), “CoVar: A Method for Macroprudential Regulation”, Federal Reserve Bank of New York Staff Reports, No: 348, September.
  • Allen, Franklin ve Gale, Douglas. (2000), “Financial Contagion”, Journal of Political Economy, 108(1), 1-33.
  • Allen, Franklin ve Gale, Douglas. (2004), “Financial Intermediaries and Markets”, Econometrica, 72(4), 1023-1061.
  • Allen, Franklin; Babus, Ana ve CarlettI, Elena. (2010), “Financial Connections and Systemic Risk”, NBER Working Papers, No: 16177, July.
  • AmIhud, Yakov; DeLong, Gayle L. ve Saunders, Anthony. (2002), “The Effects of Cross-Border Bank Mergers on Bank Risk and Value”, Journal of International Money and Finance, 21(6), 857-877.
  • Arıcan, Erişah ve Tunay, K. Batu. (2011), “Ticari Bankalarda Maliyet Etkinliği, Teknolojik İlerlemeler, Ölçek ve Alan Ekonomileri: Türk Ticari Bankacılık Sektörünün Analizi”, Finans Politik ve Ekonomik Yorumlar, 48(559): 65-83.
  • BaltagI, Badi H. (2002). Econometric Analysis of Panel Data, Second Edition, Chichester: John Wiley and Sons.
  • Beck, Thorsten; Demirgüc-Kunt, Asli ve LevIne, Ross. (2006a), “Bank Concentration, Competition, and Crises: First Results”, Journal of Banking and Finance, 30(5), 1581-1603.
  • Beck, Thorsten; Demirgüc-Kunt, Asli ve LevIne, Ross. (2006b), “Bank Concentration and Fragility: Impact and Mechanics”, The Risks of Financial Institutions içinde, (Eds. M. Carey ve R. Stulz), Cambridge, Massachusetts: NBER, 193-234.
  • Benston, George J.; Hunter, William C. ve Wall, Larry D. (1995), “Motivations for Bank Mergers and Acquisitions: Enhancing the Deposit Insurance Put Option versus Earning Diversification”, Journal of Money, Credit and Banking, 27(3), 777-788.
  • Berger, Allen N. ve Humphrey, David B.. (1994), “Bank Scale Economies, Mergers, Concentration, and Efficiency: The U.S. Experience”, The Wharton School, Financial Institutions Center Papers, No: 94-25.
  • Berger, Allen N. ve Mester, Loretta J. (1997), “Inside the Black Box: What Explains Differences in the Efficiencies of Financial Institutions”, Journal of Banking and Finance, 21(7), 895-947.
  • BIllIo, Monica; Getmansky, Mila, Lo, Andrew W. ve PelIzzon, Loriana. (2012), “Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors”, Journal of Financial Economics, 104(3), 535-559.
  • Black, Lamont; Correa, Ricardo, Huang, Xing ve Zhou, Hao. (2013), “The Systemic Rsik of European Banks during the Financial and Sovereign Debt Crises”, Board of Governors of the Federal Reserve System, International Finance Discussion Papers, No: 1083, July.
  • Boot, Arnoud W.A. ve Thakor, V. Anjan.
  • Boyd, John H. ve Prescott, Edward C. (1986), “Financial Intermediary-Coalitions”, Journal of Economic Theory, 38(2), 211-232.
  • Boyd, John H.; De NIcolo, Gianni ve SmIth, Bruce D.. (2004), “Crises in Competitive Versus Monopolistic Banking Systems”, Journal of Money, Credit and Banking, 36(3), 487-506.
  • Boyd, John H. ve De NIcolo, Gianni. (2006), “The Theory of Bank Risk-Taking and Competition Revisited”, Journal of Finance, 60(3), 1329-1343.
  • Bossone, Biagio ve Lee, Jong-Kun. (2004). “In Finance, Size Matters: The ‘Systemic Scale Economies’ Hypothesis”, IMF Staff Papers, 51(1), 19-46.
  • Brownlees, Christian T. ve Engle, Robert F. (2012), “Volatility, Correlation and Tails for Systemic Risk Measurement”, SSRN Papers, No: 1611229, October.
  • CamInal, Ramon ve Matutes, Carmen. (2002), “Market Power and Bank Failures”, International Journal of Industrial Organisation, 20, 1341-1361.
  • Campa, Jose M. ve Hernando, Ignacio. (2008), “The Reaction of Industry Insiders to M&As in the European Financial Industry”, Journal of Financial Services Research, 33(2), 127-146.
  • Carbo-Valverde, Santiago; Kane, Edward J. ve Rodriguez-Fernandez, Francisco. (2008), “Evidence of Differences in the Effectiveness of Safety-Net Management in European Union Countries”, Journal of Financial Services Research, 34(2), 151-176.
  • CeruttI, Eugenio; Claessens, Stijn ve McGuIre, Patrick. (2011), “Systemic Risks in Global Banking: What Available Data can Tell Us and What More Data are Needed?”, IMF Working Papers, No: WP/11/222, September.
  • Claessens, Stijn; PazarbasIoglu, Ceyda, Laeven, Luc, Dobler, Marc, ValencIa, Fabian, Nedelescu, Oana, ve Seal, Katharine. (2011), “Crisis Management and Resolution: Early Lessons from the Financial Crisis”, IMF Staff Discussion Notes, No: SDN/11/05, March.
  • CraIg, Ben ve Cabral dos Santos, Joao. (1997), “The Risk Effects of Bank Acquisitions”, Federal Reserve Bank of Cleveland Economic Review, Issue Q II, 25-35.
  • De Jonghe, Oliver. (2010), “Back to the Basics in Banking? A Micro-Analysis of Banking System Stability”, Journal of Financial Intermediation, 19(3), 387-417.
  • De NIcolo, Gianni; Bartholomew, Philip F., Zaman, Johanara ve ZephIrIn, Mary G.. (2004), “Bank Consolidation, Internationalization, and Conglomeration: Trends and Implications for Financial Risk”, Financial Markets, Institutions and Instruments, 13(4), 173-217.
  • DörIng, Benjamin; Wewel, Claudio ve Wendels, Thomas H. (2014), “Systemic Risk Measures and Their Viability for Banking Supervision”, SSRN Papers, No: 2463184, September.
  • Drehmann, Mathias ve Tarashev, Nikola. (2013), “Measuring the Systemic Importance of Interconnected Banks”, Journal of Financial Intermediation, 22(4), 586-607.
  • DrIscoll, John C. ve Kraay, Aart C.. (1998), “Consistent Covariance Matrix Estimation With Spatially Dependent Panel Data”, Review of Economics and Statistics, 80(4), 549-560.
  • ECB. (2007), “Risk Measurement and Systemic Risk”, Fourth Joint Central Bank Research Conference, 8-9 November 2005, Frankfurt:ECB, April.
  • Emmons, William R.; GIlbert, Alton R. ve Yeager, Timothy J.. (2004), “Reducing the Risk at Small Community Banks: Is Size or Geographic Diversification that Matters?”, Journal of Financial Services Research, 25(2-3), 259-281.
  • FarhI, Emanuel ve TIrole, Jean. (2012), “Collective Moral Hazard, Maturity Mismatch and Systemic Bailouts”, American Economic Review, 12(1), 60-93.
  • Feng, Guohua ve SerletIs, Apostolos. (2010), “Efficiency, Technical Change, and Returns to Scale inLarge US Banks: Panel Data Evidence from an Output Distance Function Satisfying Theoretical Regularity”, Journal of Banking and Finance, 34(1), 127-138.
  • Freedman, David A. (2006), “On The So-Called ‘Huber Sandwich Estimator’ and ‘Robust Standard Errors’ ”, The American Statistician, 60(4), 299-302.
  • FreIxas, Xavier ve Rochet, Jean-Charles. (1997), Microeconomics of Banking, Cambirdge, Massachusettes: MIT Press.
  • Gulde, Anne-Marie; Hoelscher, David, Ize, Alain, Marston, David ve De NIcolo, Gianni. (2004), “Financial Stability in Dollarized Economies”, IMF Occasional Papers, No: 230.
  • Greene, William H. (2008). Econometric Analysis, 6th. Edition, Upper Saddle River: Prentice Hall.
  • Hoechle, Daniel. (2007), “Robust Standart Errors for Panel Regressions with Cross-Sectional Dependence”, The Stata Journal, 7(3), 281-312.
  • Huang, Xin; Zhou, Hao ve Zhu, Haibin. (2009), “A Framework for Assessing the Systemic Risk of Major Financial Institutions”, Journal of Banking and Finance, 33(11), 2036-2049.
  • Huang, Xin; Zhou, Hao ve Zhu, Haibin. (2012), “Assessing the Systemic Risk of A Heterogeneous Portfolio of Banks during the Recent Financial Crisis”, Journal of Financial Stability, 8(3), 193- 205.
  • Hughes, Joseph P.; Lang, Willam W., Mester, Loretta J. ve Moon, Choon-Geol. (1996), “Efficient Banking under Interstate Branching”, Journal of Money, Credit, and Banking, 28(4), 1045-1071.
  • Hughes, Joseph P.; Lang, Willam W., Mester, Loretta J. ve Moon, Choon-Geol. (1999), “The Dollars and Sense of Bank Consolidation”, Journal of Banking and Finance, 23(2-4), 291-324.
  • Hughes, Joseph P.; Lang, Willam W., Mester, Loretta J. ve Moon, Choon-Geol. (2000), “Recovering Risky Technologies Using the Almost Ideal Demand System: An Application to U.S. Banking”, Journal of Financial Services Research, 18(1), 5-27.
  • Hughes, Joseph P. ve Mester, Loretta J. (1998), “Bank Capitalization and Cost: Evidence of Scale Economies in Risk Management and Signaling”, Review of Economics and Statistics, 80(2), 314- 325.
  • Hughes, Joseph P. ve Mester, Loretta J. (2011), “Who Said Large Banks Don’t Experience Scale Economies? Evidence from a Risk-Return-Driven Cost Function”, Federal Reserve Bank of Philadelphia Working Papers, No: 11-27, July.
  • Hughes, Joseph P. ve Mester, Loretta J. (2012). “Efficiency in Banking: Theory, Practice, and Evidence”, The Oxford Handbook of Banking içinde, (Eds. A.N. Berger, P. Molyneux, and J. Wilson), Second Edition, Oxford University Press, 463-485.
  • Hughes, Joseph P.; Mester, Loretta J. ve Moon, Choon.-Geol. (2001). “Are Scale Economies in Banking Elusive or Illusive? Evidence Obtained by Incorporating Capital Structure and Risk-taking into Models of Bank Production”, Journal of Banking and Finance, 25(12), 2169-2208.
  • Jobst, Andreas A. (2012), “Measuring Systemic Risk – Adjusted Liquidty (SRL) – A Model Approach”, IMF Working Papers, NO: WP/12/209, August.
  • IMF. (2009), “Responding to the Financial Crisis and Measuring Systemic Risks”, Global Financial Stability Report, April.
  • Kane, Edward J. (2000), “Incentives for Banking Megamergers: What Motives Might Regulators Infer from Event-Study Evidence?”, Journal of Money, Credit and Banking, 32(3), 671-705.
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There are 74 citations in total.

Details

Primary Language Turkish
Journal Section Makaleler
Authors

K. Tunay

Publication Date November 13, 2015
Submission Date November 13, 2015
Published in Issue Year 2015 Volume: 7 Issue: 13

Cite

APA Tunay, K. (2015). TÜRKİYE’DE BÜYÜK ÖLÇEKLİ BANKALAR AÇISINDAN MÜNFERİT VE SİSTEMİK RİSKLERİN ANALİZİ. Finansal Araştırmalar Ve Çalışmalar Dergisi, 7(13), 377-408. https://doi.org/10.14784/jfrs.51026