Research Article
BibTex RIS Cite

Ülke Riski ve Bankaların Borç Verme Davranışları: Türkiye Kredi Piyasasından Kanıtlar

Year 2025, Issue: 124, 1 - 20, 01.10.2025

Osman Altay

Abstract

Bu çalışma, ülke riskinin Türkiye’deki ticari bankaların kredi verme davranışı üzerindeki etkisini, özellikle ticari kredi faizlerindeki asimetrik etkiler açısından incelemektedir. Momentum Eşik Otoregresif (MTAR) modeli kullanılarak, CDS primleri ile kredi faiz oranları arasındaki ilişki analiz edilmiştir. Bulgular, CDS spreadleri ile Türk Lirası ticari kredi faizleri arasında güçlü bir eşbütünleşme olduğunu ve bu ilişkinin asimetrik şekilde gerçekleştiğini göstermektedir. Bankalar, ülke riski yükseldiğinde faiz oranlarını hızlıca artırmakta, ancak risk azaldığında oranları düşürmede isteksiz davranmaktadır. Ülke riski, kredi hacmi veya temerrüt oranları üzerinde anlamlı bir etki yaratmazken, borçlanma maliyetleri üzerinde belirgin bir etkiye sahiptir. Bu sonuçlar, Türkiye’de kredi piyasasının çevrimsel (procyclical) doğasını ortaya koymakta ve gelişmekte olan ülkelerde risk aktarım mekanizmalarının gelişmiş ekonomilerden farklı işlediğine dair yeni kanıtlar sunmaktadır.

Keywords

Sovereign Risk Commercial Loan MTAR Model

References

  • Acharya, V., Drechsler, I., & Schnabl, P. (2014). A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk. Journal of Finance, 69(6), 2689–2739. https://doi.org/10.1111/jofi.12206
  • Altavilla, C., Pagano, M., & Simonelli, S. (2017). Bank Exposures and Sovereign Stress Transmission. Review of Finance, 21(6), 2103–2139. https://doi.org/10.1093/rof/rfw059
  • Apergis, E., Apergis, I., & Apergis, N. (2019). A New Macro Stress Testing Approach for Financial Realignment in the Eurozone. Journal of International Financial Markets, Institutions and Money, 61, 196–219. https://doi.org/10.1016/j.intfin.2019.02.002
  • Balke, N. S., & Fomby, T. B. (1997). Threshold Cointegration. International Economic Review, 38(3), 627–645.
  • Bank for International Settlements. (2010). 80th Annual Report: 1 April 2009–31 March 2010. Basel: Bank for International Settlements. https://www.bis.org/publ/arpdf/ar2010e.htm
  • Boyd, J. H., & De Nicoló, G. (2005). The Theory of Bank Risk Taking and Competition Revisited. Journal of Finance, 60(3), 1329–1343. https://doi.org/10.1111/j.1540-6261.2005.00763.x
  • Budnik, K. B., Boucherie, L., Borsuk, M., Dimitrov, I., Giraldo, G., Groß, J., Jancokova, M., Lampe, M., Vagliano, G., & Volk, M. (2022). Macroprudential Stress Test of the Euro Area Banking System Amid the Coronavirus (COVID-19) Pandemic. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.4112397
  • Caner, M., & Hansen, B. E. (2001). Threshold Autoregression with a Unit Root. Econometrica, 69(6), 1555–1596. https://doi.org/10.1111/1468-0262.00257
  • Crosignani, M., Faria-e-Castro, M., & Fonseca, L. (2020). The Consequences of the Largest Liquidity Injection Ever. Journal of Monetary Economics, 112, 97–112. https://doi.org/10.1016/j.jmoneco.2019.01.020
  • De Marco, F., & Macchiavelli, M. (2016). The Political Origin of Home Bias: The Case of Europe. Finance and Economics Discussion Series, 2016(060), 1–57. https://doi.org/10.17016/FEDS.2016.060
  • Ekinci, R., & Poyraz, G. (2019). The Effect of Credit Risk on Financial Performance of Deposit Banks in Turkey. Procedia Computer Science, 158, 979–987. https://doi.org/10.1016/j.procs.2019.09.139
  • Enders, W., & Granger, C. W. J. (1998). Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates. Journal of Business & Economic Statistics, 16(3), 304–311. https://doi.org/10.2307/1392506
  • Enders, W., & Siklos, P. L. (2001). Cointegration and Threshold Adjustment. Journal of Business & Economic Statistics, 19(2), 166–176.
  • Erce, A., Di Agostino, A., Frost, J., Gomez, P., Martins, C., Orpiszewski, T., Pg-Yan, C., Ramaswamy, C., & Rojas, J. (2015). Bank and Sovereign Risk Feedback Loops. Globalization and Monetary Policy Institute Working Paper, No. 275. Federal Reserve Bank of Dallas. http://www.dallasfed.org/assets/documents/institute/wpapers/2015/0127.pdf
  • Escanciano, J.-C., & Escribano, A. (2009). Econometrics: Non-linear Cointegration. In Complex Systems in Finance and Econometrics (pp. 208–234). https://doi.org/10.1007/978-1-4419-7701-4_11
  • Escribano, A. (2004). Nonlinear Error Correction: The Case of Money Demand in the United Kingdom (1878–2000). Macroeconomic Dynamics, 8(1), 76–116. https://doi.org/10.1017/S1365100503030013
  • Gregory, A. W., & Hansen, B. E. (1996). Residual-Based Tests for Cointegration in Models with Regime Shifts. Journal of Econometrics, 70(1), 99–126. https://doi.org/10.1016/0304-4076(69)41685-7
  • Guo, S., & Pei, Y. (2023). The Impact of Sovereign Defaults on Lending Countries. Review of Quantitative Finance and Accounting, 60(1), 155–180. https://doi.org/10.1007/s11156-022-01096-2
  • Güriş, B. (2020). R Uygulamalı Doğrusal Olmayan Zaman Serileri Analizi. Der Yayınları.
  • Hansen, B. E. (1999). Threshold Effects in Non-Dynamic Panels: Estimation, Testing, and Inference. Journal of Econometrics, 93(2), 345–368.
  • Hardy, B., & Zhu, S. (2023). Covid, Central Banks and the Bank-Sovereign Nexus. BIS Quarterly Review.
  • Herasymenko, A. (2023). The Impact of the Macroeconomic Environment on Bank Lending to Industrial Enterprises: The Case of Ukraine. Economics & Education, 8(3), 27–37. https://doi.org/10.30525/2500-946x/2023-3-3
  • Huizinga, H., Laeven, L., & Nicodème, G. (2007). Capital Structure and International Debt-Shifting. Journal of Financial Economics, 88(1), 80–118.
  • International Monetary Fund. (2017). Turkey: Financial Sector Assessment Program: Financial System Stability Assessment. IMF Staff Country Reports, 17(35), 1–78. https://doi.org/10.5089/9781475574401.002
  • Kale, S., & Eken, M. H. (2022). Bank Efficiency and Economic Growth in the OECD Countries. Romanian Journal of Economic Forecasting, 25(3), 48–63.
  • Kirikkaleli, D., & Gokmenoglu, K. K. (2020). Sovereign Credit Risk and Economic Risk in Turkey: Empirical Evidence from a Wavelet Coherence Approach. Borsa Istanbul Review, 20(2), 125–137. https://doi.org/10.1016/j.bir.2019.09.001
  • Koy, A., Güngör, M. Y., & Şimşek, O. (2022). ABD Borsalarında Gün İçi Doğrusal Olmayan Asimetrik İlişkinin Momentum Eşik Değerli Modellerle Analizi. Maliye Finans Yazıları, 117, 109–124. https://doi.org/10.33203/mfy.1038136
  • Pietrovito, F., & Pozzolo, A. F. (2023). Did Small Banks Trade Off Lending with Government Bond Purchases During the Sovereign Debt Crisis? International Review of Economics and Finance, 86, 40–56. https://doi.org/10.1016/j.iref.2023.03.041
  • Podstawski, M., & Velinov, A. (2018). The State Dependent Impact of Bank Exposure on Sovereign Risk. Journal of Banking and Finance, 88, 1–18. https://doi.org/10.1016/j.jbankfin.2017.11.002
  • S&P. (2013). Country Risk Assessment Methodology and Assumptions. S&P Global Ratings.
  • Tsagkanos, A., & Siriopoulos, C. (2015). Stock Markets and Industrial Production in North and South of Euro-Zone: Asymmetric Effects via Threshold Cointegration Approach. Journal of Economic Asymmetries, 12(2), 167–178. https://doi.org/10.1016/j.jeca.2015.07.001
  • Tsay, R. S. (1989). Testing and Modeling Threshold Autoregressive Processes. Journal of the American Statistical Association, 84(405), 231–240.
  • Yue, V., Soner Baskaya, Y., Hardy, B., & Kalemli-Ozcan, S. (2023). Sovereign Risk and Bank Lending: Theory and Evidence from a Natural Disaster. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.4455491

Sovereign Risk and Lending Behavior of Banking Industry: Evidence from Turkey’s Credit Market

Year 2025, Issue: 124, 1 - 20, 01.10.2025

Osman Altay

Abstract

This study examines how sovereign risk influences Turkish commercial banks' lending behavior, focusing on asymmetric effects in commercial loan pricing. Using the Momentum Threshold Autoregressive (MTAR) model, we analyze the relationship between CDS premiums (a sovereign risk proxy) and lending variables. Results reveal strong cointegration between CDS spreads and Turkish Lira commercial loan rates, with asymmetric adjustments - banks rapidly raise rates when sovereign risk increases but show reluctance to reduce them during risk declines. While sovereign risk doesn't significantly affect loan volumes or default rates, it substantially impacts borrowing costs, demonstrating credit market rigidity. These findings highlight the procyclical nature of Turkey's credit market and validate the MTAR model's effectiveness in capturing nonlinear risk dynamics. The study contributes novel evidence that risk transmission mechanisms in emerging markets operate differently than in advanced economies, particularly in how sovereign risk primarily affects loan pricing rather than credit supply.

Keywords

Sovereign Risk Commercial Loan MTAR Model Asymmetric Adjustment

References

  • Acharya, V., Drechsler, I., & Schnabl, P. (2014). A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk. Journal of Finance, 69(6), 2689–2739. https://doi.org/10.1111/jofi.12206
  • Altavilla, C., Pagano, M., & Simonelli, S. (2017). Bank Exposures and Sovereign Stress Transmission. Review of Finance, 21(6), 2103–2139. https://doi.org/10.1093/rof/rfw059
  • Apergis, E., Apergis, I., & Apergis, N. (2019). A New Macro Stress Testing Approach for Financial Realignment in the Eurozone. Journal of International Financial Markets, Institutions and Money, 61, 196–219. https://doi.org/10.1016/j.intfin.2019.02.002
  • Balke, N. S., & Fomby, T. B. (1997). Threshold Cointegration. International Economic Review, 38(3), 627–645.
  • Bank for International Settlements. (2010). 80th Annual Report: 1 April 2009–31 March 2010. Basel: Bank for International Settlements. https://www.bis.org/publ/arpdf/ar2010e.htm
  • Boyd, J. H., & De Nicoló, G. (2005). The Theory of Bank Risk Taking and Competition Revisited. Journal of Finance, 60(3), 1329–1343. https://doi.org/10.1111/j.1540-6261.2005.00763.x
  • Budnik, K. B., Boucherie, L., Borsuk, M., Dimitrov, I., Giraldo, G., Groß, J., Jancokova, M., Lampe, M., Vagliano, G., & Volk, M. (2022). Macroprudential Stress Test of the Euro Area Banking System Amid the Coronavirus (COVID-19) Pandemic. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.4112397
  • Caner, M., & Hansen, B. E. (2001). Threshold Autoregression with a Unit Root. Econometrica, 69(6), 1555–1596. https://doi.org/10.1111/1468-0262.00257
  • Crosignani, M., Faria-e-Castro, M., & Fonseca, L. (2020). The Consequences of the Largest Liquidity Injection Ever. Journal of Monetary Economics, 112, 97–112. https://doi.org/10.1016/j.jmoneco.2019.01.020
  • De Marco, F., & Macchiavelli, M. (2016). The Political Origin of Home Bias: The Case of Europe. Finance and Economics Discussion Series, 2016(060), 1–57. https://doi.org/10.17016/FEDS.2016.060
  • Ekinci, R., & Poyraz, G. (2019). The Effect of Credit Risk on Financial Performance of Deposit Banks in Turkey. Procedia Computer Science, 158, 979–987. https://doi.org/10.1016/j.procs.2019.09.139
  • Enders, W., & Granger, C. W. J. (1998). Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates. Journal of Business & Economic Statistics, 16(3), 304–311. https://doi.org/10.2307/1392506
  • Enders, W., & Siklos, P. L. (2001). Cointegration and Threshold Adjustment. Journal of Business & Economic Statistics, 19(2), 166–176.
  • Erce, A., Di Agostino, A., Frost, J., Gomez, P., Martins, C., Orpiszewski, T., Pg-Yan, C., Ramaswamy, C., & Rojas, J. (2015). Bank and Sovereign Risk Feedback Loops. Globalization and Monetary Policy Institute Working Paper, No. 275. Federal Reserve Bank of Dallas. http://www.dallasfed.org/assets/documents/institute/wpapers/2015/0127.pdf
  • Escanciano, J.-C., & Escribano, A. (2009). Econometrics: Non-linear Cointegration. In Complex Systems in Finance and Econometrics (pp. 208–234). https://doi.org/10.1007/978-1-4419-7701-4_11
  • Escribano, A. (2004). Nonlinear Error Correction: The Case of Money Demand in the United Kingdom (1878–2000). Macroeconomic Dynamics, 8(1), 76–116. https://doi.org/10.1017/S1365100503030013
  • Gregory, A. W., & Hansen, B. E. (1996). Residual-Based Tests for Cointegration in Models with Regime Shifts. Journal of Econometrics, 70(1), 99–126. https://doi.org/10.1016/0304-4076(69)41685-7
  • Guo, S., & Pei, Y. (2023). The Impact of Sovereign Defaults on Lending Countries. Review of Quantitative Finance and Accounting, 60(1), 155–180. https://doi.org/10.1007/s11156-022-01096-2
  • Güriş, B. (2020). R Uygulamalı Doğrusal Olmayan Zaman Serileri Analizi. Der Yayınları.
  • Hansen, B. E. (1999). Threshold Effects in Non-Dynamic Panels: Estimation, Testing, and Inference. Journal of Econometrics, 93(2), 345–368.
  • Hardy, B., & Zhu, S. (2023). Covid, Central Banks and the Bank-Sovereign Nexus. BIS Quarterly Review.
  • Herasymenko, A. (2023). The Impact of the Macroeconomic Environment on Bank Lending to Industrial Enterprises: The Case of Ukraine. Economics & Education, 8(3), 27–37. https://doi.org/10.30525/2500-946x/2023-3-3
  • Huizinga, H., Laeven, L., & Nicodème, G. (2007). Capital Structure and International Debt-Shifting. Journal of Financial Economics, 88(1), 80–118.
  • International Monetary Fund. (2017). Turkey: Financial Sector Assessment Program: Financial System Stability Assessment. IMF Staff Country Reports, 17(35), 1–78. https://doi.org/10.5089/9781475574401.002
  • Kale, S., & Eken, M. H. (2022). Bank Efficiency and Economic Growth in the OECD Countries. Romanian Journal of Economic Forecasting, 25(3), 48–63.
  • Kirikkaleli, D., & Gokmenoglu, K. K. (2020). Sovereign Credit Risk and Economic Risk in Turkey: Empirical Evidence from a Wavelet Coherence Approach. Borsa Istanbul Review, 20(2), 125–137. https://doi.org/10.1016/j.bir.2019.09.001
  • Koy, A., Güngör, M. Y., & Şimşek, O. (2022). ABD Borsalarında Gün İçi Doğrusal Olmayan Asimetrik İlişkinin Momentum Eşik Değerli Modellerle Analizi. Maliye Finans Yazıları, 117, 109–124. https://doi.org/10.33203/mfy.1038136
  • Pietrovito, F., & Pozzolo, A. F. (2023). Did Small Banks Trade Off Lending with Government Bond Purchases During the Sovereign Debt Crisis? International Review of Economics and Finance, 86, 40–56. https://doi.org/10.1016/j.iref.2023.03.041
  • Podstawski, M., & Velinov, A. (2018). The State Dependent Impact of Bank Exposure on Sovereign Risk. Journal of Banking and Finance, 88, 1–18. https://doi.org/10.1016/j.jbankfin.2017.11.002
  • S&P. (2013). Country Risk Assessment Methodology and Assumptions. S&P Global Ratings.
  • Tsagkanos, A., & Siriopoulos, C. (2015). Stock Markets and Industrial Production in North and South of Euro-Zone: Asymmetric Effects via Threshold Cointegration Approach. Journal of Economic Asymmetries, 12(2), 167–178. https://doi.org/10.1016/j.jeca.2015.07.001
  • Tsay, R. S. (1989). Testing and Modeling Threshold Autoregressive Processes. Journal of the American Statistical Association, 84(405), 231–240.
  • Yue, V., Soner Baskaya, Y., Hardy, B., & Kalemli-Ozcan, S. (2023). Sovereign Risk and Bank Lending: Theory and Evidence from a Natural Disaster. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.4455491
There are 33 citations in total.

Details

Primary Language English
Subjects Monetary-Banking, Financial Economy
Journal Section Articles
Authors

Osman Altay 0000-0003-2298-0620

Early Pub Date September 29, 2025
Publication Date October 1, 2025
Submission Date March 7, 2025
Acceptance Date May 14, 2025
Published in Issue Year 2025 Issue: 124

Cite

APA Altay, O. (2025). Sovereign Risk and Lending Behavior of Banking Industry: Evidence from Turkey’s Credit Market. Maliye Ve Finans Yazıları(124), 1-20. https://doi.org/10.33203/mfy.1653601
AMA Altay O. Sovereign Risk and Lending Behavior of Banking Industry: Evidence from Turkey’s Credit Market. Maliye ve Finans Yazıları. October 2025;(124):1-20. doi:10.33203/mfy.1653601
Chicago Altay, Osman. “Sovereign Risk and Lending Behavior of Banking Industry: Evidence from Turkey’s Credit Market”. Maliye Ve Finans Yazıları, no. 124 (October 2025): 1-20. https://doi.org/10.33203/mfy.1653601.
EndNote Altay O (October 1, 2025) Sovereign Risk and Lending Behavior of Banking Industry: Evidence from Turkey’s Credit Market. Maliye ve Finans Yazıları 124 1–20.
IEEE O. Altay, “Sovereign Risk and Lending Behavior of Banking Industry: Evidence from Turkey’s Credit Market”, Maliye ve Finans Yazıları, no. 124, pp. 1–20, October2025, doi: 10.33203/mfy.1653601.
ISNAD Altay, Osman. “Sovereign Risk and Lending Behavior of Banking Industry: Evidence from Turkey’s Credit Market”. Maliye ve Finans Yazıları 124 (October2025), 1-20. https://doi.org/10.33203/mfy.1653601.
JAMA Altay O. Sovereign Risk and Lending Behavior of Banking Industry: Evidence from Turkey’s Credit Market. Maliye ve Finans Yazıları. 2025;:1–20.
MLA Altay, Osman. “Sovereign Risk and Lending Behavior of Banking Industry: Evidence from Turkey’s Credit Market”. Maliye Ve Finans Yazıları, no. 124, 2025, pp. 1-20, doi:10.33203/mfy.1653601.
Vancouver Altay O. Sovereign Risk and Lending Behavior of Banking Industry: Evidence from Turkey’s Credit Market. Maliye ve Finans Yazıları. 2025(124):1-20.
 Download Cover Image

The scope of the Journal of Finance Letters consists of studies in the fields of economics, public finance, finance, and banking.