The Impact of the COVID-19 Pandemic on Systemic Risk in the Turkish Banking Sector: A Comparative Analysis Using MES

Year 2025, , 97 - 120, 26.01.2025

Serkan Şengül

https://doi.org/10.25095/mufad.1565270

Abstract

This study analyzes the systemic risk levels of the Turkish banking sector before and after the COVID-19 pandemic. Based on financial risk indicators such as MES MES (Marginal Expected Shortfall), conditional correlation and conditional volatility of six banks (Akbank, İşbank, Garanti BBVA, Yapı Kredi, Halkbank and Vakıfbank) listed on Borsa Istanbul between 2016 and 2023, the analysis reveals that the pandemic increased vulnerabilities in the sector. The results show that the expansionary policies implemented during the pandemic increased systemic risk in the long run despite meeting the short-term liquidity needs of banks. Moreover, sudden policy changes and uncertainties regarding central bank independence in Turkey in the post-pandemic period weakened financial stability. The study emphasizes the strategic importance of financial regulation in Turkey to develop a more resilient banking structure in times of crisis.

Keywords

Systemic Risk, COVID-19, Bankacılık, Marjinal Beklenen Açık, Finansal Kriz

COVID-19 Pandemisinin Türkiye Bankacılık Sektöründeki Sistemik Risk Üzerine Etkileri: MES Analizi ile Karşılaştırmalı Bir İnceleme

Abstract

Bu çalışma, Türkiye'deki bankacılık sektörünün COVID-19 pandemisi öncesi (2016-2019) ve sonrası (2020-2023) dönemlerdeki sistemik risk düzeylerini karşılaştırmalı olarak incelemektedir. Çalışmada, Borsa İstanbul'a kote olmuş büyük bankalar (Akbank, İş Bankası, Garanti BBVA, Yapı Kredi, Halkbank ve Vakıfbank) ele alınmış, Marjinal Beklenen Açık (MES) gibi finansal risk göstergeleri üzerinden analiz yapılmıştır. Pandemi dönemi, bankaların sistemik riske olan katkılarında önemli değişikliklere neden olmuş, özellikle kaldıraç ve sermaye yapılarının risk üzerindeki etkisi vurgulanmıştır. Sonuçlar, pandeminin bankaların sistemik risk seviyelerini önemli ölçüde artırdığını ve finansal piyasaların pandemi sonrası toparlanma sürecinde dalgalı bir risk profili sergilediğini ortaya koymaktadır. Çalışma, Türkiye bankacılık sektöründeki bu değişimlerin düzenleyici reformlar ve politika yapıcılar açısından gelecekte atılacak adımlar için önemli ipuçları sunduğunu göstermektedir.

Keywords

Sistemik Risk, COVID-19, Bankacılık, Marjinal Beklenen Açık, Finansal Kriz

References

• Acharya, Viral V. - Pedersen, Lasse H. - Philippon, Thomas - Richardson, Matthew (2010). “Measuring systemic risk”, Federal Reserve Bank of Cleveland Working Paper, (10-02).
• Acharya, Viral V. - Thakor, Anjan V. (2016). “The dark side of liquidity creation: Leverage and systemic risk”, Banque de France Working Paper.
• Adrian, Tobias - Brunnermeier, Markus K. (2011). “CoVaR”, Federal Reserve Bank of New York Staff Reports, (348).
• Alesina, Alberto - Summers, Lawrance H. (1993). “Central bank independence and macroeconomic performance: Some comparative evidence”, Journal of Money, Credit and Banking, 25(2), 151-162.
• Benoit, Slyvain - Colliard, Jean-Edouard - Hurlin, Christophe - Perignon, Christophe (2012). “Where the risks lie: A survey on systemic risk”, Banque de France Working Paper, (No. 383).
• Bernanke, Ben S. - Mishkin, Frederic S. (1997). “Inflation targeting: A new framework for monetary policy?”, Journal of Economic Perspectives, 11(2), 97-116.
• Bicil, İbrahim Murat (2021). “COVID-19 pandemi sürecinde Türk bankacılık sistemindeki mevduat bankalarının toplam faktör verimliliğindeki değişimler”, Yönetim ve Ekonomi Araştırmaları Dergisi, 19(4), 349-361.
• Brownlees, Christian T. - Engle, Robert (2012). “Volatility, correlation and tails for systemic risk measurement”. NYU Stern School of Business Working Paper.
• Büyükbostancı, Atakan (2023). COVID-19 pandemisi döneminde Türkiye’de para ve maliye politikasının karşılaştırılması. Ordu Üniversitesi, İktisat Anabilim Dalı, Yüksek Lisans Tezi.
• Byttebier, Koen (2022). “Monetary response to and financial implications of COVID-19”. In: COVID-19 and Capitalism. Economic and Financial Law & Policy – Shifting Insights & Values, vol 7. Springer, Cham. https://doi.org/10.1007/978-3-030-92901-5_3
• Cihak, Martin - Demirgüç-Kunt, Aslı - Feyen, Erik – Levine, Ross (2012). “Benchmarking financial systems around the world”. Policy Research Working Paper, (No. 6175).
• Çalış, Nevzat - Sakarya, Şakir (2022). “COVID-19 pandemisinin mevduat bankalarının likidite ve kârlılık yapısına etkisi: BİST Bankacılık Endeksi üzerine bir inceleme”, Muhasebe Bilim Dünyası Dergisi, 24(COVID-19 Özel Sayısı), 194-210.
• Claessens, Stijn - Kodres, Laura (2014). “The regulatory responses to the global financial crisis: Some uncomfortable questions”. IMF Staff Discussion Note.
• Cukierman, Alex (1992). Central bank strategy, credibility, and independence: Theory and evidence. MIT Press.
• Ülger Danacı, Özlem (2024). “Orthodox and heterodox economic policies: The case of Turkey”. Current Studies in Social Sciences-4, 229.
• Demirel, Serkan (2021). “Covid-19 pandemisinin kredi ve mevduata etkisi (2019-2020)”. Bankacılık ve Sermaye Piyasası Araştırmaları Dergisi, 5(12), 22-37.
• Duffie, Darrell (2010). “The failure mechanics of dealer banks”. Working paper, Graduate School of Business, Stanford University.
• Engle, Robert (2002). “Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models”, Journal of Business & Economic Statistics, 20(3), 339-350.
• Engle, Robert - Mezrich, Joseph (1996). “GARCH for groups”. Risk, 9, 36-40.
• Financial Stability Board (FSB). (2011). Addressing SIFIs. Erişim tarihi: [06.08.2024]. http://www.fsb.org/what-we-do/policy-development/systematically-important-financial-institutions-sifis/
• Glosten, Lawrance R. - Jagannathan, Ravi - Runkle, David E. (1993). “On the relation between the expected value and the volatility of the nominal excess return on stocks”, Journal of Finance, 48(5), 1779-1801.
• Goodhart, Charles A. E. (2010). “The changing role of central banks”, Financial History Review, 17(2), 135-154.
• Goodhart, Charles (2020). “The COVID-19 crisis and the financial system: Problems and solutions”, Journal of Financial Stability, 49, 100806. https://doi.org/10.1016/j.jfs.2020.100806
• Guntay, Levent - Kupiec, Paul (2014). “Taking the risk out of systemic risk measurement”. Economics Working Paper Series, American Enterprise Institute.
• Hellwig, Martin F. (2009). “Systemic risk in the financial sector: An analysis of the subprime-mortgage financial crisis”, De Economist, 157, 129–207. https://doi.org/10.1007/s10645-009-9110-0
• Komarkova, Zlatuše - Hausenblas, Václav - Frait, Jan (2012). “How to identify systemically important financial institutions”, Czech National Bank, Financial Stability Report: 2011/2012, 100-111.
• Matos, Paulo - Costa, Antonio - da Silva, Cristiano (2021). “On the risk-based contagion of the G7 banking system and the COVID-19 pandemic”, Global Business Review. https://doi.org/10.1177/09721509211026813
• Mishkin, Frederic (1995). “Comment on systemic risk”. In G. Kaufman (Ed.), Research in financial services: Banking, financial markets, and systemic risk (Vol. 7, pp. 31-45). JAI Press.
• Reavis, Cate (2012). “The global financial crisis of 2008: The role of greed, fear, and oligarchs”, MIT Sloan School of Management Review, (09-093).
• Sheikhi, Masoud - Atabay Kuşçu, Rana (2023). “COVID-19 sürecinde helikopter para çözüm mü?”, İstanbul Ticaret Üniversitesi Sosyal Bilimler Dergisi, 22(46), 528-545. https://doi.org/10.46928/iticusbe.1101833
• Stiroh, Kevin - Rumble, Adrienne (2006). “The dark side of diversification: The case of US financial holding companies”, Journal of Banking and Finance, 30(8), 2131-2161.
• Stöhr, Alexander (2015). “Approaches to financial regulation in view of the crisis”, Journal of Financial Regulation and Compliance, 23(1), 73-83.
• Summer, Martin (2003). “Banking regulation and systemic risk”, Open Economies Review, 14, 43–70. https://doi.org/10.1023/A:1021299202181
• Şenol, Zekai - Başer, Rıfat (2022). “COVID-19’un Bankacılık Sektörüne Etkileri: Türkiye Örneği”, Yalova Sosyal Bilimler Dergisi. 12(2), 28-37.
• Talaslı, İrem (2013). “Systemic risk analysis of Turkish financial institutions with systemic expected shortfall”, Central Bank Review, 13(Special Issue-March), 25-40.
• Türkiye Bankalar Birliği (TBB). (2023). Banka ve sektör bilgileri: Aktif büyüklüklerine göre banka sıralaması. Erişim tarihi: [04.11.2024]. https://www.tbb.org.tr
• Ulusoy, Ahmet - Demirel, Serkan (2021). “Türk bankacılık sisteminde karlılık üzerinde etkili olan faktörlerin belirlenmesi”, Bankacılık ve Sermaye Piyasası Araştırmaları Dergisi, 5(11), 20-48.
• Zhang, Xiaoming - Tian, Yiming - Lee, Chien-Chiang (2024). “Enforcement actions and systemic risk”, Emerging Markets Review, 59.