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TÜRKİYE’DE PARA POLİTİKASININ RİSK ALMA KANALLARI VAR MI?

Year 2014, Volume: 36 Issue: 1, 55 - 67, 11.03.2015

Abstract

Bu çalışma, Türkiye’deki bankacılık verilerini kullanarak, para politikası
duruşunun bankaların bireysel kredi verme risk düzeyleri üzerinde etkisi olup
olmadığını araştırmaktadır. Bankaların 2003q1-2012q3 çeyrek yıllık dönemi verileri
kullanılarak dinamik panel veri modeli tahmin edilmiştir. Buna göre kısa vadeli faiz
oranlarındaki değişim ile bankaların risk yüklemimleri arasında pozitif bir ilişki
vardır. Bu sonuçlar kısa vadeli faiz oranlarında bir düşüş olduğunda bankaların geri
dönmeyen portföyleri üzerinde olumlu etkisi olduğunu ortaya koymaktadır. Ancak,
gösterge oranının altına düşen faizler ve bankaların risk yüklenimleri arasında negatif
ilişki bulunmuştur. Bu etkinin büyüklüğü, büyük ölçekli ve likidite seviyesi yüksek
bankalarda düşüktür. Bu sonuçlara göre, 2003q1-2012q3 döneminde Türk bankacılık
sisteminde düşük faiz oranları bankaların risk yüklenimlerini etkilediği sonucuna
varılmıştır. Bu sonuçlar, para politikası geliştirilmesi ve yürütülmesi için önemlidir.
Bu çalışma, risk yüklenim kanalı üzerine gelişmekte olan bir piyasa çerçevesinde
ele almaktadır. Ayrıca çalışmada ilgili dönem için gösterge faiz oranı Taylor kuralı
çerçevesinde tahmin edilmiştir.

References

  • ANGELONI, I., E. FAIA, and M. LO DUCA, “Monetary Policy and Risk Taking”, Bruegel Working Papers, No 380, 2010.
  • ADRIAN, T. and H. S. SHIN, “Liquidity and Leverage,” Journal of Financial Intermediation, 19, 2010, pp.418–437.
  • ALTUNBAŞ, Y., L. GAMBACORTA, and M-I DAVID, “Does Monetary Policy Affect Bank Risk-Taking?” ECB Working Paper Series, No 1166, 2010.
  • ARELLANO M. and S. BOND, “Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations”, Review of Economic Studies, 58, 1991, pp. 277–297.
  • BEKAERT, G., M. HOEROVA, and M. Lo DUCBEKAERT, “Risk, Uncertainty and Monetary Policy”, NBER Working Paper No 16397, 2010.
  • BERNANKE, B. and A. S. BLINDER, “Credit, Money and Aggregate Demand”, American Economic Review, 78(2), 1988, pp. 435-439.
  • BERNANKE, B., “Emerging from the Crisis: Where Do We Stand?”A Speech at the Sixth ECB Conference, Frankfurt. 2010.
  • BORIO, C. and H. ZHU, “Capital Regulation, Risk-Taking and Monetary Policy: A Missing Link in the Transmission Mechanism?”. Journal of Financial Stability, 8, 2012, pp. 236–251.
  • BUCH, C. M., S. EICKMEIER, and E. PRIETO, “Macroeconomic Factors and Micro-Level Bank Risk”, CESifo Working Paper No. 3194, 2010.
  • DE GRAEVE, F., T. KICK, and M. KOETTER, “Monetary Policy and Financial (In) Stability: An Integrated Micro-Macro Approach”, Journal of Financial Stability, 4(3), 2008, pp. 205-231.
  • DE NICOLO G., G. DELL’ARICCIA, L. LAEVEN, and F. VALENCIA, “Monetary Policy and Bank Risk Taking”, IMF Staff Position Note, SPN/10/09, 2010.
  • DELIS M. D. and G. P. KOURETAS (2011), “Interest Rates and Bank Risk Taking”, Journal of Banking and Finance, 35, pp. 840-855.
  • DOKKO, J., B. DOYLE, M. T. KILEY, J. KIM, S. SHERLUND, J. SIM, and V. H. SKANDER, “Monetary Policy and the Housing Bubble”, Economic Policy, 26, 2011, pp. 237-287.
  • EICKMEIER, S. and B. HOFMANN, “Monetary Policy, Housing Booms and Financial (Im)Balances”, ECB Working Paper, No. 1178, 2010.
  • GAGGL, P. and M. T. VALDERRAMA, “Does a Low Interest Rate Environment Affect Risk Taking in Austria?”, Monetary Policy & The Economy, 4, 2010, pp. 32-48.
  • GAMBACORTA, L., “Monetary Policy and the Risk-Taking Channel, BIS Quarterly Review, December, 2009, pp. 43-53.
  • IOANNIDOU, V. P., S. ONGENA and J. L. PEYDRÓ, “Monetary Policy, Risk-Taking and Pricing: Evidence from a Quasi-Natural Experiment”, European Banking Center Discussion Paper No. 2009–31S, 2009.
  • JIMÉNEZ, G., S. ONGENA, J. L. PEYDRÓ, and J. SAURINA, “Hazardous Times for Monetary Policy: What Do Twenty-Three Million Bank Loans Say About the Effects of Monetary Policy on Credit Risk-Taking?” Banco de España Working Papers, No. 0833, 2008.
  • KASHYAP, A. K. and, STEIN, J. C., “The Role of Banks in the Transmission of Monetary Policy”, National Bureau of Economic Research, NBER Reporter, Fall, 1995.
  • KİSHAN, R. P. and OPIELA, T. P., “Banks Size Bank capital and the Bank Lending Channel”. Journal of Money, Credit, and Banking, 32(1), 2000, pp. 121– 141.
  • LÓPEZ, M., T., FERNANDO, and Z. HECTOR (2010), “The Risk-Taking Channel and Monetary Transmission Mechanism in Colombia”, Banco de la Republica Colombia Working Paper, No. 616.
  • MADDALONI, A. and J. L. PEYDRÓ, “Bank Risk-taking, Securitization, Supervision, and Low Interest Rates: Evidence from the Euro-area and the U.S. Lending Standards”, The Review of Financial Studies, 24(6), 2011, pp. 2121-2165.
  • MINSKY, H. (1986), Stabilizing an Unstable Economy, Yale University Press, New Haven.
  • ÖZSUCA, E. A. ve E. AKBOSTANCI, “An Empirical Analysis of the Risk Taking Channel of Monetary Policy in Turkey”. ERC Working Papers No. 12/08, 2012.
  • RAJAN, R., “Has Financial Development Made the World Riskier?”, NBER Working Paper, No. 11728, 2005.
  • SVENSSON, L. E. O., “Inflation Targeting after the Financial Crisis”, BIS Economic Review, No. 16/2010, 2010.
  • TABAK, B. M, M. LAIZ, and C. DANIEL, “Financial Stability and Monetary PolicyThe Case of Brazil”, Banco De Brasil Working Paper, No. 217, 2010.
  • TAYLOR, J. B., “The Financial Crisis and the Policy Responses: An Empirical Analysis of What Went Wrong”, NBER Working Paper, No. 14631, 2009.
  • WIMANDA, R. E, TURNER P. M. and. HALL MAXIMILIAN J. B., “Monetary Policy Rules For Indonesia: Which Type Is the Most Efficient?” Journal of Economic Studies, 39(4), pp. 469-484, 2012.
  • YAZGAN, E. and YILMAZKUDAY H., “Monetary Policy Rules in Practice: Evidence from Turkey and Israel”, Applied Financial Economics, 17(1), 2007, pp. 1-8.

IS THERE A RISK TAKING CHANNEL OF MONETARY POLICY IN TURKEY?

Year 2014, Volume: 36 Issue: 1, 55 - 67, 11.03.2015

Abstract

This paper uses data of the Turkish banking sector to investigate whether the stance of monetary policy has an impact on the level of risk of individual bank loans. Using bank level quarterly data over the period 2003q1-2012q3 a dynamic panel data model is estimated. There is a positive relationship between the changes in shortterm interest rates and banks risk taking. This result reflects that a decrease in short term interest rates has a positive impact on the loan portfolio via outstanding loans. However, negative relationship was found between the interest rate falling below benchmark rate and the risk taking by banks. The magnitude of this effect decreases in the large scale and high liquidity level of the banks. According to these results, it was concluded that low interest rates in Turkish banking system affects risk taking of the banks in the period of 2003q1-2012q3. These results are important for developing and conducting monetary policy. This study adds to the literature on risk-taking channel by providing evidence from an emerging market. Moreover, benchmark rate obtained by estimating Taylor rule for the above-mentioned period

References

  • ANGELONI, I., E. FAIA, and M. LO DUCA, “Monetary Policy and Risk Taking”, Bruegel Working Papers, No 380, 2010.
  • ADRIAN, T. and H. S. SHIN, “Liquidity and Leverage,” Journal of Financial Intermediation, 19, 2010, pp.418–437.
  • ALTUNBAŞ, Y., L. GAMBACORTA, and M-I DAVID, “Does Monetary Policy Affect Bank Risk-Taking?” ECB Working Paper Series, No 1166, 2010.
  • ARELLANO M. and S. BOND, “Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations”, Review of Economic Studies, 58, 1991, pp. 277–297.
  • BEKAERT, G., M. HOEROVA, and M. Lo DUCBEKAERT, “Risk, Uncertainty and Monetary Policy”, NBER Working Paper No 16397, 2010.
  • BERNANKE, B. and A. S. BLINDER, “Credit, Money and Aggregate Demand”, American Economic Review, 78(2), 1988, pp. 435-439.
  • BERNANKE, B., “Emerging from the Crisis: Where Do We Stand?”A Speech at the Sixth ECB Conference, Frankfurt. 2010.
  • BORIO, C. and H. ZHU, “Capital Regulation, Risk-Taking and Monetary Policy: A Missing Link in the Transmission Mechanism?”. Journal of Financial Stability, 8, 2012, pp. 236–251.
  • BUCH, C. M., S. EICKMEIER, and E. PRIETO, “Macroeconomic Factors and Micro-Level Bank Risk”, CESifo Working Paper No. 3194, 2010.
  • DE GRAEVE, F., T. KICK, and M. KOETTER, “Monetary Policy and Financial (In) Stability: An Integrated Micro-Macro Approach”, Journal of Financial Stability, 4(3), 2008, pp. 205-231.
  • DE NICOLO G., G. DELL’ARICCIA, L. LAEVEN, and F. VALENCIA, “Monetary Policy and Bank Risk Taking”, IMF Staff Position Note, SPN/10/09, 2010.
  • DELIS M. D. and G. P. KOURETAS (2011), “Interest Rates and Bank Risk Taking”, Journal of Banking and Finance, 35, pp. 840-855.
  • DOKKO, J., B. DOYLE, M. T. KILEY, J. KIM, S. SHERLUND, J. SIM, and V. H. SKANDER, “Monetary Policy and the Housing Bubble”, Economic Policy, 26, 2011, pp. 237-287.
  • EICKMEIER, S. and B. HOFMANN, “Monetary Policy, Housing Booms and Financial (Im)Balances”, ECB Working Paper, No. 1178, 2010.
  • GAGGL, P. and M. T. VALDERRAMA, “Does a Low Interest Rate Environment Affect Risk Taking in Austria?”, Monetary Policy & The Economy, 4, 2010, pp. 32-48.
  • GAMBACORTA, L., “Monetary Policy and the Risk-Taking Channel, BIS Quarterly Review, December, 2009, pp. 43-53.
  • IOANNIDOU, V. P., S. ONGENA and J. L. PEYDRÓ, “Monetary Policy, Risk-Taking and Pricing: Evidence from a Quasi-Natural Experiment”, European Banking Center Discussion Paper No. 2009–31S, 2009.
  • JIMÉNEZ, G., S. ONGENA, J. L. PEYDRÓ, and J. SAURINA, “Hazardous Times for Monetary Policy: What Do Twenty-Three Million Bank Loans Say About the Effects of Monetary Policy on Credit Risk-Taking?” Banco de España Working Papers, No. 0833, 2008.
  • KASHYAP, A. K. and, STEIN, J. C., “The Role of Banks in the Transmission of Monetary Policy”, National Bureau of Economic Research, NBER Reporter, Fall, 1995.
  • KİSHAN, R. P. and OPIELA, T. P., “Banks Size Bank capital and the Bank Lending Channel”. Journal of Money, Credit, and Banking, 32(1), 2000, pp. 121– 141.
  • LÓPEZ, M., T., FERNANDO, and Z. HECTOR (2010), “The Risk-Taking Channel and Monetary Transmission Mechanism in Colombia”, Banco de la Republica Colombia Working Paper, No. 616.
  • MADDALONI, A. and J. L. PEYDRÓ, “Bank Risk-taking, Securitization, Supervision, and Low Interest Rates: Evidence from the Euro-area and the U.S. Lending Standards”, The Review of Financial Studies, 24(6), 2011, pp. 2121-2165.
  • MINSKY, H. (1986), Stabilizing an Unstable Economy, Yale University Press, New Haven.
  • ÖZSUCA, E. A. ve E. AKBOSTANCI, “An Empirical Analysis of the Risk Taking Channel of Monetary Policy in Turkey”. ERC Working Papers No. 12/08, 2012.
  • RAJAN, R., “Has Financial Development Made the World Riskier?”, NBER Working Paper, No. 11728, 2005.
  • SVENSSON, L. E. O., “Inflation Targeting after the Financial Crisis”, BIS Economic Review, No. 16/2010, 2010.
  • TABAK, B. M, M. LAIZ, and C. DANIEL, “Financial Stability and Monetary PolicyThe Case of Brazil”, Banco De Brasil Working Paper, No. 217, 2010.
  • TAYLOR, J. B., “The Financial Crisis and the Policy Responses: An Empirical Analysis of What Went Wrong”, NBER Working Paper, No. 14631, 2009.
  • WIMANDA, R. E, TURNER P. M. and. HALL MAXIMILIAN J. B., “Monetary Policy Rules For Indonesia: Which Type Is the Most Efficient?” Journal of Economic Studies, 39(4), pp. 469-484, 2012.
  • YAZGAN, E. and YILMAZKUDAY H., “Monetary Policy Rules in Practice: Evidence from Turkey and Israel”, Applied Financial Economics, 17(1), 2007, pp. 1-8.
There are 30 citations in total.

Details

Primary Language English
Journal Section Makaleler
Authors

Nejla Adanur Aklan

Hülya Kanalıcı Akay This is me

Mehmet Çınar

Publication Date March 11, 2015
Submission Date March 11, 2015
Published in Issue Year 2014 Volume: 36 Issue: 1

Cite

APA Adanur Aklan, N., Kanalıcı Akay, H., & Çınar, M. (2015). IS THERE A RISK TAKING CHANNEL OF MONETARY POLICY IN TURKEY?. Marmara Üniversitesi İktisadi Ve İdari Bilimler Dergisi, 36(1), 55-67.
AMA Adanur Aklan N, Kanalıcı Akay H, Çınar M. IS THERE A RISK TAKING CHANNEL OF MONETARY POLICY IN TURKEY?. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi. March 2015;36(1):55-67.
Chicago Adanur Aklan, Nejla, Hülya Kanalıcı Akay, and Mehmet Çınar. “IS THERE A RISK TAKING CHANNEL OF MONETARY POLICY IN TURKEY?”. Marmara Üniversitesi İktisadi Ve İdari Bilimler Dergisi 36, no. 1 (March 2015): 55-67.
EndNote Adanur Aklan N, Kanalıcı Akay H, Çınar M (March 1, 2015) IS THERE A RISK TAKING CHANNEL OF MONETARY POLICY IN TURKEY?. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi 36 1 55–67.
IEEE N. Adanur Aklan, H. Kanalıcı Akay, and M. Çınar, “IS THERE A RISK TAKING CHANNEL OF MONETARY POLICY IN TURKEY?”, Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi, vol. 36, no. 1, pp. 55–67, 2015.
ISNAD Adanur Aklan, Nejla et al. “IS THERE A RISK TAKING CHANNEL OF MONETARY POLICY IN TURKEY?”. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi 36/1 (March 2015), 55-67.
JAMA Adanur Aklan N, Kanalıcı Akay H, Çınar M. IS THERE A RISK TAKING CHANNEL OF MONETARY POLICY IN TURKEY?. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi. 2015;36:55–67.
MLA Adanur Aklan, Nejla et al. “IS THERE A RISK TAKING CHANNEL OF MONETARY POLICY IN TURKEY?”. Marmara Üniversitesi İktisadi Ve İdari Bilimler Dergisi, vol. 36, no. 1, 2015, pp. 55-67.
Vancouver Adanur Aklan N, Kanalıcı Akay H, Çınar M. IS THERE A RISK TAKING CHANNEL OF MONETARY POLICY IN TURKEY?. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi. 2015;36(1):55-67.

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