Bankalarda Finansal Kırılganlığı Etkileyen Faktörlerin Panel Veri Analizi ile Belirlenmesi

Year 2018, Volume: 13 Issue: 1, 15 - 38, 15.04.2018

Emre Esat Topaloğlu

https://doi.org/10.17153/oguiibf.344856

Cited By: 32

Abstract

Çalışmada, Türkiye bankacılık sektöründe 2002-2015 döneminde devamlı olarak faaliyet gösteren ticaret bankalarının finansal kırılganlıklarına etki eden mikro faktörlerin ortaya çıkarılması amaçlanmıştır. Finansal kırılganlık, takipteki kredi oranı ve sermaye yeterlilik rasyosu ile temsil edilirken; mikro faktörler ise aktif karlılık oranı, özsermaye karlılığı, likidite oranı, banka büyüklüğü, finansal kaldıraç ve net faiz marjı ile temsil edilmiştir. Finansal kırılganlığa etki eden faktörlerin tespit edilebilmesi için iki ayrı model oluşturulmuştur. Bu modeller panel veri yöntemi ile analiz edilmiştir. Analiz neticesinde, model 1’de takipteki kredi oranı ile banka büyüklüğü arasında anlamlı ve negatif ilişki tespit edilirken; likidite oranı ile anlamlı ve pozitif ilişki tespit edilmiştir. Model 2’de ise sermaye yeterlilik oranı ile net faiz marjı ve aktif karlılık oranı arasında anlamlı ve pozitif ilişki belirlenirken; finansal kaldıraç ve özsermaye karlılığı ile anlamlı ve negatif ilişki belirlenmiştir.

Keywords

Finansal Kırılganlık, Banka, Panel Veri Analizi

Determination of Factors Affecting Financial Fragility in Banks Using Panel Data Analysis

Abstract

In the study, it is aimed
to determine the micro factors that affect the financial fragility of the
commercial banks which are continuously operating in the Turkish banking sector
during 2002-2015 period. Financial fragility is represented by the non
performing loan ratio and capital
adequacy ratio while the micro factors are represented by return on
assets, return on equity, liquid ratio,
bank size, financial leverage and net interest
margin. Two different models were composed to determine the factors
affecting financial fragility. These models were analyzed by panel data method.
At the end of the analysis, In model 1, A statistically significant and
negative relationship was observed between bank size and non
performing loan ratio while a statistically significant and positive
relationship was observed between liquid ratio
and non
performing loan ratio. In model 2, A statistically significant and
positive relationship was observed between capital
adequacy ratio and net interest
margin and return on assets while a statistically significant and
negative relationship was observed between capital
adequacy ratio and financial leverage and return on equity.

Keywords

Financial Fragility, Bank, Panel Data Analysis

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