Bank Capital Shocks and Credit Growth: Turkish Banking Sector

Year 2020, Volume: 15 Issue: 3, 1081 - 1094, 30.11.2020

Taner Sekmen

https://doi.org/10.17153/oguiibf.661299

Abstract

This study investigates the impacts of bank capital regulations on credit cycles. In the study, the investigation of the effects of banks' capital ratios on the loan supply of the Turkish banking sector with bank-level data and panel VAR econometric methods is important as it is the first attempt to address the issue within this framework for Turkey. The findings obtained from the analysis with data covering the period from 2002Q4 to 2019Q2 and 26 domestic and foreign-owned banks operated in Turkey show that tightening capital requirements have a significant negative effect on the loan supply of the banking sector. The results of the study imply that regulations on capital requirements may be important in planning policy practices to control banks' loan supply. Overall, it can be concluded that macro-prudential policy tools such as countercyclical capital requirements and countercyclical capital buffers may be used to smooth the credit cycle and, thus, financial cycles in Turkey. 

Keywords

Capital Requirements, Credit Cycles, Panel VAR, Macro-Prudential Policies

Banka Sermayesi Şokları ve Kredi Büyümesi: Türk Bankacılık Sektörü

Abstract

Bu çalışma banka sermayesine ilişkin düzenlemelerin kredi dalgalanmaları üzerindeki etkilerini sorgulamaktadır. Çalışmada bankaların sermaye oranlarının Türk bankacılık sektörünün kredi arzı üzerindeki etkilerinin banka düzeyindeki veriler ile panel VAR ekonometrik yöntemleri kullanılarak incelenmesi, Türkiye için meseleyi bu çerçevede ele alan ilk teşebbüs olması bakımından önemlidir. Türkiye’de faaliyet gösteren 26 yerli ve yabancı bankaya ait, 2002Q4 ve 2019Q2 dönemini kapsa-yan veriler ile yapılan analizlerden elde edilen bulgular sermaye yeterliliklerinin sıkılaştırılmasının bankacılık sektörünün kredi arzı üzerinde anlamlı negatif etkilere sahip olduğunu göstermektedir. Bulgular sermaye yeterlilikleri üzerindeki düzenlemelerin, bankaların kredi arzını kontrol amaçlı politika uygulamalarının planlanmasında önem taşıyabileceğini ima etmektedir. Genel olarak konjonktürel sermaye yeterlilikleri ve sermaye tamponları gibi makro ihtiyati politika araçlarının Türkiye’de kredi dalgalanmalarını dolayısıyla da finansal dalgalanmaları düzleştirmede kullanılabileceği sonucuna varılmaktadır.

Keywords

Sermaye Yeterlilikleri, Kredi Dalgalanmaları, Panel VAR, Makro İhtiyati Politikalar

References

• Adrian, Tobias; Shin, Hyun Song (2010), “Liquidity and leverage”, Journal of financial interme-diation, Vol. 19 No. 3: 418-437.
• Aiyar, Shekhar; Calomiris, Charles W.; Wieladek, Tomasz (2014), “Does macro‐prudential regu-lation leak? Evidence from a UK policy experiment”, Journal of Money, Credit and Banking, Vol. 46: 181-214.
• Andrews, Donald WK; Lu, Biao (2001), “Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models”, Journal of Economet-rics, Vol. 101 No. 1: 123-164.
• Arellano, Manuel; Bover, Olympia (1995), “Another look at the instrumental variable estima-tion of error-components models”, Journal of econometrics, Vol. 68 No. 1: 29-51.
• Bai, Jushan; Ng, Serena (2004), “A PANIC attack on unit roots and cointegra-tion”, Econometrica, Vol. 72 No. 4: 1127-1177.
• Berger, Allen N.; Bouwman, Christa HS. (2013), “How does capital affect bank performance during financial crises?”, Journal of Financial Economics, Vol. 109 No. 1: 146-176.
• Berger, Allen N.; Udell, Gregory F. (1994), “Did risk-based capital allocate bank credit and cau-se a" credit crunch" in the United States?”, Journal of Money, credit and Banking, Vol. 26 No. 3: 585-628.
• Berrospide, Jose M.; Rochelle M. Edge (2010), “The Effects of Bank Capital on Lending: What Do We Know, and What Does It Mean?”, International Journal of Central Banking, Vol. 6 No. 34: 1-50.
• Breusch, Trevor S.; Pagan, Adrian R. (1980), “The Lagrange multiplier test and its applications to model specification in econometrics”, The review of economic studies, Vol. 47 No. 1: 239-253.
• Carlson, Mark; Shan, Hui; Warusawitharana, Missaka (2013), “Capital ratios and bank lending: A matched bank approach”, Journal of Financial Intermediation, Vol. 22 No. 4: 663-687.
• Chadwick, Meltem Gülenay (2018), “Effectiveness of monetary and macroprudential shocks on consumer credit growth and volatility in Turkey”, Central Bank Review, Vol. 18 No. 2: 69-83.
• Dewatripont, Mathias; Tirole, Jean (1994), “A theory of debt and equity: Diversity of securities and manager-shareholder congruence”, The quarterly journal of economics, Vol. 109 No. 4: 1027-1054.
• Drehmann, Mathias; Gambacorta, Leonardo (2012), “The effects of countercyclical capital buffers on bank lending”, Applied economics letters, Vol. 19 No. 7: 603-608.
• Elliott, Douglas J. (2009), “Quantifying the effects on lending of increased capital require-ments”, The Brookings Institution. http://centerforfinancialstability.net/forum/elliott_increased_capital_requirements_200909.pdf (Erişim: 11.10.2016).
• Francis, William B.; Osborne, Matthew (2012), “Capital requirements and bank behavior in the UK: Are there lessons for international capital standards?”, Journal of Banking & Finance, Vol. 36 No. 3: 803-816.
• Gambacorta, Leonardo; Mistrulli, Paolo Emilio (2004), “Does bank capital affect lending beha-vior?”, Journal of Financial Intermediation, Vol. 13 No. 4: 436-457.
• Hancock, Diana; Wilcox, James A. (1994), “Bank capital and the credit crunch: The roles of risk‐weighted and unweighted capital regulations”, Real Estate Economics, Vol. 22 No. 1: 59-94.
• Hansen, Lars Peter (1982), “Large sample properties of generalized method of moments esti-mators”, Econometrica, Vol. 50 No. 4: 1029–1054.
• Jiménez, Gabriel; Ongena, Steven; Peydró, José-Luis; Saurina, Jesús (2017), “Macroprudential policy, countercyclical bank capital buffers, and credit supply: evidence from the Spanish dy-namic provisioning experiments”, Journal of Political Economy, Vol. 125 No. 6: 2126-2177.
• Karmakar, Sudipto; Mok, Junghwan (2015), “Bank capital and lending: An analysis of commer-cial banks in the United States”, Economics Letters, Vol. 128 No. 3: 21-24.
• Košak, Marko; Li, Shaofang; Lončarski, Igor; Marinč, Matej (2015), “Quality of bank capital and bank lending behavior during the global financial crisis”, International review of financial analy-sis, Vol. 37: 168-183.
• Labonne, Claire; Lamé, Gildas (2014), “Credit Growth and Bank Capital Requirements: Binding or Not?”, Banque de France, No. 481.
• Love, Inessa; Zicchino, Lea (2006), “Financial development and dynamic investment behavior: Evidence from panel VAR”, The Quarterly Review of Economics and Finance, Vol. 46 No. 2: 190-210.
• Maurin, Laurent; Toivanen, Mervi (2012), “Risk, capital buffer and bank lending: a granular approach to the adjustment of euro area banks”, European Central Bank, No. 1499.
• Miller, M., & Modigliani, F. (1958), “The Cost of capital, corporate finance and the theory of investment”, American Economic Review, Vol. 48 No. 3: 261-297.
• Mora, Nada; Logan, Andrew (2012), “Shocks to bank capital: evidence from UK banks at home and away”, Applied Economics, Vol. 44 No. 9: 1103-1119.
• Nier, Erlend; Zicchino, Lea (2005), “Bank weakness and bank loan supply”, Bank of England Financial Stability Review, 85-93.
• Osborne, Matthew; Fuertes, Ana-Maria; Milne, Alistair (2017), “In good times and in bad: Bank capital ratios and lending rates”, International Review of Financial Analysis, Vol. 51, 102-112.
• Peek, Joe; Rosengren, Eric (1995), “The capital crunch: Neither a borrower nor a lender be”, Journal of Money, Credit and Banking, Vol. 27 No. 3: 625-638.
• Pesaran, M. Hashem (2007), “A simple panel unit root test in the presence of cross‐section dependence”, Journal of Applied Econometrics, Vol. 22 No. 2: 265-312.
• Pesaran, M. Hashem (2004), “General Diagnostic Tests for Cross Section Dependence in Pa-nels”, CESifo Working Paper, No. 1229, Institute for the Study of Labor (IZA) Discussion Paper, No. 1240.
• Pesaran, M. Hashem (2006), “Estimation and inference in large heterogeneous panel with a multifactor error structure”, Econometrica Vol. 74 No. 4: 967–1012.
• Pesaran, M. Hashem; Ullah, Aman; Yamagata, Takashi A. (2008), “A Bias-adjusted LM Test of Error Cross-Section Independence”, Econometrics Journal, Vol. 11 No. 1: 105-127.
• Smith Vanessa; Leybourne, Stephen; Kim, Tae Hwan; Newbold, Paul (2004), “More powerful Panel Data Unit Root Tests With An Application To Mean Reversion İn Real Exchange Rates”, Journal of Applied Econometrics, Vol. 19 No. 2: 147–170.
• Tabak, Benjamin M.; Noronha, Ana Clara BTF; Cajueiro, Daniel O. (2011), “Bank capital buffers, lending growth and economic cycle: empirical evidence for Brazil”, In 2nd BIS CCA Conference on “Monetary policy, financial stability and the business cycle”, 12-13 May.
• Van den Heuvel, Skander J. (2002), “The bank capital channel of monetary policy”, The Whar-ton School, University of Pennsylvania, mimeo, 2013-14.
• VanHoose, David (2007), “Theories of bank behavior under capital regulation”, Journal of Ban-king & Finance, Vol. 31 No. 12: 3680-3697.