THE IMPACT OF COUNTERCYCLICAL CAPITAL BUFFER POLICY ON CREDIT GROWTH IN TURKEY

Year 2017, Volume: 6 Issue: 4, 29 - 43, 20.12.2017

Muharrem Afşar , Emrah Doğan

Abstract

The global financial crisis showed
that there was a need for a set of macroprudential tools that could be used to
reduce the systemic risk. This paper empirical analyzed the impact of
countercyclical capital buffer implementation on the credit growth of bank in
the context of the “countercyclical capital buffer”,
a macroprudential tool proposed in the new regulatory framework of Basel III by
the Basel Committee on Banking Supervision for Turkey during the 2006q1-2016q3
period. We employ empirical analysis by applying statistical (HP filter)  empirical analysis by applying statistical
(HP filter) and econometric (ARDL)) approaches. An empirical analysis shows
that countercyclical buffers is a suitable macroprudential tool for Turkey and
will serve as one of the main instruments to reduce systemic risk.

Keywords

Credit Growth, Macroprudential Policy, Countercyclical Capital Buffer, Basel III

TÜRKİYE’DE DÖNGÜSEL SERMAYE TAMPONUNUN KREDİ BÜYÜMESİ ÜZERİNE ETKİLERİ

Abstract

Küresel finansal kriz, sistemik
riski azaltmak için kullanılabilecek makro ihtiyati politika araçlarına ihtiyaç
olduğunu göstermiştir. Bu çalışma, Türkiye için 2006:01-2016:03 dönemine ait üç
aylık verileri ile Basel Bankacılık Denetim Komitesi tarafından Basel III
çerçevesinde önerilen makro riskleri azaltacak bir araç olan
"döngüsel(konjonktür karşıtı) sermaye tamponu"’nun özel sektör kredi büyümesi
üzerinde etkilerini incelemektedir. Döngüsel sermaye
tamponunun krediler üzerine etkilerini incelemek için; istatistiksel (HP
filtresi) ve ekonometrik yaklaşım (ARDL )  uygulayarak analiz edilmektedir. Elde edilen
tahmin sonuçları, döngüsel tamponların Türkiye için makro riskleri azaltıcı uygun
bir araç olduğunu ve sistemik riski azaltmak için kullanılabileceğini
göstermektedir.

Keywords

: Kredi Büyümesi, Makro İstikrarsızlık Politikası, Döngüsel Sermaye Tamponu, Basel III

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