Ülke Risk Primi, Krediler ve Makro İktisadi Değişkenler Arasındaki İlişkinin İncelenmesi: Türkiye Örneği

Year 2024, , 365 - 386, 28.04.2024

İlknur Ekinci , Aykut Ekinci , Murat Can Genç

https://doi.org/10.17233/sosyoekonomi.2024.02.17

Abstract

Bu çalışma, Türkiye ekonomisinde ülke risk primi, krediler ve makroekonomik değişkenler arasındaki kısa dönemli dinamik ilişkiyi Ocak 2011-Kasım 2021 dönemi için VARX modeli çerçevesinde incelemektedir. Çalışma literatürde banka kredi kanalı ile CDS primi arasındaki ilişkiyi Türkiye özelinde inceleyen az sayıdaki çalışmadan biridir. Ayrıca, reel kredi hacminin Türk Parası ve Yabancı Para ayrımında incelenmesinin ampirik sonuçları etkilediği sonucuna varılmıştır. Faiz değişkeni olarak, TCMB politika faizinin yanı sıra bankalar kaynak maliyetini de yansıtan 1 ve 12 aylık mevduat faizi değişkenleri kullanılarak vade riskindeki değişmenin etkisi de modele dahil edilmiştir. Çalışmadan elde edilen temel bulgular şöyledir: (i) Enflasyon, kur (TL’deki değer kaybı) ve faizdeki şoka karşı, ülke risk primi ilk ay için pozitif ve anlamlı tepki vermektedir. (ii) Ülke risk primindeki şok, enflasyon, kur ve faiz üzerinde iki ay boyunca pozitif ve anlamlı bir etkiye sahiptir. (iii) Ülke risk primindeki şok, bankacılık sektörü Türk lirası reel kredilerde ikinci ve üçüncü ayda anlamlı ve tüm dönem için negatif etkiye sahiptir.

Keywords

CDS, Ülke Risk Primi, Krediler, Bankacılık

The Relationship Between Country Risk Premium, Loans and Macroeconomic Variables: Case of Türkiye

Abstract

This study examines the short-term dynamic relationship between country risk premium, loans and macroeconomic variables in the Turkish economy for January 2011 - November 2021 within the framework of the VARX model. The study is one of the few studies in the literature that examines the relationship between the bank loan channel and the CDS premium for Türkiye. Moreover, it is concluded that analysing the real loan volume in terms of Turkish currency and foreign currency affects the empirical results. In addition to the CBRT policy rate, 1-month and 12-month deposit rate variables, which reflect the cost of funds of banks, are used as interest rate variables and the effect of the change in maturity risk is also included in the model. Main findings of the study: (i) Country risk premium reacts positively and significantly for the first month against inflation, exchange rate (depreciation in TL) and interest rate shock. (ii) The shock in the country's risk premium positively and significantly affects inflation, exchange rate, and interest rates during the first two months. (iii) The shock in the country risk premium has a negative effect on Turkish lira real loans for the whole response period, and the response is significant and negative in the second and third months.

Keywords

CDS, Country Risk Premium, Loans, Banking

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