Finansal İstikrarsızlığın Kamu Bankalarının İstikrarına Etkisi: Bir PMG/ARDL Panel Yaklaşımı

Year 2024, Volume: 32 Issue: 59, 297 - 324, 31.01.2024

Mehmet Fatih Aslantaş , Tuncer Yılmaz , Mehmet Fatih Çapanoğlu

https://doi.org/10.17233/sosyoekonomi.2024.01.13

Abstract

Bu makalede, Türkiye ekonomisine özgü bazı makro finansal istikrarsızlık değişkenlerinin kamu sermayeli bankaların finansal istikrar performansı üzerindeki etkisinin incelenmesi amaçlanmıştır. Çalışmada, 2017-2022 dönemi boyunca çeyreklik veriler kullanılmıştır. Çalışmanın eşbütünleşme, uzun ve kısa dönem ampirik amaçlarına ulaşmak için ekonometrik model olarak panel PMG/ARDL tekniği kullanılmıştır. Gelişmekte olan bir ekonomide yapılan bu çalışmanın bulgularında, modelde yer alan finansal istikrarsızlık göstergeleri ile bankaların finansal istikrarları arasında önemli düzeyde bir eşbütünleşmenin varlığına rastlanılmıştır. PMG etki analizlerinde ise, yurtiçi toplam kredi hacmi, kredi risk primi ile takipteki kredilerin oranı göstergelerinin uzun dönemde bankaların istikrarını azalttığı, kısa dönemde ise bankaların bu durumu pozitife dönüştürerek başarılı bir şekilde yönetebildikleri görülmüştür. Son olarak, istikrarsızlığa neden olan göstergelerin hem reel sektör hem de finansal hizmetler sektörü için ekonomik sistemde önemli bir işlev gören bankaların finansal istikrarı üzerinde uzun dönemde negatif bir etkiye ve eşbütünleşik bir ilişki içinde olduğuna dair kanıtlar istatistiksel olarak anlamlı bulunmuştur. Bu bağlamda, bankacılık sektörünün istikrarına yönelik elde edilen kanıtlar, bankacılık sektörüne yönelik politika yapıcılar, akademik çevre, düzenleyiciler ve yatırımcılar içinde çeşitli çıkarımlar sunmaktadır.

Keywords

Finansal İstikrarsızlık, Kamu Bankaları, Finansal İstikrar, PMG/ARDL

The Effect of Financial Instability on the Stability of Public Banks: A PMG/ARDL Panel Approach

Abstract

This paper aims to analyse the impact of some macro-financial instability variables specific to the Turkish economy on the financial stability performance of state-owned banks. The study utilises quarterly data for the period 2017-2022. The panel, PMG/ARDL technique, is used as the econometric model to achieve the study’s cointegration of long-run and short-run empirical objectives. The findings of this study conducted in an emerging economy indicate a significant cointegration between the financial instability indicators in the model and the financial stability of banks. In the PMG impact analysis, it is observed that the indicators of total domestic loan volume, credit risk premium and non-performing loan ratio reduce the stability of banks in the long run, while banks can successfully manage this situation by turning it into a positive in the short run. Finally, there is statistically significant evidence that the indicators that cause instability have a negative impact and a cointegrated relationship in the long run on the financial stability of banks, which play an important function in the economic system for both the real and financial services sectors. In this context, the evidence of the banking sector’s stability has implications for policymakers, academia, regulators and investors in the banking sector.

Keywords

Financial Instability, Public Banks, Financial Stability, PMG/ARDL

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