THE EFFECTS OF MACROECONOMIC INDICATORS ON THE TURKISH BANKING SECTOR PERFORMANCE

Year 2018, Prof. Dr. Harun TERZI Special Issue, 1 - 20, 19.09.2018

Gülay Çizgici Akyüz , Mustafa Emir

https://doi.org/10.18092/ulikidince.344947

Cited By: 1

Abstract

Examining the bank
performances forms an important point of interest in economy and finance. The
main purpose of this study is to investigate the effects of macroeconomic
indicators on the performance of Turkish Banking Sector through causality
analysis and to reveal the relations. In this study, consumer price index,
gross domestic product and interest variables, which are important determinants
of economy, were taken as macroeconomic indicators. The composite CAMELS value
was used as banking sector performance variable. Relationships between
variables were investigated by Vector Autoregressive (VAR) model. Stability of
variables were tested with ADF and PP unit root tests. Analysis of variance
decomposition and impulse response functions were carried out with the
preformed VAR model. The composite CAMELS value was established by using the
data between 2003: Q3-2016: Q2 period on 22 deposit banks operating in Turkey.
According to the findings of the study; Turkish Banking Sector Performance has
a two-way causality relationship with consumer price index and interest rates,
and a one-way causality relationship with gross domestic product.

Keywords

CAMELS, Financial Performance, Banking Sector, Time Series Analysis, VAR Analysis

MAKRO EKONOMİK GÖSTERGELERİN TÜRK BANKACILIK SEKTÖRÜ PERFORMANSI ÜZERİNE ETKİLERİ

Abstract

Bankaların performanslarının
incelenmesi, hem ekonomi hem de finans alanında önemli bir ilgi alanı
oluşturmaktadır. Bu çalışmanın temel amacı; makroekonomik göstergelerin Türk
Bankacılık Sektörü performansı üzerine etkilerini nedensellik analizi ile
araştırıp ilişkilerin ortaya konulmasıdır. Çalışmada ekonominin önemli
belirleyicileri olan tüketici fiyat endeksi, gayri safi yurtiçi hasıla ve faiz
değişkenleri makroekonomik göstergeler olarak alınmıştır. Bankacılık sektörü
performans değişkeni olarak bileşik CAMELS değeri kullanılmıştır. Değişkenler arasındaki
ilişkiler Vektör Otoregresif (VAR) modeli ile araştırılmıştır. Değişkenlerin
durağanlıkları ADF ve PP birim kök testleri ile sınanmıştır. Oluşturulan VAR
modeli ile varyans ayrıştırma ve etki-tepki fonksiyonları analizi
gerçekleştirilmiştir. Bileşik CAMELS değeri, Türkiye’de faaliyette
bulunan 22 mevduat bankasına ilişkin 2003:Q3-2016:Q2 dönemi verileri
kullanılarak oluşturulmuştur. Çalışmanın bulgularına
göre; Türk Bankacılık Sektörü performansı ile tüketici fiyat endeksi ve faiz
oranı arasında çift yönlü, gayri safi yurtiçi hasıla ile tek yönlü nedensellik
ilişkisi tespit edilmiştir.

Keywords

CAMELS, Finansal Performans, Bankacılık Sektörü, Zaman Serisi Analizi

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