Research Article
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The Effects of Risk Perception on Banking Sector in Turkey: An Assessment with Banking System Soundness Index

Year 2016, Volume: 23 Issue: 2, 545 - 563, 25.08.2016
https://doi.org/10.18657/yecbu.20029

Abstract

In this study, covering the period of January 2004-June 2015 for Turkish economy, the effects of risk perception towards to Turkey on banking soundness index (BSI), which is constituted with Principal Component Analysis (PCA) method are investigated by using Vector Autoregression (VAR) model. According to the findings of impulse-response analyses, when is given one standard deviation positive shock to global risk appetite, sovereign risk premium, global risk premium and Turkish lira reference interest rate, BSI responses by declining. Furthermore, BSI responses to one standard deviation positive shock in stock market performance index by increasing. Variance decomposition of BSI shows that changes in banking sector soundness are substantially explained
by sovereign risk premium except itself. Our findings put forward that increase in risk perception related with external dominance affects the balance sheet structure of banking system in a negative way. Moreover, findings indicate that increase in financial asset prices expands the balance sheet of banking system. 

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Risk Algısının Türkiye’de Bankacılık Sektörüne Etkileri: Bankacılık Sağlamlık Endeksi İle Bir Değerlendirme(The Effects of Risk Perception on Banking Sector in Turkey: An Assessment with Banking System Soundness Index)

Year 2016, Volume: 23 Issue: 2, 545 - 563, 25.08.2016
https://doi.org/10.18657/yecbu.20029

Abstract

Türkiye ekonomisi için 2004M1-2015M6 dönemini kapsayan bu çalışmada, Türkiye’ye yönelik risk algısının Temel Bileşenler Analizi (Principal Component Analysis; PCA) yöntemi ile oluşturulan bankacılık sağlamlık endeksi (BSI) üzerindeki etkileri Vector Autoregression (VAR) modeli kullanılarak incelenmektedir. Etki-tepki fonksiyonlarının bulgularına göre küresel risk iştahına, ülke risk primine, küresel risk primine ve Türk lirası referans faiz oranına verilen bir standart sapma pozitif şoka BSI düşerek tepki vermektedir. Ayrıca, BSI borsa performans endeksindeki bir standart sapma pozitif şoka yükselerek tepki vermektedir. BSI’nın varyans ayrıştırması, bankacılık sektörünün sağlamlığındaki değişimlerin, kendisi dışında, büyük ölçüde ülke risk primi tarafından açıklandığını göstermektedir. Bulgularımız, dışsal baskınlık problemiyle ilişkili olan risk algısındaki artışın bankacılık sisteminin bilanço yapısını olumsuz yönde etkilediğini ortaya koymaktadır. Bununla birlikte bulgular, finansal varlık fiyatlarındaki artışın bankacılık sisteminin bilançosunu genişlettiğine işaret etmektedir. 

References

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  • Fraga, A., Goldfajn, I., Minella, A. (2003). Inflation Targeting in Emerging Market Economies, NBER Working Paper Series, 10019, 1-50.
  • Gai, P., Vause, N. (2006). Measuring Investors' Risk Appetite, International Journal of Central Banking, 2(1).
  • Ganioğlu, A. (2012). Finansal Krizlerin Belirleyicileri Olarak Hızlı Kredi Genişlemeleri ve Cari İşlemler Açığı, CBRT Working Paper, 12(31), 1-32.
  • Garcia-Herrero, A., Ortiz, S.A. (2007). The Role of Global Risk Aversion in Explaining Latin American Sovereign Spreads, Economia, 7(1), 125-155.
  • Gatumel, M., Ielpo, F. (2015). Measuring Risk Appetite from Financial Assets' Excess Returns, Available at SSRN 2334180,
  • Gelos, R.G., Sahay, R., Sandleris, G. (2011). Sovereign Borrowing by Developing Countries: What Determines Market Access?, Journal of International Economics, 83(2), 243-254.
  • Gertler, M., Gilchrist, S., Natalucci, F.M. (2007). External Constraints on Monetary Policy and the Financial Accelerator, Journal of Money, Credit and Banking, 39(2‐3), 295-330.
  • Gertler, M., Kiyotaki, N., Queralto, A. (2012). Financial Crises, Bank Risk Exposure and Government Financial Policy, Journal of Monetary Economics, 59,17-34.
  • González‐Rozada, M., Levy-Yayati, E. (2008). Global Factors and Emerging Market Spreads, The Economic Journal, 118(533), 1917-1936.
  • Gurkaynak, R.S., Kantur, Z., Taş, M.A., Yıldırım, S. (2015). Monetary Policy in Turkey After Central Bank Independence, CFS Working Paper Series, 520, 1-33.
  • Hair, J.F., Black, W.C., Babin, B.J., Anderson, R.E., Tatham, R.L. (2006).
  • Multivariate Data Analysis (Vol. 6), Upper Saddle River, NJ: Pearson Prentice Hall.
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  • Izquirdo, A., Romero, R., Talvi, E. (2008). Boom and Business Cycles in Latin America: The Role of External Factors. Working Paper Inter-American Development Bank, Research Department, 631, 1-31.
  • Jones, C.M., Kaul, G. (1996). Oil and The Stock Markets, The Journal of Finance, 51(2), 463-491.
  • Kalafatcilar, K., Keles, G. (2011). Risk İştahı Endeksleri ve İfade Ettikleri, TCMB Ekonomi Notları, (12), 1-10.
  • Kanlı, I.B. (2012). Which Money Market Instrument is Better at Representing Market Expectations on Short-Term Rates, CBRT Research Notes in Economics, 32. 1-11.
  • Kara, A.H. (2012). Monetary Policy in the Post-Crises Period, İktisat İşletme ve Finans, 27(315), 9-36.
  • Kılınç, M., Tunç, C. (2014). Identification of Monetary Policy Shocks in Turkey: A Structural VAR Approach. CBRT Working Paper, 14(23), 1-30.
  • Kilian, L., Park, C. (2009). The Impact of Oil Price Shocks on The US Stock Market, International Economic Review, 50(4), 1267-1287.
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There are 79 citations in total.

Details

Primary Language Turkish
Journal Section Articles
Authors

Nimet Varlık

Serdar Varlık

Publication Date August 25, 2016
Published in Issue Year 2016 Volume: 23 Issue: 2

Cite

APA Varlık, N., & Varlık, S. (2016). Risk Algısının Türkiye’de Bankacılık Sektörüne Etkileri: Bankacılık Sağlamlık Endeksi İle Bir Değerlendirme(The Effects of Risk Perception on Banking Sector in Turkey: An Assessment with Banking System Soundness Index). Yönetim Ve Ekonomi Dergisi, 23(2), 545-563. https://doi.org/10.18657/yecbu.20029