TY  - JOUR
T1  - Sovereign Risk and Lending Behavior of Banking Industry: Evidence from Turkey’s Credit Market
TT  - Ülke Riski ve Bankaların Borç Verme Davranışları: Türkiye Kredi Piyasasından Kanıtlar
AU  - Altay, Osman
PY  - 2025
DA  - October
Y2  - 2025
DO  - 10.33203/mfy.1653601
JF  - Maliye ve Finans Yazıları
PB  - Maliye ve Finans Yazıları Yayıncılık Ltd. Şti.
WT  - DergiPark
SN  - 1308-6014
SP  - 1
EP  - 20
IS  - 124
LA  - en
AB  - This study examines how sovereign risk influences Turkish commercial banks' lending behavior, focusing on asymmetric effects in commercial loan pricing. Using the Momentum Threshold Autoregressive (MTAR) model, we analyze the relationship between CDS premiums (a sovereign risk proxy) and lending variables. Results reveal strong cointegration between CDS spreads and Turkish Lira commercial loan rates, with asymmetric adjustments - banks rapidly raise rates when sovereign risk increases but show reluctance to reduce them during risk declines. While sovereign risk doesn't significantly affect loan volumes or default rates, it substantially impacts borrowing costs, demonstrating credit market rigidity. These findings highlight the procyclical nature of Turkey's credit market and validate the MTAR model's effectiveness in capturing nonlinear risk dynamics. The study contributes novel evidence that risk transmission mechanisms in emerging markets operate differently than in advanced economies, particularly in how sovereign risk primarily affects loan pricing rather than credit supply.
KW  - Sovereign Risk
KW  - Commercial Loan
KW  - MTAR Model
KW  - Asymmetric Adjustment
N2  - Bu çalışma, ülke riskinin Türkiye’deki ticari bankaların kredi verme davranışı üzerindeki etkisini, özellikle ticari kredi faizlerindeki asimetrik etkiler açısından incelemektedir. Momentum Eşik Otoregresif (MTAR) modeli kullanılarak, CDS primleri ile kredi faiz oranları arasındaki ilişki analiz edilmiştir. Bulgular, CDS spreadleri ile Türk Lirası ticari kredi faizleri arasında güçlü bir eşbütünleşme olduğunu ve bu ilişkinin asimetrik şekilde gerçekleştiğini göstermektedir. Bankalar, ülke riski yükseldiğinde faiz oranlarını hızlıca artırmakta, ancak risk azaldığında oranları düşürmede isteksiz davranmaktadır. Ülke riski, kredi hacmi veya temerrüt oranları üzerinde anlamlı bir etki yaratmazken, borçlanma maliyetleri üzerinde belirgin bir etkiye sahiptir. Bu sonuçlar, Türkiye’de kredi piyasasının çevrimsel (procyclical) doğasını ortaya koymakta ve gelişmekte olan ülkelerde risk aktarım mekanizmalarının gelişmiş ekonomilerden farklı işlediğine dair yeni kanıtlar sunmaktadır.
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UR  - https://doi.org/10.33203/mfy.1653601
L1  - https://dergipark.org.tr/tr/download/article-file/4671668
ER  -