Analysis of The Factors Affecting The Profitability of Banks In Turkey By Lasso Regression

Yıl 2022, Cilt: 2 Sayı: 1, 46 - 57, 30.06.2022

Gizem Nur Bayrakcı

Öz

In the article examining the factors affecting the profitability indicators of the banking sector, which has a large share in the financial sector in Turkey, the analysis of the factors affecting the return on assets and return on equity ratios of the top 10 deposit banks in 2020, ranked according to their asset size in 2020, was made with the lasso regression method. As a result of the analysis, separate models were established for return on assets and return on equity. Among the independent variables, only the deposit variable was excluded from the model and it was seen that the effect on profitability was not as much as the variables of securities portfolio, equity, NPL ratio, asset share, inflation and gross domestic product.

Anahtar Kelimeler

Profitability in Banking, Return on Assets, Return on Equity, LASSO regression method

Kaynakça

• Akgüç, Ö. 2011. Banka finansal tablolarının analizi [Analysis of bank financial statements]. Arayış Basım ve Yayıncılık. İstanbul.
• Bankacılık Düzenleme ve Denetleme Kurumu (Banking Regulation And Supervison Agency) Retrieved from https://www.bddk.org.tr/
• Çıtak, L., Erdoğan, S. ve Özmerdivanlı, A. 2011. Türk Mevduat bankalarında faiz ve faiz dışı gelirler ve giderlerin kârlılık üzerindeki etkisi [The effect of interest and non-interest incomes and expenses on profitability in Turkish deposit banks]. 15. Finans Sempozyumu, Malatya.
• Derici Y., Çiftçi D., Türker A. 2021. Etkili değişkenlerin cezalı regresyon yöntemleri ile belirlenmesi: Diyabet veri kümesi üzerine bir uygulama [Determination of effective variables with penalized regression methods: An application on diabetes dataset], Mersin University
• Fonti V, Belitser E. 2017. Feature Selection Using Lasso. Research Paper In Business Analytics.(https://beta.vu.nl/nl/Images/werkstuk-fonti_tcm235-836234.pdf.)
• İbiş, C., Çatıkkaş, Ö. V. Ç., & Çelikdemir, N. 2018. Banka Muhasebesi İlkeler ve Uygulamalar [Bank Accounting Principles and Practices]. İstanbul: Türkiye Bankalar Birliği Yayınları.
• İskenderoğlu, Ö., Karadeniz, E., Atioğlu E. 2012. Türk Bankacılık Sektöründe Büyüme, Büyüklük ve Sermaye Yapısı Kararlarının Karlılığa Etkisinin Analizi [Analysis of the Effects of Growth, Size and Capital Structure Decisions on Profitability in the Turkish Banking Sector], Eskişehir Osmangazi Üniversitesi İ.İ.B.F. Dergisi, Nisan 7(1), 291-311
• Kayanan M, Wijekoon P. 2019. Performance of Lasso And Elastic Net Estimators in Misspecified Lineer Regression Model.Ceylon Journal Of Science.;48(3):293-299.
• Kocakafa T., 2020 Overfitting Retrieved from https://www.veribilimiokulu.com/overfitting/ Erişim tarihi:24.06.2021
• Küçük, A. (2019). Doğrusal regresyonda Ridge, Liu ve LASSO tahmin edicileri üzerine bir çalışma [A study on Ridge, Liu and LASSO estimators in linear regression].
• Sarıtaş, H., Kangallı Uyar, S. G., & Gökçe, A. (2016). Banka karlılığı ile finansal oranlar ve makroekonomik değişkenler arasındaki ilişkilerin sistem dinamik panel veri modeli ile analizi: Türkiye araştırması. [The Analysis of Banks’ Profitability with Financial Ratios and Macroeconomic Variables Based on System Dynamic Panel Data Model: Research on Turkey]. Eskişehir Osmangazi Üniversitesi İİBF Dergisi, Nisan 2016, 11(1), 87- 108
• Soundness during the Indonesian Banking Crisis. Review of Quantitative Finance and Accounting, 19: 247–260.
• Şıklar, İ. 2004. Finansal Ekonomi [Financial Economics], Eskişehir, Anadolu Üniversitesi Açıköğretim Fakültesi Yayını.
• Takan, M. 2001. Bankacılık teori uygulama ve yönetim [Banking theory application and management]. Adana: Nobel Yayın
• TCMB Elektronik Veri Dağıtım Sistemi Retrieved from http://evds.tcmb.gov.tr/
• Tibshirani, R. 1996. Regression shrinkage and selection via the lasso. Journal of the Royal Statistical Society: Series B (Methodological), 58(1), 267-288.
• Trading Economics Retrieved from https://tradingeconomics.com/turkey/gdp-growth Erişim tarihi:2.06.2021
• Tunay, B. 2005. Finansal sistem: yapısı, işleyişi, yönetimi ve ekonomisi [Financial system: structure, functioning, management and economy]. İstanbul : Birsen Yayınevi.
• Türkiye Bankalar Birliği (The Banks Association of Turkey) Retrieved from http://www.tbb.org.tr
• Verbeek, M. 2004, A guide to modern econometrics (2. Baskı). England: John Wiley & Sons, Ltd.
• Yazıcı, Mehmet. 2017. Bankacılığa Giriş [Introduction to Banking]
• Zou, H. ve T., Hastie. (2016)."Regularization and Variable Selection via The Elastic Net", Journel o f Royal Statistical Society Series B, 2005/67, (2), ss. 301-320.