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Bankalar Krize Asimetrik Tepki mi Veriyor? Türkiye’den Kanıt

Yıl 2015, Cilt: 9 Sayı: 2, 9 - 44, 01.12.2015

Öz

Bu çalışmada, banka düzeyinde veri ve panel tahmin teknikleri kullanılarak Türk bankalarının 2002Ç42013Ç3 döneminde küresel krize mülkiyete bağlı olarak asimetrik tepki verip vermediği sınanmaktadır. Bağımlı değişkenler; sermaye yeterliliği, aktif kalitesi, likidite, kârlılık, bilanço ve gelir-gider yapısına ilişkin finansal oranlardan oluşmaktadır. Ana belirleyicileri ise vadesi geçmiş krediler, faaliyet giderleri, döviz açık pozisyonu ve banka büyüklüğü gibi bankaya özgü kontrol değişkenleri ile bankaların borsada işlem görmesi ve banka yaşına ilişkin kukla değişkenler oluşturmaktadır. Makroekonomik koşulların ve para politikasının banka yapısı üzerindeki etkisini yansıtan GSYİH büyümesi, enflasyon, döviz kuru, politika faizi ve zorunlu karşılıklar diğer belirleyiciler arasında yer almaktadır. Tahmin sonuçları, Türk bankalarının küresel krize mülkiyetlerine bağlı olarak asimetrik tepki verdiğini göstermektedir. Bu sonuç, küresel kriz öncesi ve sonrasında makroekonomik koşullar ve politikayla ilgili açıklayıcı değişkenlerin bankalar üzerinde eşit olmayan etkiler göstermesine neden olan yapısal, kurumsal ve tarihsel etkenlerle açıklanabilir. Bunun yanı sıra, bankaya özgü belirleyicilerin etkilerinin kriz öncesi ve sonrası dönemde farklı mülkiyet kategorileri arasında aynı orantıda olmadığı gözlemlenmektedir. Bu bulgular, Türk bankacılık sektörünün asimetrik tepkisini tespit edebilmek için mülkiyet ayrımında incelenmesinin önemini ve küresel krizin etkisini yakalayabilmek için analizin alt dönemler itibarıyla yapılması gerektiğini vurgulamaktadır

Kaynakça

  • Ahn, S.C., Y.H. Lee and P. Schmidt, 2001, GMM estimation of linear panel data models with time-varying individual effects, Journal of Econometrics, 101(2): 219-255.
  • Akçay, O.C., 2003, The Turkish Banking Sector Two Years After the Crisis: A Snapshot of the Sector and Current Risks, Turkish Studies, 4(2): 169-187.
  • Akçelik, Y., E. Ermişoğlu, A. Oduncu and T. Taşkın, 2012, Ek Parasal Sıkılaştırmanın Döviz Kurları Üzerindeki Etkisi (in Turkish), CBT Research Notes in Economics No. 12/30.
  • Alp, H. and S. Elekdağ, 2011, The Role of Monetary Policy in Turkey during the Global Financial Crisis, IMF Working Paper No. 11/150.
  • Alper, C.E. and Z. Öniş, 2004, The Turkish Banking System and the IMF in the Age of Capital Account Liberalization, New Perspectives on Turkey, 30(1): 25-55.
  • Alper, C.E., M.H. Berument and N.K. Malatyalı, 2001a, The Impact of the Disin- flation Program on the Structure of the Turkish Banking Sector, Russian and East European Finance and Trade, 37(6): 76-89.
  • 2001b, The Disinflation Program and the Structure of the Turkish Bank- ing Sector, Boğaziçi Journal, 15(2): 25-33.
  • Alper, K., H. Kara and M. Yörükoğlu, 2013, Reserve Options Mechanism, Cen- tral Bank Review, 13(1): 1-14.
  • Angıner D., A. Demirgüç-Kunt and M. Zhu, 2012, How does bank competition affect systemic stability?, The World Bank Policy Research Working Paper Series No. 5981.
  • Aras, O.N., 2010, Effects of the Global Economic Crisis on Turkish Banking Sec- tor, International Journal of Economics and Finance Studies, 2(1): 113-120.
  • Ashamu, S.O. and J. Abiola, 2012, The Impact of Global Financial Crisis on Bank- ing Sector in Nigeria, British Journal of Arts and Social Sciences, 4(2): 251-257.
  • Athanasoglou, P., S. Brissimis and M. Delis, 2008, Bank-specific, industry-specific and macroeconomic determinants of bank profitability, Journal of International Financial Markets, Institutions and Money, 18(2): 121-136.
  • Balestra, P. and M. Nerlove, 1966, Pooling cross-section and time-series data in the estimation of a dynamic model: The demand for natural gas, Econometrica, 34(3): 585- 612.
  • Başçı, E. and H. Kara, 2011, Finansal istikrar ve para politikası (in Turkish), İktisat İşletme ve Finans, 26(302): 9-25.
  • Beltratti, A. and R.M. Stulz, 2012, The credit crisis around the globe: Why did some banks perform better?, Journal of Financial Economics, 105(1): 1-17.
  • Berger, A.N. and C.H.S. Bouwman, 2013, How does capital affect bank perfor- mance during financial crises, Journal of Financial Economics, 109(1): 146-176.
  • Bernanke, B.S. and A.S. Blinder, 1988, Credit, Money, and Aggregate Demand, NBER Working Paper No. 2534.
  • Bernanke, B.S. and M. Gertler, 1989, Agency Costs, Net Worth, and Business Fluctuations, American Economic Review, 79(1): 14-31.
  • Bernanke, B.S., M. Gertler and S. Gilchrist, 1998, The Financial Accelerator in a Quantitative Business Cycle Framework, NBER Working Paper No. 6455.
  • Bikker, J. and H. Hu, 2002, Cyclical patterns in profits, provisioning and lending of banks and procyclicality of the new Basel capital requirements, Banca Nazion- ale del Lavoro Quarterly Review, 55(221): 143-175.
  • Bonin, J.P., I. Hasan and P. Wachtel, 2005a, Bank performance, efficiency and ownership in transition countries, Journal of Banking & Finance, 29(1): 31-53.
  • 2005b, Privatization matters: Bank efficiency in transition countries, Journal of Banking & Finance, 29(8-9): 2155-2178.
  • BRSA, 2010, Krizden İstikrara Türkiye Tecrübesi (in Turkish), BRSA Working Pa- per, 3rd edition.
  • CBRT, 2012, Press release No. 2012-01 available at http://www.tcmb.gov. tr/wps/wcm/connect/dde66804-ba4e-4c25-b457-e5e78138c76a/01.pdf?M OD=AJPERES&CACHEID=ROOTWORKSPACEdde66804-ba4e-4c25-b457-e5e- 78138c76a
  • 2014, Press release No. 2014-07 available at http://www.tcmb.gov. tr/wps/wcm/connect/TCMB+EN/TCMB+EN/Main+Menu/Announcements/ Press+Releases/2014/2014-07
  • Čihák, M., A. Demirgüç-Kunt, M.S.M. Peria and A. Mohseni-Cheraghlou, 2012, Bank regulation and supervision around the world: a crisis update, Policy Re- search Working Paper No. 6286.
  • Chamberlain, S., J.S. Howe and H. Popper, 1997, The Exchange Rate Exposure of U.S. and Japanese Banking Institutions, Journal of Banking & Finance, 21(6): 871-892.
  • Choi, J.J., E. Elyasiani and K. Kopecky, 1992, The sensitivity of bank stock returns to market, interest rate and exchange rate risks, Journal of Banking & Finance, 16(5): 983-1004.
  • Claessens, S., A. Demirgüç-Kunt and H. Huizinga, 2001, How does foreign entry affect domestic banking markets?, Journal of Banking & Finance, 25(5): 891- 911.
  • Dages, B.G., G. Linda and D. Kinney, 2000, Foreign and domestic bank participa- tion in emerging markets: Lessons from Mexico and Argentina, Economic Policy Review, 6(3):17-36.
  • De Haas, R. and I. van Lelyveld, 2006, Foreign banks and credit stability in Cen- tral and Eastern Europe. A panel data analysis, Journal of Banking & Finance, 30(7): 1927-1952.
  • Demirgüç-Kunt, A. and H. Huizinga, 1999, Determinants of Commercial Bank Interest Margins and Profitability: Some International Evidence, World Bank Eco- nomic Review, 13(2): 379-408.
  • Demirgüç-Kunt, A. and E. Detragiache, 1998, Financial Liberalization and Finan- cial Fragility, IMF Working Paper No. 98/83.
  • Demirgüç-Kunt, A., E. Detragiache and O. Merrouche, 2013, Bank Capital: Les- sons from the Financial Crisis, Journal of Money, Credit and Banking, 45(6): 1147-1164.
  • Dietrich, A. and G. Wanzenried, 2011, Determinants of bank profitability before and during the crisis: Evidence from Switzerland, Journal of International Finan- cial Markets, Institutions & Money, 21(3): 307-327.
  • Erdem, Ş., 2010, Turkish banking system in the face of the global crisis, Inter- national Journal of Islamic and Middle Eastern Finance and Management, 3(4): 351-362.
  • Fries, S. and A. Taci, 2005, Cost efficiency of banks in transition: Evidence from 289 banks in 15 post-communist countries, Journal of Banking & Finance, 29(1): 55-81.
  • Ganić, M., 2012, The Impact of the Global Financial Crisis on the Banking Sector of Western Balkans: Cross-Country Comparison Analysis, Journal of Economic and Social Studies, 2(2): 177-196.
  • Ganioğlu, A. and V. Us, 2014, The Structure of the Turkish Banking Sector Be- fore and After the Global Crisis, CBRT Working Paper No. 14/29.
  • Ganley, J., 2002, Surplus Liquidity: Implications for Central Banks, Bank of Eng- land, Centre for Central Banking Studies Lecture Series No. 3.
  • Gilbert, R.A. and R.H. Rasche, 1980, Federal Reserve Bank Membership: Effects on Bank Profits, Journal of Money, Credit and Banking, 12(3): 448-461.
  • Gray, S., 2006, Central bank management of surplus liquidity, Bank of England, Centre for Central Banking Studies Lecture Series No. 6.
  • Grigorian, D.A. and V. Manole, 2006, Determinants of Commercial Bank Perfor- mance in Transition: An Application of Data Envelopment Analysis, Comparative Economic Studies, 48(3): 497-522.
  • Gürsoy, G. and K. Aydoğan, 2002, Equity ownership structure, risk taking, and performance, Emerging Markets Finance and Trade, 6(38): 6-25.
  • Hanson, J. and R. Rocha, 1986. High Interest Rates, Spreads and the Cost of In- termediation: Two Studies, The World Bank Industry and Finance Series No. 18.
  • Hasan, I. and K. Marton, 2003, Development and efficiency of the banking sector in a transitional economy: Hungarian experience, Journal of Banking & Finance, 27(12): 2249-2271.
  • Hausman, J.A., 1978, Specification Tests in Econometrics, Econometrica, 46(6): 1251-1271.
  • Hsiao, C., 2003, Analysis of Panel Data, Cambridge University Press, New York, NY, USA.
  • http://evds.tcmb.gov.tr/.
  • http://www.tbb.org.tr.
  • Iannotta, G., G. Nocera and A. Sironi, 2007, Ownership structure, risk and performance in the European banking industry, Journal of Banking & Finance, 31(7): 2127-2149.
  • Jemric, I. and B. Vujcic, 2002, Efficiency of Banks in Croatia: A Dea Approach, Comparative Economic Studies, 44(2-3): 169-193.
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Do Banks Respond Asymmetrically to the Global Crisis? Evidence From Turkey

Yıl 2015, Cilt: 9 Sayı: 2, 9 - 44, 01.12.2015

Öz

This paper tests whether Turkish banks respond asymmetrically to the global crisis with respect to their ownership using bank-level data during 2002Q4-2013Q3 period and employing panel estimation techniques. The dependent variables are selected financial ratios on capital adequacy, asset quality, liquidity, profitability, balance sheet and income-expenditure structure. Main determinants are bank-specific control variables on overdue loans, overhead costs, FX open position and bank size as well as dummy variables for bank listing and bank age. Other determinants include GDP growth, inflation, exchange rate, policy rate and required reserves, which reflect the impact of macroeconomic conditions and the monetary policy on bank structure. Estimation results suggest that Turkish banks respond asymmetrically to the global crisis with respect to their ownership. This result can be attributed to structural, institutional and historical factors, which cause macroeconomic and policy-related explanatory variables to have uneven effects on banks before and after the global crisis. Meanwhile, the impacts of bank-specific determinants are also observed to be disproportionate across different ownership categories between the pre-crisis and the post-crisis periods. These findings highlight the importance of analyzing the Turkish banking sector by an ownership breakdown in order to detect the asymmetric response and the paper also emphasizes the need to perform the analysis by sub-periods to be able to capture the effect of the global crisis

Kaynakça

  • Ahn, S.C., Y.H. Lee and P. Schmidt, 2001, GMM estimation of linear panel data models with time-varying individual effects, Journal of Econometrics, 101(2): 219-255.
  • Akçay, O.C., 2003, The Turkish Banking Sector Two Years After the Crisis: A Snapshot of the Sector and Current Risks, Turkish Studies, 4(2): 169-187.
  • Akçelik, Y., E. Ermişoğlu, A. Oduncu and T. Taşkın, 2012, Ek Parasal Sıkılaştırmanın Döviz Kurları Üzerindeki Etkisi (in Turkish), CBT Research Notes in Economics No. 12/30.
  • Alp, H. and S. Elekdağ, 2011, The Role of Monetary Policy in Turkey during the Global Financial Crisis, IMF Working Paper No. 11/150.
  • Alper, C.E. and Z. Öniş, 2004, The Turkish Banking System and the IMF in the Age of Capital Account Liberalization, New Perspectives on Turkey, 30(1): 25-55.
  • Alper, C.E., M.H. Berument and N.K. Malatyalı, 2001a, The Impact of the Disin- flation Program on the Structure of the Turkish Banking Sector, Russian and East European Finance and Trade, 37(6): 76-89.
  • 2001b, The Disinflation Program and the Structure of the Turkish Bank- ing Sector, Boğaziçi Journal, 15(2): 25-33.
  • Alper, K., H. Kara and M. Yörükoğlu, 2013, Reserve Options Mechanism, Cen- tral Bank Review, 13(1): 1-14.
  • Angıner D., A. Demirgüç-Kunt and M. Zhu, 2012, How does bank competition affect systemic stability?, The World Bank Policy Research Working Paper Series No. 5981.
  • Aras, O.N., 2010, Effects of the Global Economic Crisis on Turkish Banking Sec- tor, International Journal of Economics and Finance Studies, 2(1): 113-120.
  • Ashamu, S.O. and J. Abiola, 2012, The Impact of Global Financial Crisis on Bank- ing Sector in Nigeria, British Journal of Arts and Social Sciences, 4(2): 251-257.
  • Athanasoglou, P., S. Brissimis and M. Delis, 2008, Bank-specific, industry-specific and macroeconomic determinants of bank profitability, Journal of International Financial Markets, Institutions and Money, 18(2): 121-136.
  • Balestra, P. and M. Nerlove, 1966, Pooling cross-section and time-series data in the estimation of a dynamic model: The demand for natural gas, Econometrica, 34(3): 585- 612.
  • Başçı, E. and H. Kara, 2011, Finansal istikrar ve para politikası (in Turkish), İktisat İşletme ve Finans, 26(302): 9-25.
  • Beltratti, A. and R.M. Stulz, 2012, The credit crisis around the globe: Why did some banks perform better?, Journal of Financial Economics, 105(1): 1-17.
  • Berger, A.N. and C.H.S. Bouwman, 2013, How does capital affect bank perfor- mance during financial crises, Journal of Financial Economics, 109(1): 146-176.
  • Bernanke, B.S. and A.S. Blinder, 1988, Credit, Money, and Aggregate Demand, NBER Working Paper No. 2534.
  • Bernanke, B.S. and M. Gertler, 1989, Agency Costs, Net Worth, and Business Fluctuations, American Economic Review, 79(1): 14-31.
  • Bernanke, B.S., M. Gertler and S. Gilchrist, 1998, The Financial Accelerator in a Quantitative Business Cycle Framework, NBER Working Paper No. 6455.
  • Bikker, J. and H. Hu, 2002, Cyclical patterns in profits, provisioning and lending of banks and procyclicality of the new Basel capital requirements, Banca Nazion- ale del Lavoro Quarterly Review, 55(221): 143-175.
  • Bonin, J.P., I. Hasan and P. Wachtel, 2005a, Bank performance, efficiency and ownership in transition countries, Journal of Banking & Finance, 29(1): 31-53.
  • 2005b, Privatization matters: Bank efficiency in transition countries, Journal of Banking & Finance, 29(8-9): 2155-2178.
  • BRSA, 2010, Krizden İstikrara Türkiye Tecrübesi (in Turkish), BRSA Working Pa- per, 3rd edition.
  • CBRT, 2012, Press release No. 2012-01 available at http://www.tcmb.gov. tr/wps/wcm/connect/dde66804-ba4e-4c25-b457-e5e78138c76a/01.pdf?M OD=AJPERES&CACHEID=ROOTWORKSPACEdde66804-ba4e-4c25-b457-e5e- 78138c76a
  • 2014, Press release No. 2014-07 available at http://www.tcmb.gov. tr/wps/wcm/connect/TCMB+EN/TCMB+EN/Main+Menu/Announcements/ Press+Releases/2014/2014-07
  • Čihák, M., A. Demirgüç-Kunt, M.S.M. Peria and A. Mohseni-Cheraghlou, 2012, Bank regulation and supervision around the world: a crisis update, Policy Re- search Working Paper No. 6286.
  • Chamberlain, S., J.S. Howe and H. Popper, 1997, The Exchange Rate Exposure of U.S. and Japanese Banking Institutions, Journal of Banking & Finance, 21(6): 871-892.
  • Choi, J.J., E. Elyasiani and K. Kopecky, 1992, The sensitivity of bank stock returns to market, interest rate and exchange rate risks, Journal of Banking & Finance, 16(5): 983-1004.
  • Claessens, S., A. Demirgüç-Kunt and H. Huizinga, 2001, How does foreign entry affect domestic banking markets?, Journal of Banking & Finance, 25(5): 891- 911.
  • Dages, B.G., G. Linda and D. Kinney, 2000, Foreign and domestic bank participa- tion in emerging markets: Lessons from Mexico and Argentina, Economic Policy Review, 6(3):17-36.
  • De Haas, R. and I. van Lelyveld, 2006, Foreign banks and credit stability in Cen- tral and Eastern Europe. A panel data analysis, Journal of Banking & Finance, 30(7): 1927-1952.
  • Demirgüç-Kunt, A. and H. Huizinga, 1999, Determinants of Commercial Bank Interest Margins and Profitability: Some International Evidence, World Bank Eco- nomic Review, 13(2): 379-408.
  • Demirgüç-Kunt, A. and E. Detragiache, 1998, Financial Liberalization and Finan- cial Fragility, IMF Working Paper No. 98/83.
  • Demirgüç-Kunt, A., E. Detragiache and O. Merrouche, 2013, Bank Capital: Les- sons from the Financial Crisis, Journal of Money, Credit and Banking, 45(6): 1147-1164.
  • Dietrich, A. and G. Wanzenried, 2011, Determinants of bank profitability before and during the crisis: Evidence from Switzerland, Journal of International Finan- cial Markets, Institutions & Money, 21(3): 307-327.
  • Erdem, Ş., 2010, Turkish banking system in the face of the global crisis, Inter- national Journal of Islamic and Middle Eastern Finance and Management, 3(4): 351-362.
  • Fries, S. and A. Taci, 2005, Cost efficiency of banks in transition: Evidence from 289 banks in 15 post-communist countries, Journal of Banking & Finance, 29(1): 55-81.
  • Ganić, M., 2012, The Impact of the Global Financial Crisis on the Banking Sector of Western Balkans: Cross-Country Comparison Analysis, Journal of Economic and Social Studies, 2(2): 177-196.
  • Ganioğlu, A. and V. Us, 2014, The Structure of the Turkish Banking Sector Be- fore and After the Global Crisis, CBRT Working Paper No. 14/29.
  • Ganley, J., 2002, Surplus Liquidity: Implications for Central Banks, Bank of Eng- land, Centre for Central Banking Studies Lecture Series No. 3.
  • Gilbert, R.A. and R.H. Rasche, 1980, Federal Reserve Bank Membership: Effects on Bank Profits, Journal of Money, Credit and Banking, 12(3): 448-461.
  • Gray, S., 2006, Central bank management of surplus liquidity, Bank of England, Centre for Central Banking Studies Lecture Series No. 6.
  • Grigorian, D.A. and V. Manole, 2006, Determinants of Commercial Bank Perfor- mance in Transition: An Application of Data Envelopment Analysis, Comparative Economic Studies, 48(3): 497-522.
  • Gürsoy, G. and K. Aydoğan, 2002, Equity ownership structure, risk taking, and performance, Emerging Markets Finance and Trade, 6(38): 6-25.
  • Hanson, J. and R. Rocha, 1986. High Interest Rates, Spreads and the Cost of In- termediation: Two Studies, The World Bank Industry and Finance Series No. 18.
  • Hasan, I. and K. Marton, 2003, Development and efficiency of the banking sector in a transitional economy: Hungarian experience, Journal of Banking & Finance, 27(12): 2249-2271.
  • Hausman, J.A., 1978, Specification Tests in Econometrics, Econometrica, 46(6): 1251-1271.
  • Hsiao, C., 2003, Analysis of Panel Data, Cambridge University Press, New York, NY, USA.
  • http://evds.tcmb.gov.tr/.
  • http://www.tbb.org.tr.
  • Iannotta, G., G. Nocera and A. Sironi, 2007, Ownership structure, risk and performance in the European banking industry, Journal of Banking & Finance, 31(7): 2127-2149.
  • Jemric, I. and B. Vujcic, 2002, Efficiency of Banks in Croatia: A Dea Approach, Comparative Economic Studies, 44(2-3): 169-193.
  • Kansoy, F., 2012, The Determinants of Net Interest Margin in the Turkish Bank- ing Sector: Does Bank Ownership Matter?, Journal of BRSA Banking and Finan- cial Markets, 6(2): 13-49.
  • Kaplan, C., 2002, Bankacılık Sektörünün Yabancı Para Pozisyon Açığı: Türkiye Örneği (in Turkish), CBRT Working Paper No. 02/01.
  • Kara, H., 2013, Monetary Policy after the Global Crisis, Atlantic Economic Jour- nal, 41(1): 51-73.
  • Kashyap, A.K. and J.C. Stein, 1995, The impact of monetary policy on bank balance sheets, Carnegie-Rochester Conference Series on Public Policy, 42(1): 151-195.
  • King, R.G. and C.I. Plosser, 1984, Money, Credit, and Prices in a Real Business Cycle, American Economic Review, 74(3): 363-380.
  • Kiyotaki, N. and J. Moore, 1997, Credit Cycles, Journal of Political Economy, 105(2): 211-48.
  • Küçüksaraç, D. and Ö. Özel, 2012, Rezerv Opsiyonu Mekanizması ve Optimal Rezerv Opsiyonu Katsayılarının Hesaplanması (in Turkish), CBRT Working Paper No. 12/3.
  • Lensink, R. and I. Naaborg, 2007, Does foreign ownership foster bank perfor- mance?, Applied Financial Economics, 17(11): 881-885.
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  • Us, V., 2015a, Banking Sector Performance in Turkey Before and After the Glob- al Crisis, İktisat İşletme ve Finans, 30(353): 45-74.
  • 2015b, The Turkish Banking Sector Before and After the Global Crisis: An Ownership Breakdown, CBT Research Notes in Economics No. 15/02.
  • 2015c, Analyzing the Banking Sector in Turkey Before and After the Global Crisis by Ownership, TİSK Akademi, 10(20): 390-407.
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Toplam 86 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Bölüm Research Article
Yazarlar

Vuslat Us Bu kişi benim

Yayımlanma Tarihi 1 Aralık 2015
Yayımlandığı Sayı Yıl 2015 Cilt: 9 Sayı: 2

Kaynak Göster

APA Us, V. (2015). Do Banks Respond Asymmetrically to the Global Crisis? Evidence From Turkey. BDDK Bankacılık Ve Finansal Piyasalar Dergisi, 9(2), 9-44.