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Kredi Portföylerinde Sektörel Yoğunlaşma ve Risk İlişkisi: Türk Ticari Bankacılık Sektörü Üzerine Bir Analiz

Yıl 2015, Cilt: 9 Sayı: 1, 127 - 147, 01.06.2015

Öz

Çalışmada, Türkiye’de faaliyet gösteren ticari bankalarca açılan sektörel kredilerin yoğunlaşması ile kredi riski arasındaki ilişki analiz edilmiştir. 2002:4-2014:2 döneminde üç aylık verilerle yapılan analizlerde, özel, kamu ve yabancı bankalar ayrı gruplar halinde dikkate alınmıştır. Doğrusal panel veri yönteminin kullanıldığı tahminler, sektörel yoğunlaşmanın kredi riskini arttırdığını göstermiştir. Zaman içinde özel ve kamu bankalarında riskli kredilerin toplam kredilere oranı düşmüş, yabancı bankalarda ise artmıştır. Bununla beraber, tüm banka grupları için kredi riskiyle yoğunlaşma arasında pozitif ve güçlü bir ilişki olduğu belirlenmiştir

Kaynakça

  • Acharya, V.V.; Hasan, I. ve Saunders, A. (2002a). The Effects of Focus and Diver- sification on Bank Risk and Return: Evidence from Individual Bank Loan Portfoli- os, CEPR Discussion Papers, No: 3252, March.
  • Acharya, V.V.; Hasan, I. ve Saunders, A. (2002b). Should Banks Be Diversified? Evidence from Individual Bank Loan Portfolios, BIS Working Papers, No: 118, September.
  • Anastasi, A.; Bebczuk, R.; Elosegui, P. ve Sangiacomo, M. (2009). Productive, Geographical and Cliente Diversification of Banks, and Its Effect on Loan Portfo- lio Performance in Argentina, Ensayos Economicos, 56(Oct.-Dec.): 7-39.
  • Baltagi, B.H. (2002). Econometric Analysis of Panel Data, Second Edition, Chic- hester: John Wiley and Sons.
  • Behr, A.; Kamp, A.; Memmel, C. ve Pfingsten, A. (2007). Diversification and the Banks’ Risk-Retun Characteristics – Evidence from Loan Portfolios of German Banks, Deutsche Bundesbank Discussion Paper Series 2, No: 05/2007.
  • Berger, A.N. ve De Young, R. (1997). Problem Loans and Cost Effieicency in Commercial Banks, Journal of Banking and Finance, 21(6): 849-870.
  • Berger, A.N.; Hasan, I. ve Zhou, M. (2010). The Effects of Focus versus Diversifi- cation on Bank Performance: Evidence from Chinese Banks, Journal of Banking and Finance, 34(7): 1417-1435.
  • Chen, Y.; Wei, X.; Zhang, L. ve Shi, Y. (2013). Sectoral Diversification and the Banks’ Return and Risk: Evidence from Chinese Listed Commercial Banks, Proce- dia Computer Science, 18: 1737-1746.
  • Chen, Y.; Wei, X. ve Zhang, L. (2013). A New Measurement of Sectoral Concen- tiration of Credit Portfolios, Procedia Computer Science, 17: 1231-1240.
  • Drukker, D.M. (2003). Testing for Serial Correlation in Linear Panel-Data Models, The Stata Journal, 3(2): 168-177.
  • Gönenç, H. ve Kılıçhan, B. (2004). Kredi Portföyü Çeşitlendirmesinin Banka Per- formansı Üzerindeki Etkileri, TBB Bankacılar Dergisi, Sayı 49: 53-67.
  • Greene, W.H. (2008). Econometric Analysis, 6th. Edition, Upper Saddle River: Prentice Hall.
  • Hayden, E.; Porath, D. ve von Westernhagen, N. (2006). Does Diversification Improve the Performance of German Banks? Evidence from Individual Bank Loan Portfolios, Deutsche Bundesbank Discussion Paper Series 2, No: 05/2006.
  • Kamp, A.; Pfingsten, A. ve Porath, D. (2005). Do Banks Diversify Loan Portfolios? A Tentative Answer Based on Individual Bank Loan Portfolios, Deutsche Bundes- bank Discussion Paper Series 2, No: 03/2005.
  • Mencia, J. (2012). Assesing the Risk-Return Trade-off in Loan Portfolios, Journal of Banking and Finance, 36(6): 1665-1677.
  • Mercieca, S.; Schaeck, K. ve Wolfe, S. (2007). Small European Banks: Benefits from Diversification?, Journal of Banking and Finance, 31(7): 1975-1998.
  • Rossi, S.P.S.; Schwaiger, M.S. ve Winkler, G. (2009). How Loan Portfolio diversi- fication Affects Risk, Efficiency and Capitalization: A Managerial Behavior Model for Austrian Banks, Journal of Banking and Finance, 33(12): 2218-2226.
  • Tabak, M.B.; Fazio, D.M. ve Cajuerio, D.O. (2011). The Effects of Loan Portfolio Concentration on Brazilian Banks’ Return and Risk, Journal of Banking and Finan- ce, 35(11), 3065-3076.
  • Torres-Reyna, O. (2007), Panel Data Analysis Fixed and Random Effects Using Stata, Data and Statistical Services Lecture Notes, Princeton University, Decem- ber.
  • Türkmen, Y.S. ve Yiğit, İ. (2012). Diversification in Banking and Its Effect on Banks’ Performance: Evidence from Turkey, American International Journal of Contemporary Research, 2(12): 111-119.
  • Yafee, R. (2003). A Primer for Panel Data Analysis, Connect: Information Tech- nology at NYU, Fall: 1-11.

Sectoral Concentration in Loan Portfolio and Risk Relationship: An Analysis on The Turkish Commercial Banking Sector

Yıl 2015, Cilt: 9 Sayı: 1, 127 - 147, 01.06.2015

Öz

In this study, the relationship between credit risk with concentration of sectoral credits lentby commercial banks operating in Turkey is analyzed. In the analysis of quarterly data within the period 2002:4-2014:2, private, public and foreign banks are taken into account in separate groups. The estimations that use linear panel data method, showed that sectoral concentration of credit risk is increasing. By time, the ratio of risky loans to total loans decreased in private and public banks, same ratio increased in foreign banks. However, it was determined to be positive and strong relationship between the concentration of credit risk for all bank groups

Kaynakça

  • Acharya, V.V.; Hasan, I. ve Saunders, A. (2002a). The Effects of Focus and Diver- sification on Bank Risk and Return: Evidence from Individual Bank Loan Portfoli- os, CEPR Discussion Papers, No: 3252, March.
  • Acharya, V.V.; Hasan, I. ve Saunders, A. (2002b). Should Banks Be Diversified? Evidence from Individual Bank Loan Portfolios, BIS Working Papers, No: 118, September.
  • Anastasi, A.; Bebczuk, R.; Elosegui, P. ve Sangiacomo, M. (2009). Productive, Geographical and Cliente Diversification of Banks, and Its Effect on Loan Portfo- lio Performance in Argentina, Ensayos Economicos, 56(Oct.-Dec.): 7-39.
  • Baltagi, B.H. (2002). Econometric Analysis of Panel Data, Second Edition, Chic- hester: John Wiley and Sons.
  • Behr, A.; Kamp, A.; Memmel, C. ve Pfingsten, A. (2007). Diversification and the Banks’ Risk-Retun Characteristics – Evidence from Loan Portfolios of German Banks, Deutsche Bundesbank Discussion Paper Series 2, No: 05/2007.
  • Berger, A.N. ve De Young, R. (1997). Problem Loans and Cost Effieicency in Commercial Banks, Journal of Banking and Finance, 21(6): 849-870.
  • Berger, A.N.; Hasan, I. ve Zhou, M. (2010). The Effects of Focus versus Diversifi- cation on Bank Performance: Evidence from Chinese Banks, Journal of Banking and Finance, 34(7): 1417-1435.
  • Chen, Y.; Wei, X.; Zhang, L. ve Shi, Y. (2013). Sectoral Diversification and the Banks’ Return and Risk: Evidence from Chinese Listed Commercial Banks, Proce- dia Computer Science, 18: 1737-1746.
  • Chen, Y.; Wei, X. ve Zhang, L. (2013). A New Measurement of Sectoral Concen- tiration of Credit Portfolios, Procedia Computer Science, 17: 1231-1240.
  • Drukker, D.M. (2003). Testing for Serial Correlation in Linear Panel-Data Models, The Stata Journal, 3(2): 168-177.
  • Gönenç, H. ve Kılıçhan, B. (2004). Kredi Portföyü Çeşitlendirmesinin Banka Per- formansı Üzerindeki Etkileri, TBB Bankacılar Dergisi, Sayı 49: 53-67.
  • Greene, W.H. (2008). Econometric Analysis, 6th. Edition, Upper Saddle River: Prentice Hall.
  • Hayden, E.; Porath, D. ve von Westernhagen, N. (2006). Does Diversification Improve the Performance of German Banks? Evidence from Individual Bank Loan Portfolios, Deutsche Bundesbank Discussion Paper Series 2, No: 05/2006.
  • Kamp, A.; Pfingsten, A. ve Porath, D. (2005). Do Banks Diversify Loan Portfolios? A Tentative Answer Based on Individual Bank Loan Portfolios, Deutsche Bundes- bank Discussion Paper Series 2, No: 03/2005.
  • Mencia, J. (2012). Assesing the Risk-Return Trade-off in Loan Portfolios, Journal of Banking and Finance, 36(6): 1665-1677.
  • Mercieca, S.; Schaeck, K. ve Wolfe, S. (2007). Small European Banks: Benefits from Diversification?, Journal of Banking and Finance, 31(7): 1975-1998.
  • Rossi, S.P.S.; Schwaiger, M.S. ve Winkler, G. (2009). How Loan Portfolio diversi- fication Affects Risk, Efficiency and Capitalization: A Managerial Behavior Model for Austrian Banks, Journal of Banking and Finance, 33(12): 2218-2226.
  • Tabak, M.B.; Fazio, D.M. ve Cajuerio, D.O. (2011). The Effects of Loan Portfolio Concentration on Brazilian Banks’ Return and Risk, Journal of Banking and Finan- ce, 35(11), 3065-3076.
  • Torres-Reyna, O. (2007), Panel Data Analysis Fixed and Random Effects Using Stata, Data and Statistical Services Lecture Notes, Princeton University, Decem- ber.
  • Türkmen, Y.S. ve Yiğit, İ. (2012). Diversification in Banking and Its Effect on Banks’ Performance: Evidence from Turkey, American International Journal of Contemporary Research, 2(12): 111-119.
  • Yafee, R. (2003). A Primer for Panel Data Analysis, Connect: Information Tech- nology at NYU, Fall: 1-11.
Toplam 21 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Research Article
Yazarlar

K. Batu Tunay Bu kişi benim

Yayımlanma Tarihi 1 Haziran 2015
Yayımlandığı Sayı Yıl 2015 Cilt: 9 Sayı: 1

Kaynak Göster

APA Tunay, K. B. (2015). Kredi Portföylerinde Sektörel Yoğunlaşma ve Risk İlişkisi: Türk Ticari Bankacılık Sektörü Üzerine Bir Analiz. BDDK Bankacılık Ve Finansal Piyasalar Dergisi, 9(1), 127-147.