Bankacılık Krizleri ve Erken Uyarı Sistemleri: Türk Bankacılık Sektörü İçin Bir Model Önerisi

Yıl 2010, Cilt: 4 Sayı: 1, 9 - 46, 01.06.2010

K. Batu Tunay

Öz

uyarı modeli gelifltirilmesini hedeflemektedir. Bankacılık krizleri konusunda yapılmıfl çok sayıda deneysel çalıflmanın bulguları ıflığında, Türkiye’ye özgü bir model gelifltirilmifltir. Söz konusu model doğrusal ve parametrik olmayan bir tahmin yöntemi olan MARS multivariate adaptive regression splines ile tahmin edilmifltir. Tahmin sonuçları istatistik anlamlılık ve açıklama gücü açılarından son derece baflarılıdır. Bulgular, Türkiye’de banka krizlerinin büyük oranda dıfl kaynaklı değiflkenlerden ileri geldiğini göstermektedir. Bu bağlamda, sistemik finansal krizlerin, döviz açık pozisyonunun ve ihracatın ithalatı karflılama oranı önemli etken- ler olduğu gözlenmifltir. Ayrıca, sermaye yeterliliği, faiz riski, piyasa riski gibi etkenlerin de önemli olduğu belirlenmifltir

Anahtar Kelimeler

Bankacılık Krizleri, Erken Uyarı Modelleri ve Sistemleri, MARS Modelleri

Banking Crises and Early Warning Systems: A Model Suggestion for Turkish Banking Sector

Öz

This study aims to evolve a model used in foreseeing possible banking crises in Turkey.In the light of many empirical studies’ findings, a specific model for Turkey is developed. Thismodel is estimated by using multivariate adaptive regression splines MARS which is anon-linear and non-parametric estimation method. Estimation results show that significanceand explanation levels of model are strongly high. According to model’s findings, bankingcrises can be predominantly attributed to external factors. Systemic financial crises,exchange rate open position, and terms of trade are observed to be main determinants.Besides these factors, the study shows that capital adequacy, interest rate risk, and marketrisk are the other important factors

Anahtar Kelimeler

Banking Crises, Early Warning Models and Systems, MARS Models

Kaynakça

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