Likidite Riski Yönetiminde Vadesiz ve Vadeli Mevduatların Davranışsal Modellenmesi

Yıl 2022, Cilt: 16 Sayı: 1, 1 - 26, 30.03.2022

Celal Öztürk Cemal İbiş

https://doi.org/10.46520/bddkdergisi.1095630

Cited By: 1

Öz

Bu çalışmada, Jarrow-Deventer (1998) Modeli yaklaşımı üzerinden mevduat hacimleri makro ekonomik ve finansal değişkenlerle modellenmiştir. Kalkbrener-Willing (2014) metodolojisine göre Monte Carlo simülasyon yöntemi uygulanarak gelecek beş yıllık dönem için %99 güven düzeyinde çekirdek mevduat tutarları ve davranışsal vade yapıları tahmin edilmiştir. Ocak 2012 – Aralık 2019 dönemi arasındaki aylık veriler kullanılmıştır. Ampirik bulgular, mevduat hacminin Amerikan Doları Türk Lirası (USD/TRY) döviz kuru ve piyasa faiz oranı değişkenleriyle istatistiksel olarak açıklandığını ve gerçek kişi mevduatların ticari kişi mevduatlara oranla çekirdek mevduat oranlarının daha yüksek olduğunu göstermektedir. Benzer şekilde, vadeli mevduatların vadesiz mevduatlara, Türk Parası (TP) mevduatların ise Yabancı Para (YP) mevduatlara oranla daha yüksek çekirdek mevduat oranına sahip olduğu bulgularına ulaşılmıştır.

Anahtar Kelimeler

likidite riski, çekirdek mevduat, davranışsal model

Behavioral Modelling of Non-Maturing and Time Deposits in Liquidity Risk Management

Öz

Kaynakça

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