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Döviz Cinsi Krediler Bir “Döviz Riski” Azaltma Araci Mıdır? 2003-2018 Türkiye Analizi

Yıl 2020, TBMM 100. Yıl Özel Sayısı, 45 - 55, 28.04.2020
https://doi.org/10.18026/cbayarsos.491511

Öz

Döviz kuru gelişmekte olan ekonomiler için önemli bir makro değişken olma özelliğini korumaktadır. Döviz kurunda meydana gelen dalgalanmalar özellikle yükselme yönünde olduğunda, gerek ülkedeki döviz borçluları gerekse ithal girdi ile çalışan firmalar için döviz riski yaratmaktadır. Döviz riskinin bilincinde olan yatırımcılar olası döviz riski için çeşitli aksiyonlar almaktadır. Çalışmada, ticari bankalar tarafından verilen krediler içerisinde yer alan döviz cinsi kredileri kullanan yatırımcıların, döviz riskinden korunmak için mi kredi çektikleri araştırılmıştır. Bu amaçla, Türkiye için 2003:1-2018:6 dönemi, ARDL eşbütünleşme ve Todo-Yamamoto (1995) nedensellik analizleri ile test edilmiştir. Test amacıyla ilgili dönemde aylık olarak ticari bankaların kredi kullanımları içerisinde döviz cinsi kredi oranları ve döviz kurunu temsilen de reel efektif döviz kuru kullanılmıştır. Sonuçlar, döviz kredisi kullanımının döviz riskinden korunma yolu olarak gerçekleşebileceğini göstermiştir.

Kaynakça

  • Beckmann, E., Fidrmuc, J., & Stix, H. (2012). Foreign currency loans and loan arrears of households in Central and Eastern Europe (No. 181).
  • Beckmann, E., & Stix, H. (2015). Foreign currency borrowing and knowledge about exchange rate risk. Journal of Economic Behavior & Organization, 112, 1-16.
  • Bogoev, J. (2011). What drives bank lending in domestic and foreign currency loans in a small open transition economy with fixed exchange rate? The case of Macedonia. Comparative Economic Studies, 53(2), 307-331.
  • Božović, M., Urošević, B., & Živković, B. (2009). On the spillover of exchange rate risk into default risk. Economic Annals, 54(183), 32-55.
  • Breuer, T., Jandačka, M., Rheinberger, K., & Summer, M. (2010). Does adding up of economic capital for market-and credit risk amount to conservative risk assessment?. Journal of Banking & Finance, 34(4), 703-712.
  • Brown, M., Ongena, S., & Yeşin, P. (2011). Foreign currency borrowing by small firms in the transition economies. Journal of Financial Intermediation, 20(3), 285-302.
  • Brown, M., Kirschenmann, K., & Ongena, S. (2014). Bank funding, securitization, and loan terms: Evidence from foreign currency lending. Journal of Money, Credit and Banking, 46(7), 1501-1534.
  • Buszko, M., & Krupa, D. (2015). Foreign currency loans in Poland and Hungary–a comparative analysis. Procedia Economics and Finance, 30, 124-136.
  • Cuaresma, J. C., Fidrmuc, J., & Hake, M. (2014). Demand and supply drivers of foreign currency loans in CEECs: A meta-analysis. Economic Systems, 38(1), 26-42.
  • Do, V., & Vu, T. (2018). The additional cost of hedging in foreign currency loans. Australian Journal of Management, 43(2), 305-327.
  • Endrész, M., & Harasztosi, P. (2014). Corporate foreign currency borrowing and investment: The case of Hungary. Emerging Markets Review, 21, 265-287.
  • Fidrmuc, J., Hake, M., & Stix, H. (2013). Households’ foreign currency borrowing in Central and Eastern Europe. Journal of Banking & Finance, 37(6), 1880-1897.
  • Kingston, G. (1995). The foreign currency loans affair: an economist's perspective. Australian Economic Papers, 34(64), 31-49.
  • Kundak, S., ve İ. Aydoğuş, (2018). Türkiye’de İmalat Sanayinin İthalata Bağımlılığının Analizi, Gaziantep University Journal of Social Sciences, 17 (1), 252-266, DOI:10.21547/jss.348833.
  • Mora, N., Neaime, S., & Aintablian, S. (2013). Foreign currency borrowing by small firms in emerging markets: When domestic banks intermediate dollars. Journal of Banking & Finance, 37(3), 1093-1107.
  • Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of applied econometrics, 16(3), 289-326.
  • Skibińska, M. (2018). Transmission of monetary policy and exchange rate shocks under foreign currency lending. Post-Communist Economies, 30(4), 506-525.
  • Toda, H. Y., & Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of econometrics, 66(1-2), 225-250.Vonnák, D. (2018). Why do firms default on their foreign currency loans? The case of Hungary. Journal of International Money and Finance, 86, 207-222.Yesin, P. (2013). Foreign currency loans and systemic risk in Europe (No. 13.06). Working Paper, Study Center Gerzensee.Xu, Y., & La, H. A. (2015). Foreign banks and international shock transmission: Does bank ownership still matter?. Journal of International Financial Markets, Institutions and Money, 38, 200-216.

Are Foreign Exchange Loans Means Of Hedging Against "Foreign Exchange Risk?”: An Analysis For Turkey, 2003-2018

Yıl 2020, TBMM 100. Yıl Özel Sayısı, 45 - 55, 28.04.2020
https://doi.org/10.18026/cbayarsos.491511

Öz

Exchange rates are important macro variables for developing economies. Fluctuations in exchange rates, especially upward trending movements, creates a foreign exchange risk for both debtors and firms that use imported inputs in their operations. In consideration of this, investors take on various actions to avoid possible foreign exchange risks. Thus, this study investigates whether investors borrowing foreign exchange loans from commercial banks use such credits as a means of hedging against foreign exchange risk. In this respect, ARDL cointegration and Toda-Yamamoto (1995) causality analyses are employed to study the relationship between ratio of foreign exchange loans to the total loans granted by commercial banks and real effective exchange rate in turkey for the period 2003:1-2018:6. The results of the analysis indicate that foreign exchange loans can be taken out as a means of hedging against foreign exchange risk.

Kaynakça

  • Beckmann, E., Fidrmuc, J., & Stix, H. (2012). Foreign currency loans and loan arrears of households in Central and Eastern Europe (No. 181).
  • Beckmann, E., & Stix, H. (2015). Foreign currency borrowing and knowledge about exchange rate risk. Journal of Economic Behavior & Organization, 112, 1-16.
  • Bogoev, J. (2011). What drives bank lending in domestic and foreign currency loans in a small open transition economy with fixed exchange rate? The case of Macedonia. Comparative Economic Studies, 53(2), 307-331.
  • Božović, M., Urošević, B., & Živković, B. (2009). On the spillover of exchange rate risk into default risk. Economic Annals, 54(183), 32-55.
  • Breuer, T., Jandačka, M., Rheinberger, K., & Summer, M. (2010). Does adding up of economic capital for market-and credit risk amount to conservative risk assessment?. Journal of Banking & Finance, 34(4), 703-712.
  • Brown, M., Ongena, S., & Yeşin, P. (2011). Foreign currency borrowing by small firms in the transition economies. Journal of Financial Intermediation, 20(3), 285-302.
  • Brown, M., Kirschenmann, K., & Ongena, S. (2014). Bank funding, securitization, and loan terms: Evidence from foreign currency lending. Journal of Money, Credit and Banking, 46(7), 1501-1534.
  • Buszko, M., & Krupa, D. (2015). Foreign currency loans in Poland and Hungary–a comparative analysis. Procedia Economics and Finance, 30, 124-136.
  • Cuaresma, J. C., Fidrmuc, J., & Hake, M. (2014). Demand and supply drivers of foreign currency loans in CEECs: A meta-analysis. Economic Systems, 38(1), 26-42.
  • Do, V., & Vu, T. (2018). The additional cost of hedging in foreign currency loans. Australian Journal of Management, 43(2), 305-327.
  • Endrész, M., & Harasztosi, P. (2014). Corporate foreign currency borrowing and investment: The case of Hungary. Emerging Markets Review, 21, 265-287.
  • Fidrmuc, J., Hake, M., & Stix, H. (2013). Households’ foreign currency borrowing in Central and Eastern Europe. Journal of Banking & Finance, 37(6), 1880-1897.
  • Kingston, G. (1995). The foreign currency loans affair: an economist's perspective. Australian Economic Papers, 34(64), 31-49.
  • Kundak, S., ve İ. Aydoğuş, (2018). Türkiye’de İmalat Sanayinin İthalata Bağımlılığının Analizi, Gaziantep University Journal of Social Sciences, 17 (1), 252-266, DOI:10.21547/jss.348833.
  • Mora, N., Neaime, S., & Aintablian, S. (2013). Foreign currency borrowing by small firms in emerging markets: When domestic banks intermediate dollars. Journal of Banking & Finance, 37(3), 1093-1107.
  • Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of applied econometrics, 16(3), 289-326.
  • Skibińska, M. (2018). Transmission of monetary policy and exchange rate shocks under foreign currency lending. Post-Communist Economies, 30(4), 506-525.
  • Toda, H. Y., & Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of econometrics, 66(1-2), 225-250.Vonnák, D. (2018). Why do firms default on their foreign currency loans? The case of Hungary. Journal of International Money and Finance, 86, 207-222.Yesin, P. (2013). Foreign currency loans and systemic risk in Europe (No. 13.06). Working Paper, Study Center Gerzensee.Xu, Y., & La, H. A. (2015). Foreign banks and international shock transmission: Does bank ownership still matter?. Journal of International Financial Markets, Institutions and Money, 38, 200-216.
Toplam 18 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Makaleler
Yazarlar

Hakan Eryüzlü 0000-0003-3715-0021

Sertaç Hopoğlu

Yayımlanma Tarihi 28 Nisan 2020
Yayımlandığı Sayı Yıl 2020 TBMM 100. Yıl Özel Sayısı

Kaynak Göster

APA Eryüzlü, H., & Hopoğlu, S. (2020). Döviz Cinsi Krediler Bir “Döviz Riski” Azaltma Araci Mıdır? 2003-2018 Türkiye Analizi. Manisa Celal Bayar Üniversitesi Sosyal Bilimler Dergisi, 18(Özel Sayı), 45-55. https://doi.org/10.18026/cbayarsos.491511