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SOVEREIGN-BANK NEXUS OF TURKEY: AN ANALYSIS OF SOVEREIGN RISK AND BANKING INDUSTRY PERFORMANCE INDICATORS BASED ON CAMELS RATING SYSTEM

Yıl 2021, Cilt 22, Sayı 2, 217 - 235, 18.07.2021
https://doi.org/10.31671/doujournal.973012

Öz

This study aims to examine the relationship between sovereign risk and financial performance of the Turkish banking industry in order to identify the interaction channels between these two. To this end, financial data relating to the Turkish banking industry were analyzed based on the CAMELS rating system and were compared with Turkey’s Credit Default Swap rates using the most appropriate causality analysis tools. The results showed that there are significant causal relations between sovereign risk and several banking industry indicators of CAMELS rating groups. Significant results were obtained especially as to the causalities between sovereign risk and CAMELS components, which are Capital Adequacy, Asset Quality, Liquidity, and Sensitivity. Empirical study indicates that 13 variables out 26 variables have causal relationship with credit default swap rates according to Toda and Yamamoto Granger non-causality test results. Although the directions of causality vary among these variables, those results, which indicate influence of credit default swap rates on banking performance indicators, are remarkable.

Kaynakça

  • Acharya, V. V. & Schnabl, P. (2010). Do global banks spread global imbalances? Asset-backed commercial paper during the financial crisis of 2007-09. IMF Economic Review. https://doi.org/10.1057/imfer.2010.4
  • Aldunate, F. (2019). Deposit insurance, bank risk-taking, and failures: Evidence from early twentieth-century state deposit insurance systems. Review of Corporate Finance Studies. https://doi.org/10.1093/rcfs/cfz001
  • Andreeva, D. C. & Vlassopoulos, T. (2019). Home bias in bank sovereign bond purchases and the bank-sovereign nexus. International Journal of Central Banking.
  • Angeloni, C. & Wolff, G. B. (2012). Are banks affected by their holdings of government debt? Bruegel Working Paper.
  • Annual Economic Report 2020. (2020). Bank of International Settlement. Retrieved May 29, 2021, from https://www.bis.org/publ/arpdf/ar2020e.htm
  • Ashcraft, A. B. (2008). Does the market discipline banks? New evidence from regulatory capital mix. Journal of Financial Intermediation. https://doi.org/10.1016/j.jfi.2007.05.003
  • Avery, R. B., Belton, T. M. & Goldberg, M. A. (1988). Market discipline in regulating bank risk: New evidence from the capital markets. Journal of Money, Credit and Banking. https://doi.org/10.2307/1992286
  • BIS. (2011). The impact of sovereign credit risk on bank funding conditions. In Committee on the Global Financial System Papers No. 43.
  • BIS. (2013). Basel Committee on banking supervision: Core principles for effective banking supervision. In Bank for International Settlements.
  • Boitan, I. A. & Marchewka-Bartkowiak, K. (2021). The sovereign-bank nexus in the face of the COVID-19 pandemic outbreak—Evidence from EU member states. Risks, 9(5), 98. https://doi.org/10.3390/risks9050098
  • Bolton, P. & Jeanne, O. (2011). Sovereign default risk and bank fragility in financially integrated economies. IMF Economic Review. https://doi.org/10.1057/imfer.2011.5
  • Bordo, M. D., Meissner, C. M. & Stuckler, D. (2010). Foreign currency debt, financial crises and economic growth: A long-run view. Journal of International Money and Finance. https://doi.org/10.1016/j.jimonfin.2010.01.002
  • Boyd, J. H. & De Nicoló, G. (2005). The theory of bank risk taking and competition revisited. Journal of Finance. https://doi.org/10.1111/j.1540-6261.2005.00763.x
  • Brunnermeier, M. K., Garicano, L., Lane, P. R., Pagano, M., Reis, R., Santos, T., Thesmar, D., Van Nieuwerburgh, S. & Vayanos, D. (2016). The sovereign-bank diabolic loop and esbies. American Economic Review. https://doi.org/10.1257/aer.p20161107
  • Buch, C. M., Koetter, M. & Ohls, J. (2016). Banks and sovereign risk: A granular view. Journal of Financial Stability. https://doi.org/10.1016/j.jfs.2016.05.002
  • Chortareas, G. E., Garza-Garcia, J. G. & Girardone, C. (2011). Banking sector performance in Latin America: Market power versus efficiency. Review of Development Economics. https://doi.org/10.1111/j.1467-9361.2011.00610.x
  • Cornett, M. M., McNutt, J. J., Strahan, P. E. & Tehranian, H. (2011). Liquidity risk management and credit supply in the financial crisis. Journal of Financial Economics. https://doi.org/10.1016/j.jfineco.2011.03.001
  • De Bruyckere, V., Gerhardt, M., Schepens, G. & Vander Vennet, R. (2013). Bank/sovereign risk spillovers in the European debt crisis. Journal of Banking and Finance. https://doi.org/10.1016/j.jbankfin.2013.08.012
  • Demirgüç-Kunt, A. & Huizinga, H. (2004). Market discipline and deposit insurance. Statistics and Probability Letters. https://doi.org/10.1016/j.jmoneco.2003.04.001
  • Demirgüç-Kunt, A. & Huizinga, H. (2013). Are banks too big to fail or too big to save? International evidence from equity prices and CDS spreads. Journal of Banking and Finance. https://doi.org/10.1016/j.jbankfin.2012.10.010
  • Ekinci, R. & Poyraz, G. (2019). The effect of credit risk on financial performance of deposit banks in Turkey. Procedia Computer Science. https://doi.org/10.1016/j.procs.2019.09.139
  • Erce, A. (2015). Bank and Sovereign Risk Feedback Loops. Federal reserve bank of dallas, globalization and monetary policy institute. Working Papers. https://doi.org/10.24149/gwp227 Federal Deposit Insurance Corporation. (1996). Uniform financial institutions rating System. Federal Register.
  • Ghenimi, A., Chaibi, H. & Omri, M. A. B. (2017). The effects of liquidity risk and credit risk on bank stability: Evidence from the MENA region. In Borsa Istanbul Review. https://doi.org/10.1016/j.bir.2017.05.002
  • Global Economic Prospects. (2021). World Bank. Retrieved May 29, 2021, from https://www.worldbank.org/en/publication/global-economic-prospects
  • Global Financial Stability Report: Markets in the Time of COVID-19. (2020). International Monetary Fund. Retrieved May 9, 2021, from https://www.imf.org/en/Publications/GFSR/Issues/2020/04/14/global-financial-stability-report-april-2020
  • Grigorian, D. & Manole, V. (2016). Sovereign risk and deposit dynamics: Evidence from Europe. IMF Working Papers. https://doi.org/10.5089/9781498381833.001
  • Gunning, G. (2012). Standard & Poor’s new banking criteria levels the financial markets. InFinance. Hirtle, B. J. & Lopez, J. A. (1999). Supervisory information and the frequency of bank examinations. Economic Policy Review.
  • Huizinga, H. & Laeven, L. (2019). The Procyclicality of banking: Evidence from the euro area. IMF Economic Review. https://doi.org/10.1057/s41308-019-00081-5
  • International Monetary Fund. (2017). Turkey: Financial sector assessment program: detailed assessment of observance-assessment of observance of the CPMI-IOSCO principles for financial market infrastructure. IMF Staff Country Reports. https://doi.org/10.5089/9781475576870.002
  • Kirikkaleli, D. & Gokmenoglu, K. K. (2019). Sovereign credit risk and economic risk in Turkey: Empirical evidence from a wavelet coherence approach. Borsa Istanbul Review. https://doi.org/10.1016/j.bir.2019.06.003
  • Levy-Yeyati, E., Martínez Pería, M. S. & Schmukler, S. L. (2010). Depositor behavior under macroeconomic risk: Evidence from bank runs in emerging economies. Journal of Money, Credit and Banking. https://doi.org/10.1111/j.1538-4616.2010.00300.x
  • Lopez, J. A. (1999). Using CAMELS ratings to monitor bank conditions. Federal Reserve Bank of San Francisco Economic Letter.
  • Martínez Pería, M. S. & Schmukler, S. L. (2001). Do depositors punish banks for bad behavior? Market discipline, deposit insurance, and banking crises. Journal of Finance. https://doi.org/10.1111/0022-1082.00354
  • Mirzaei, A., Moore, T. & Liu, G. (2013). Does market structure matter on banks’ profitability and stability? Emerging vs. advanced economies. Journal of Banking and Finance. https://doi.org/10.1016/j.jbankfin.2013.04.031
  • Mishkin, F. S. & Carey, M. (2013). Dimensions of credit risk and their relationship to economic capital requirements. In Prudential Supervision. https://doi.org/10.7208/chicago/9780226531939.003.0006
  • Podstawski, M. & Velinov, A. (2018). The state dependent impact of bank exposure on sovereign risk. Journal of Banking and Finance. https://doi.org/10.1016/j.jbankfin.2017.11.002
  • Qamruzzaman, M. & Wei, J. (2019). Do financial inclusion, stock market development attract foreign capital flows in developing economy: a panel data investigation. Quantitative Finance and Economics. https://doi.org/10.3934/qfe.2019.1.88
  • Rahman, M. Z. & Islam, M. S. (2017). Use of CAMEL rating framework: A comparative performance evaluation of selected Bangladeshi private commercial banks. International Journal of Economics and Finance. https://doi.org/10.5539/ijef.v10n1p120
  • Rambaldi, A. & Doran, H. (1996). Testing for granger non-causality in cointegrated systems made easy . In Working paper.
  • Shair, F., Sun, N., Shaorong, S., Atta, F. & Hussain, M. (2019). Impacts of risk and competition on the profitability of banks: Empirical evidence from Pakistan. PLoS ONE. https://doi.org/10.1371/journal.pone.0224378
  • Sufian, F. (2012). Determinants of bank profitability in developing economies: Empirical evidence from the South Asian banking sectors. Contemporary South Asia. https://doi.org/10.1080/09584935.2012.696089
  • Toda, H. Y. & Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of Econometrics. https://doi.org/10.1016/0304-4076(94)01616-8 Wagner, W. (2010). Loan market competition and bank risk-taking. Journal of Financial Services Research. https://doi.org/10.1007/s10693-009-0073-8
  • Walker, D. M. (2007). The economics of casino gambling. In The Economics of Casino Gambling. https://doi.org/10.1007/978-3-540-35104-7
  • Zapata, H. O. & Rambaldi, A. N. (1997). Monte Carlo evidence on cointegration and causation. Oxford Bulletin of Economics and Statistics. https://doi.org/10.1111/1468-0084.00065

TÜRKIYE’NİN ÜLKE RİSKİ VE BANKACILIK BAĞLANTISI: ÜLKE RİSKİ VE BANKACILIK SEKTÖR PERFORMANS İNDİKATÖRLERİNİN CAMELS DERECELENDİRME SİSTEMİNE GÖRE ANALİZİ

Yıl 2021, Cilt 22, Sayı 2, 217 - 235, 18.07.2021
https://doi.org/10.31671/doujournal.973012

Öz

Bu çalışma, Türkiye'nin ülke riski ile bankacılık sektörünün finansal performansı arasındaki karşılıklı ilişkiyi aralarındaki etkileşim kanallarını ortaya koyacak şekilde analiz etmeyi amaçlamaktadır. Bu amaç doğrultusunda Türkiye'deki bankacılık sektörünün finansal verileri CAMELS derecelendirme sistemine göre analiz edildi ve en uygun nedensellik araçları kullanılarak Türkiye'nin Kredi Temerrüt Swap oranları ile karşılaştırıldı. Sonuçlar, ülke riski ile CAMELS gruplamasında yer alan çeşitli bankacılık sektörü göstergeleri arasında anlamlı nedensellik ilişkisi olduğunu gösterdi. Özellikle ülke riski ile bankaların sermaye yeterliliği, mali yapıları, likidite verileri ve piyasa risklerine duyarlılıkları arasında nedensellik ilişkisi olduğuna dair anlamlı sonuçlara ulaşıldı. Ampirik çalışma, Toda ve Yamamoto Granger nedensellik testi sonuçlarına göre 26 değişkenden 13'ünün kredi temerrüt takas oranları ile nedensellik ilişkisi olduğunu göstermektedir. Bu değişkenler arasında nedensellik yönleri farklılık gösterse de kredi temerrüt takas oranlarının bankacılık performans göstergeleri üzerindeki etkisini gösteren sonuçlar dikkat çekicidir.

Kaynakça

  • Acharya, V. V. & Schnabl, P. (2010). Do global banks spread global imbalances? Asset-backed commercial paper during the financial crisis of 2007-09. IMF Economic Review. https://doi.org/10.1057/imfer.2010.4
  • Aldunate, F. (2019). Deposit insurance, bank risk-taking, and failures: Evidence from early twentieth-century state deposit insurance systems. Review of Corporate Finance Studies. https://doi.org/10.1093/rcfs/cfz001
  • Andreeva, D. C. & Vlassopoulos, T. (2019). Home bias in bank sovereign bond purchases and the bank-sovereign nexus. International Journal of Central Banking.
  • Angeloni, C. & Wolff, G. B. (2012). Are banks affected by their holdings of government debt? Bruegel Working Paper.
  • Annual Economic Report 2020. (2020). Bank of International Settlement. Retrieved May 29, 2021, from https://www.bis.org/publ/arpdf/ar2020e.htm
  • Ashcraft, A. B. (2008). Does the market discipline banks? New evidence from regulatory capital mix. Journal of Financial Intermediation. https://doi.org/10.1016/j.jfi.2007.05.003
  • Avery, R. B., Belton, T. M. & Goldberg, M. A. (1988). Market discipline in regulating bank risk: New evidence from the capital markets. Journal of Money, Credit and Banking. https://doi.org/10.2307/1992286
  • BIS. (2011). The impact of sovereign credit risk on bank funding conditions. In Committee on the Global Financial System Papers No. 43.
  • BIS. (2013). Basel Committee on banking supervision: Core principles for effective banking supervision. In Bank for International Settlements.
  • Boitan, I. A. & Marchewka-Bartkowiak, K. (2021). The sovereign-bank nexus in the face of the COVID-19 pandemic outbreak—Evidence from EU member states. Risks, 9(5), 98. https://doi.org/10.3390/risks9050098
  • Bolton, P. & Jeanne, O. (2011). Sovereign default risk and bank fragility in financially integrated economies. IMF Economic Review. https://doi.org/10.1057/imfer.2011.5
  • Bordo, M. D., Meissner, C. M. & Stuckler, D. (2010). Foreign currency debt, financial crises and economic growth: A long-run view. Journal of International Money and Finance. https://doi.org/10.1016/j.jimonfin.2010.01.002
  • Boyd, J. H. & De Nicoló, G. (2005). The theory of bank risk taking and competition revisited. Journal of Finance. https://doi.org/10.1111/j.1540-6261.2005.00763.x
  • Brunnermeier, M. K., Garicano, L., Lane, P. R., Pagano, M., Reis, R., Santos, T., Thesmar, D., Van Nieuwerburgh, S. & Vayanos, D. (2016). The sovereign-bank diabolic loop and esbies. American Economic Review. https://doi.org/10.1257/aer.p20161107
  • Buch, C. M., Koetter, M. & Ohls, J. (2016). Banks and sovereign risk: A granular view. Journal of Financial Stability. https://doi.org/10.1016/j.jfs.2016.05.002
  • Chortareas, G. E., Garza-Garcia, J. G. & Girardone, C. (2011). Banking sector performance in Latin America: Market power versus efficiency. Review of Development Economics. https://doi.org/10.1111/j.1467-9361.2011.00610.x
  • Cornett, M. M., McNutt, J. J., Strahan, P. E. & Tehranian, H. (2011). Liquidity risk management and credit supply in the financial crisis. Journal of Financial Economics. https://doi.org/10.1016/j.jfineco.2011.03.001
  • De Bruyckere, V., Gerhardt, M., Schepens, G. & Vander Vennet, R. (2013). Bank/sovereign risk spillovers in the European debt crisis. Journal of Banking and Finance. https://doi.org/10.1016/j.jbankfin.2013.08.012
  • Demirgüç-Kunt, A. & Huizinga, H. (2004). Market discipline and deposit insurance. Statistics and Probability Letters. https://doi.org/10.1016/j.jmoneco.2003.04.001
  • Demirgüç-Kunt, A. & Huizinga, H. (2013). Are banks too big to fail or too big to save? International evidence from equity prices and CDS spreads. Journal of Banking and Finance. https://doi.org/10.1016/j.jbankfin.2012.10.010
  • Ekinci, R. & Poyraz, G. (2019). The effect of credit risk on financial performance of deposit banks in Turkey. Procedia Computer Science. https://doi.org/10.1016/j.procs.2019.09.139
  • Erce, A. (2015). Bank and Sovereign Risk Feedback Loops. Federal reserve bank of dallas, globalization and monetary policy institute. Working Papers. https://doi.org/10.24149/gwp227 Federal Deposit Insurance Corporation. (1996). Uniform financial institutions rating System. Federal Register.
  • Ghenimi, A., Chaibi, H. & Omri, M. A. B. (2017). The effects of liquidity risk and credit risk on bank stability: Evidence from the MENA region. In Borsa Istanbul Review. https://doi.org/10.1016/j.bir.2017.05.002
  • Global Economic Prospects. (2021). World Bank. Retrieved May 29, 2021, from https://www.worldbank.org/en/publication/global-economic-prospects
  • Global Financial Stability Report: Markets in the Time of COVID-19. (2020). International Monetary Fund. Retrieved May 9, 2021, from https://www.imf.org/en/Publications/GFSR/Issues/2020/04/14/global-financial-stability-report-april-2020
  • Grigorian, D. & Manole, V. (2016). Sovereign risk and deposit dynamics: Evidence from Europe. IMF Working Papers. https://doi.org/10.5089/9781498381833.001
  • Gunning, G. (2012). Standard & Poor’s new banking criteria levels the financial markets. InFinance. Hirtle, B. J. & Lopez, J. A. (1999). Supervisory information and the frequency of bank examinations. Economic Policy Review.
  • Huizinga, H. & Laeven, L. (2019). The Procyclicality of banking: Evidence from the euro area. IMF Economic Review. https://doi.org/10.1057/s41308-019-00081-5
  • International Monetary Fund. (2017). Turkey: Financial sector assessment program: detailed assessment of observance-assessment of observance of the CPMI-IOSCO principles for financial market infrastructure. IMF Staff Country Reports. https://doi.org/10.5089/9781475576870.002
  • Kirikkaleli, D. & Gokmenoglu, K. K. (2019). Sovereign credit risk and economic risk in Turkey: Empirical evidence from a wavelet coherence approach. Borsa Istanbul Review. https://doi.org/10.1016/j.bir.2019.06.003
  • Levy-Yeyati, E., Martínez Pería, M. S. & Schmukler, S. L. (2010). Depositor behavior under macroeconomic risk: Evidence from bank runs in emerging economies. Journal of Money, Credit and Banking. https://doi.org/10.1111/j.1538-4616.2010.00300.x
  • Lopez, J. A. (1999). Using CAMELS ratings to monitor bank conditions. Federal Reserve Bank of San Francisco Economic Letter.
  • Martínez Pería, M. S. & Schmukler, S. L. (2001). Do depositors punish banks for bad behavior? Market discipline, deposit insurance, and banking crises. Journal of Finance. https://doi.org/10.1111/0022-1082.00354
  • Mirzaei, A., Moore, T. & Liu, G. (2013). Does market structure matter on banks’ profitability and stability? Emerging vs. advanced economies. Journal of Banking and Finance. https://doi.org/10.1016/j.jbankfin.2013.04.031
  • Mishkin, F. S. & Carey, M. (2013). Dimensions of credit risk and their relationship to economic capital requirements. In Prudential Supervision. https://doi.org/10.7208/chicago/9780226531939.003.0006
  • Podstawski, M. & Velinov, A. (2018). The state dependent impact of bank exposure on sovereign risk. Journal of Banking and Finance. https://doi.org/10.1016/j.jbankfin.2017.11.002
  • Qamruzzaman, M. & Wei, J. (2019). Do financial inclusion, stock market development attract foreign capital flows in developing economy: a panel data investigation. Quantitative Finance and Economics. https://doi.org/10.3934/qfe.2019.1.88
  • Rahman, M. Z. & Islam, M. S. (2017). Use of CAMEL rating framework: A comparative performance evaluation of selected Bangladeshi private commercial banks. International Journal of Economics and Finance. https://doi.org/10.5539/ijef.v10n1p120
  • Rambaldi, A. & Doran, H. (1996). Testing for granger non-causality in cointegrated systems made easy . In Working paper.
  • Shair, F., Sun, N., Shaorong, S., Atta, F. & Hussain, M. (2019). Impacts of risk and competition on the profitability of banks: Empirical evidence from Pakistan. PLoS ONE. https://doi.org/10.1371/journal.pone.0224378
  • Sufian, F. (2012). Determinants of bank profitability in developing economies: Empirical evidence from the South Asian banking sectors. Contemporary South Asia. https://doi.org/10.1080/09584935.2012.696089
  • Toda, H. Y. & Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of Econometrics. https://doi.org/10.1016/0304-4076(94)01616-8 Wagner, W. (2010). Loan market competition and bank risk-taking. Journal of Financial Services Research. https://doi.org/10.1007/s10693-009-0073-8
  • Walker, D. M. (2007). The economics of casino gambling. In The Economics of Casino Gambling. https://doi.org/10.1007/978-3-540-35104-7
  • Zapata, H. O. & Rambaldi, A. N. (1997). Monte Carlo evidence on cointegration and causation. Oxford Bulletin of Economics and Statistics. https://doi.org/10.1111/1468-0084.00065

Ayrıntılar

Birincil Dil İngilizce
Konular İşletme
Bölüm Araştırma Makaleleri
Yazarlar

Osman ALTAY Bu kişi benim (Sorumlu Yazar)
BEYKENT ÜNİVERSİTESİ
0000-0003-2298-0620
Türkiye

Yayımlanma Tarihi 18 Temmuz 2021
Yayınlandığı Sayı Yıl 2021, Cilt 22, Sayı 2

Kaynak Göster

APA Altay, O. (2021). SOVEREIGN-BANK NEXUS OF TURKEY: AN ANALYSIS OF SOVEREIGN RISK AND BANKING INDUSTRY PERFORMANCE INDICATORS BASED ON CAMELS RATING SYSTEM . Doğuş Üniversitesi Dergisi , 22 (2) , 217-235 . DOI: 10.31671/doujournal.973012