Türkiye İçin Bankacılık Sağlamlık Endeksi: Temel Bileşen Analizi Yaklaşımı

Öz

Bu çalışmada, bankacılık sektörü finansal sağlamlığının ölçülebilmesi için bankalara özgü içsel değişkenler kullanılarak bankacılık sağlamlık endeksi oluşturmak amaçlanmıştır. Çalışmada, Uluslararası Para Fonu’nun (IMF) finansal istikrar endeksi çekirdek seti temel alınmış ve önerilen endeksin hesaplamaları üçer aylık verilerle 2007: Q2 ile 2020: Q3 dönem aralığında yapılmıştır. Alt göstergelerde yer alan değişkenler min-max normalizasyon tekniği ile standardize edilmiştir. Standardize edilen verilere temel bileşen analizi yöntemi kullanılmıştır. Temel bileşen analizi sonuçlarına göre değişkenler iki temel bileşene ayrılmıştır. Birinci temel bileşende kârlılık ve likidite oranları güçlü bir ilişki içerisinde olduğu görülmüştür. İkinci temel bileşende ise piyasa riski ve bazı sermaye yeterlilik oranları ilişki içerisinde olduğu gözlemlenmiştir. Endeks 2007 yılı ikinci çeyreğinde en yüksek seviyesine ulaşmıştır. En düşük seviyesine ise 2015 üçüncü çeyreğinde ve 2020 ilk çeyreğinde geldiği görülmüştür. Hesaplanan bankacılık sağlamlık endeksi Türkiye Cumhuriyet Merkez Bankası’nın (TCMB) yayımladığı finansal istikrar raporlarında yer alan bankacılık sektörü ile ilgili değerlendirmelerle örtüştüğü görülmektedir.

Anahtar Kelimeler

• Bankacılık Sağlamlık Endeksi
• Finansal İstikrar
• Temel Bileşen Analizi

Banking Soundness Index for Turkey: The Principal Component Analysis Approach

Öz

This study aims to generate a banking soundness index by utilizing endogenous variables specific to banks in order to measure the banking sector’s financial soundness. The core set of the financial stability index of the International Monetary Fund (IMF) is taken as the basis and the calculations of the proposed index are made with the quarterly data over the period 2007:Q2-2020:Q3. The variables in the sub-indicators are standardized using the min-max normalization technique. The principal component analysis method is employed on the standardized data. According to the results of the principal component analysis, variables are categorized into two main components. A strong relationship exists between profitability and liquidity ratios in the first principal component. In the second principal component, it is observed that market risk and certain capital adequacy ratios are associated with each other. The index reached its highest level in 2007:Q2. It is observed to reach its lowest levels in 2015:Q3 and 2020:Q1. It is seen that the calculated banking soundness index complies with the evaluations about the banking sector included in the financial stability reports published by the Central Bank of the Republic of Turkey (CBRT).

Anahtar Kelimeler

• Banking Soundness Index
• Financial Stability
• Principal Component Analysis

Kaynakça

1. Aksu, M., Sakarya, Ş. and Aksu, S. (2018). Finansal istikrar ile doğrudan yabancı sermaye girişleri arasındaki ilişkinin analizi: Türkiye ekonomisinde bir uygulama [Anaylsis of the relationship between financial stability and foreign direct inflows: An analysis on the economy of Turkey] [Special issue]. Anemon Muş Alparslan Üniversitesi Sosyal Bilimler Dergisi, 6, 195-200. doi:10.18506/anemon.453876
2. Albulescu, C. T. (2008). Assessing Romanian financial sector stability: the importance of the international economic climate (MPRA Working Paper No. 16581). Retrieved from https://mpra.ub.uni-muenchen.de/16581/1/MPRA_paper_16581.pdf
3. Arzamasov, V. and Penikas, H. (2014). A financial stability index for Israel. Procedia Computer Science, 31, 985– 994. doi: 10.1016/j.procs.2014.05.351
4. Ashraf, A. and Tariq, Y. B. (2016). Evaluating the financial soundness of banks: An application of bankometer on Pakistani listed banks. IUP Journal of Financial Risk Management, 13(3), 47– 63. Retrieved from https://web.p.ebscohost.com/
5. Bae, S. H. (2019). A study on determinants of financial soundness of savings banks. The Journal of the Convergence on Culture Technology, 5(4), 277– 282. doi:10.17703/JCCT.2019.5.4.277
6. Bourkhis, K. and Nabi, M. S. (2013). Islamic and conventional banks' soundness during the 2007–2008 financial crisis. Review of Financial Economics, 22(2), 68–77. doi:10.1016/j.rfe.2013.01.001
7. Camelia, Ș. A. and Roman, A. (2013). A cross-country analysis of the banks’ financial soundness: The case of the CEE-3 countries. Annals of the University of Oradea: Economic Science Series, 22(1), 357–367. Retrieved From http://anale.steconomiceuoradea.ro/
8. Chadwick, M. G. and Ozturk, H. (2019). Measuring financial systemic stress for Turkey: A search for the best composite indicator. Economic Systems, 43(1), 151-172. doi:10.1016/j.ecosys.2018.09.004

9. Cheang, N. and Choy, I. (2011). Aggregate financial stability index for an early warning system. Macao Monetary Research Bulletin, 21(1), 27–51. Retrieved from https://www.amcm.gov.mo/en/research-statistics/research-and-publications
10. Čihák, M. (2007). Systemic loss: a measure of financial stability. Czech Journal of Economics and Finance, 57(1), 5–26. Retrieved from https://journal.fsv.cuni.cz
11. Gadanecz, B. and Jayaram, K. (2008). Measures of financial stability– A review. Irving Fisher Committee Bulletin, 31(1), 365–383. Retrieved from https://www.bis.org/ifc_bulletins
12. Hotelling, H. (1933). Analysis of a complex of statistical variables into principal components. Journal of Educational Psychology, 24(6), 417. doi:10.1037/h0071325
13. International Monetary Fund. (2006). Financial soundness indicators compilation guide. Retrieved from https://www.imf.org/external/pubs/ft/fsi/guide/2006/index.htm
14. Ioannidis, C., Fotios P. and Zopounidis, C. (2010). Assessing bank soundness with classification techniques. Omega, 38(5), 345–357. doi:10.1016/j.omega.2009.10.009
15. Johnson, J. W. (2000). Factor analysis of importance ratings in job analysis: Note on the misinterpretation of Cranny and Doherty. Organizational Research Methods, 3(3), 267–284. doi:10.1177/109442810033004
16. Johnson, R. A. and Wichern, D. W. (2002). Applied multivariate statistical analysis. New Jersey: Prentice Hall Inc.
17. Kaiser, H. F. (1960). The application of electronic computers to factor analysis. Educational and Psychological Measurement, 20(1), 141–151. doi:10.1177/001316446002000116
18. Karanovic, G. and Karanovic, B. (2015). Developing an aggregate index for measuring financial stability in the Balkans. Procedia Economics and Finance, 33, 3–17. doi:10.1016/S2212-5671(15)01690-1
19. Kasselaki, M. T. and Tagkalakis, A. O. (2014). Financial soundness indicators and financial crisis episodes. Annals of Finance, 10(4), 623–669. doi:10.1007/s10436-013-0233-6
20. Koç, Y. D. and Karahan, F. (2017). Türk bankacılık sektöründe finansal sağlamlığın belirleyicileri [Financial stability indicators of Turkish banking sector]. International Journal of Academic Value Studies, 3(15), 148-153. doi:10.23929/javs.566
21. Kočišová, K. (2015, October). Banking stability index: A cross-country study. Paper presented at the 15th International Conference on Finance and Banking. Czech Republic. Retrieved from http://icfb2015.cms.opf.slu.cz/sites/icfb.rs.opf.slu.cz/files/kocisova.pdf
22. Kubiszewska, K. (2018). Interdependence of ratios in banking stability pentagon. Studia i Materiały, 28(2), 65-79. doi:10.7172/1733-9758.2018.28.6
23. Maliszewski, K. (2009, October). Measuring stability of the Polish financial system by means of a synthetic index. Paper presented at the 12th International Conference on Finance and Banking: Structural and Regional Impacts of Financial Crises. Czech Republic. Retrieved from https://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.508.1174&rep=rep1&type=pdf
24. Morris, V. (2010). Measuring and forecasting financial stability: The composition of an aggregate financial stability index for Jamaica. Bank of Jamaica, 6(2), 34–51. Retrieved From https://boj.org.jm/boj-publications/boj-publication-archive
25. Petrovska, M. and Mihajlovska, E. M. (2013). Measures of financial stability in Macedonia. Journal of Central Banking Theory and Practice, 2(3), 85–110. Retrieved From https://sciendo.com/journal/JCBTP
26. Pukhov, V. I. (2013). Formation of financial stability management system of commercial banks (Unpublished doctoral dissertation). State Management University, Moscow, Russia.
27. Rahman, Z. (2017). Financial soundness evaluation of selected commercial banks in Bangladesh: An application of bankometer model. Research Journal of Finance and Accounting, 8(2), 63–70. Retrieved From https://core.ac.uk/
28. Rashid, A. (2021). Financial soundness of single versus dual banking system: Explaining the role of Islamic banks. Portuguese Economic Journal, 20(1), 99-127. doi:10.1007/s10258-019-00171-2
29. Sanar, F. and Kara, M. (2016). Finansal istikrar kavramı ve Türkiye için finansal istikrar endeksi önerisi [The concept of financial stability and financial stability index for Turkey]. Ekonomik Yaklaşım, 27(101), 111-160. doi:10.5455/ey.35950
30. Sensoy, A., Özturk, K. and Hacihasanoglu, E. (2014). Constructing a financial fragility index for emerging countries. Finance Research Letters, 11(4), 410-419. doi:10.1016/j.frl.2014.07.007
31. Talibong, J. K. and Simiyu, E. M. (2019). Financial soundness indicators and financial performance of deposit taking micro finance banks in Kenya. African Journal of Emerging Issues, 1(11), 67–84. Retrieved From https://ajoeijournals.org
32. Varlık, N. and Varlık, S. (2016). Risk algısının Türkiye’de bankacılık sektörüne etkileri: Bankacılık sağlamlık endeksi ile bir değerlendirme [The effects of risk perception on banking sector in Turkey: An assessment with banking system soundness index]. Yönetim ve Ekonomi Dergisi, 23(2), 545–563. doi:10.18657/yecbu.20029