Türkiye İçin Bankacılık Sağlamlık Endeksi: Temel Bileşen Analizi Yaklaşımı

Yıl 2021, , 845 - 861, 30.12.2021

Furkan Yıldırım

https://doi.org/10.30784/epfad.991688

Cited By: 1

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

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