LİKİDİTE RİSKİNİN BELİRLEYİCİLERİ: BORSA İSTANBUL’A KOTE MEVDUAT BANKALARINDAN KANITLAR

Öz

Bu çalışmanın amacı, Türk bankacılık sektöründe faaliyet gösteren ticari bankaların likidite riskinin belirleyicilerini incelenmektir. Bu amaçla çalışmada, Borsa İstanbul'da işlem gören 13 ticari bankaya ait 2006-2015 dönemi için banka düzeyindeki veriler kullanılmıştır. Panel veri analizlerine dayalı ampirik bulgular, bankaların likidite riskinde meydana gelen değişimleri açıklamada bankaya özgü (banka büyüklüğü, özkaynak kârlılığı, banka sermayesi, mevduattaki büyüme, kredi kayıpları karşılığı) ve makroekonomik belirleyicilerin  (ekonomik büyüme ve enflasyon oranı gibi) önemli olduğunu göstermektedir. Daha açık şekilde ifade edilirse, özkaynak kârlılığı, banka sermayesi, mevduattaki büyüme, kredi kayıpları karşılığı ve enflasyon oranı gibi değişkenler likidite riskiyle negatif ve anlamlı olarak ilişkiliyken, banka büyüklüğü ve ekonomik büyüme gibi değişkenler likidite riskiyle pozitif ve anlamlı olarak ilişkilidir. Ayrıca sonuçlar, küresel finansal kriz ve net faiz marjı gibi değişkenlerin ticari bankaların likidite riski üzerinde önemli bir etkisi olmadığını göstermektedir.

Anahtar Kelimeler

• Likidite Riski,Panel Veri Analizi,Ticari Bankalar,BİST,Turkey

The Determinants of Liquidity Risk: Evidence From Banks Traded on Borsa Istanbul

Öz

The aim of this study is to analyze the determinants of liquidity risk of commercial banks operating in the banking industry in Turkey. For this purpose we employ bank-level data for 13 commercial banks quoted in Borsa Istanbul over the period 2006 to 2015. Empirical findings based on panel data analysis indicate that bank-specific determinants (i.e. bank size, return on equity, bank capital, deposit growth rate, loan loss provisions) and macroeconomic determinants (i.e. economic growth and inflation rate) are significant determinants in explaining changes in liquidity risk of commercial banks. More specifically, return on equity, bank capital, deposit growth, loan loss provisions, and inflation rate are negatively and significantly associated with liquidity risk, whereas bank size and economic growth are positively and significantly related to liquidity risk. Moreover, our results also suggest that the variables such as global financial crisis and net interest margins do not have any significant impact on commercial banks’ liquidity risk.

Anahtar Kelimeler

• Liquidity Risk,Panel Data Analysis,Commercial Banks,BIST,Turkey

Kaynakça

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