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AN EMPIRICAL ANALYSIS OF MACROECONOMIC AND BANK-SPECIFIC FACTORS AFFECTING LIQUIDITY OF BANKS: THE CASE OF TURKEY

Yıl 2018, Cilt 7, Sayı 14, 158 - 169, 05.01.2019

Öz

The aim of this study is to investigate macroeconomic and bank-specific factors affecting the level of liquidity of banks operating in Turkey for the period of 2005-2015. The empirical findings obtained from the study using panel data analysis techniques show that there is a positive and statistically significant association between the level of liquid assets held by banks and bank capital, asset quality and deposit level. On the other hand, The results also imply that there is an inverted U-shaped link between bank size and liquidity level. In terms of macroeconomic factors, economic growth, unemployment and global crisis variables are found to be negatively correlated with liquidity level. 

Kaynakça

  • AHMAD, Farooq ve Nadir RASOOL (2017), “Determinants of Bank Liquidity: Empirical Evidence from Listed Commercial Banks with SBP”, Journal of Economics and Sustainable Development, 8(1), 47-55.
  • AL-KHOURI, Ritab (2012), “Bank Characteristics and Liquidity Transformation: The Case of GCC Banks”, International Journal of Economics and Finance, 12, 114-120.
  • ALTAY, Erdinç (2014), Bankacılıkta Risk, İstanbul: Derin Yayınları.
  • ASPACH, Oriol, Erlend NIER ve Muriel TIESSET (2005), Liquidity, Banking Regulation and the Macroeconomy, Evidence on Bank Liquidity Holdings from a Panel of UK-Resident Banks, [Erişim Adresi: https://www.bis.org/bcbs/events/rtf05AspachsNierTiesset.pdf].
  • AYAYDIN, Hasan ve İbrahim KARAASLAN (2014), “Likidite Riski Yönetimi: Türk Bankacılık Sektörü Üzerine Bir Uygulama”, Gümüşhane Üniversitesi Sosyal Bilimler Elektronik Dergisi, Özel Sayı, 11, 237-256.
  • BELAID, Faiçal, Meryem BELLOUMA ve Abdelwahed OMRI (2016), “Determinants of Liquidity Risk: Evidence from Tunisian Banks”, International Journal of Emerging Research in Management &Technology, 5(6), 95-104.
  • BONNER, Clemens, Iman van LELYVELD ve Robert ZYMEK (2013), Banks’ Liquidity Buffers and the Role of Liquidity Regulation, DNB Working Paper, No: 393, [Erişim Adresi: https://www.dnb.nl/en/binaries/Working%20Paper%20393_tcm47-296774.pdf].
  • CHEN, I-Ju ve Nguyen Lan PHUONG (2013), The Determinants of Bank Liquidity Buffer, SSRN Electronic Journal, doi: 10.2139/ssrn.2313541, [Erişim Adresi: https://www.researchgate.net/publication/276255713_The_Determinants_of_Bank_Liquidity_Buffer].
  • CHİARAMONTE, Laura (2018), Bank Liquidity and the Global Financial Crisis: The Causes and Implications of Regulatory Reform. Switzerland: Palgrave Macmillan.
  • CUCINELLI, Doriana (2013), “The Determinants of Bank Liquidity Risk within the Context of Euro Area”, Interdisciplinary Journal of Research in Business, 10(2), 51-64.
  • ÇELİK, Sibel ve Yasemin D. AKARIM (2012), “Likidite Riski Yönetimi: Panel Veri Analizi ile İMKB Bankacılık Sektörü Üzerine Ampirik Bir Uygulama”, Eskişehir Osmangazi Üniversitesi Sosyal Bilimler Dergisi, 13(1), 1-17.
  • DELÉCHAT, Corinne, Camila HENAO, Priscilla MUTHOORA ve Svetlana VTYURINA (2012), The Determinants of Banks' Liquidity Buffers in Central America, IMF Working Paper, WP/12/301, [Erişim Adresi: https://www.imf.org/external/pubs/ft/wp/ 2012/wp12301.pdf].
  • DINGER, Valeriya (2009), “Do Foreign-Owned Banks Affect Banking System Liquidity Risk?”, Journal of Comparative Economics, 37, 647–57.
  • ELLİOTAND, Viktor ve Ted LİNDBLOM (2016), “Basel III, Liquidity Risk and Regulatory Arbitrage”, iç. Santiago C. VALVERDE, Pedro J. C. SOLAS ve Francisco R. FERNÁNDEZ (Ed.), Liquidity Risk, Efficiency and New Bank Business Models, UK: Palgrave Macmillan, 35-50.
  • HAZAR, Adalet ve Şenol BABUŞCU (2017), Banka Aktif Pasif Yönetimi, Ankara: Bankacılık Akademisi Yayınları.
  • IŞIK, Özcan ve Murat BELKE (2017), “Likidite Riskinin Belirleyicileri: Borsa İstanbul’a Kote Mevduat Bankalarından Kanıtlar”, Ekonomi, Politika & Finans Araştırmaları Dergisi, 2(2), 113-126.
  • IŞIL, Gökhan ve Nasıf ÖZKAN (2015), “İslami Bankalarda Likidite Riski Yönetimi: Türkiye’de Katılım Bankacılığı Üzerine Ampirik Bir Uygulama”, International Journal of Islamic Economics and Finance Studies, 1(2), 23-37.
  • LASTUVKOVA, Jana (2016), “Liquidity Determinants of the Selected Banking Sectors and Their Size Groups”, Acta Universitatis Agriculturaeet Silviculturae Mendelianae Brunensis, 64(3), 971-978.
  • LUCA, Florin A. ve Irina R. B. WITOWSCHI (2016), “Assesing the Determinants of Bank Liquidity. Case Study Romanian Banking System”, Management Intercultural, XVIII (35), 67-73.
  • LUCCHETTA, Marcella (2007), “What Do Data Say About Monetary Policy, Bank Liquidity and Bank Risk Taking?”, Economic Notes, 36(2), 189-203.
  • MOUSSA, Mohamed A. B. (2015), “The Determinants of Bank Liquidity: Case of Tunisia”, International Journal of Economics and Financial Issues, 5(1), 249-259.
  • MUNTEANU, Ionica (2012), “Bank Liquidity and its Determinants in Romania”, Emerging Market Queries in Finance and Business, 3, 993-998.
  • NGUYEN, My, Shrimal PERERA ve Michael SKULLY (2017), “Bank Market Power, Asset Liquidity and Funding Liquidity: International Evidence”, International Review of Financial Analysis, 54, 23-38.
  • SINGHN, Anamika ve Anil K. SHARMA (2016), “An Empirical Analysis of Macroeconomic and Bank-Specific Factors Affecting Liquidity of Indian Banks”, Future Business Journal, 2, 40–53.
  • UMAR, Muhammad ve Gang SUN (2016), “Determinants of Different Types of Bank Liquidity: Evidence from BRICS Countries”, China Finance Review International, 6(4), 380-403.
  • VODOVÁ, Pavla (2011), “Liquidity of Czech Commercial Banks and its Determinants”, International Journal of Mathematical Models and Methods in Applied Sciences, 6(5), 1060-1067.
  • VODOVA, Pavla (2013), “Determinants of Commercial Bank Liquidity in Hungary”, Financial Internet Quarterly, e-Finanse, 9(3), 64-71.
  • ZAGHDOUDİ, Khemais ve Abdelaziz HAKİMİ (2017), “The Determinants of Liquidity Risk: Evidence from Tunisian Banks”, Journal of Applied Finance and Banking, 7(2), 71-81.
  • ZENGİN, Sinemis ve Serhat YÜKSEL (2016), “Likidite Riskini Etkileyen Faktörler: Türk Bankacılık Sektörü Üzerine Bir İnceleme”, İstanbul Ticaret Üniversitesi Sosyal Bilimler Dergisi, 15(29), 77-95.

BANKALARIN LİKİDİTESİNİ ETKİLEYEN MAKROEKONOMİK VE BANKAYA ÖZGÜ FAKTÖRLERİN AMPİRİK ANALİZİ: TÜRKİYE ÖRNEĞİ

Yıl 2018, Cilt 7, Sayı 14, 158 - 169, 05.01.2019

Öz

Bu çalışmanın amacı, 2005-2015 döneminde Türkiye’de faaliyette bulunan bankalarının likidite düzeyini etkileyen makroekonomik ve bankaya özgü faktörlerin araştırılmasıdır. Panel veri analiz tekniklerinin kullanıldığı çalışmadan elde edilen ampirik bulgular, bankalar tarafından tutulan likit varlıkların düzeyi ile banka sermayesi, aktif kalitesi ve mevduat düzeyi arasında pozitif yönlü ve istatistiksel olarak anlamlı bir ilişki olduğunu göstermektedir. Bununla birlikte, banka büyüklüğü ile likidite düzeyi arasında ters-U şeklinde doğrusal olmayan bir ilişkinin varlığı tespit edilmiştir. Ayrıca makroekonomik faktörlerden ekonomik büyüme, işsizlik oranı ve küresel kriz değişkenlerinin bankaların likidite düzeyini negatif yönde etkiledikleri tespit edilmiştir.

Kaynakça

  • AHMAD, Farooq ve Nadir RASOOL (2017), “Determinants of Bank Liquidity: Empirical Evidence from Listed Commercial Banks with SBP”, Journal of Economics and Sustainable Development, 8(1), 47-55.
  • AL-KHOURI, Ritab (2012), “Bank Characteristics and Liquidity Transformation: The Case of GCC Banks”, International Journal of Economics and Finance, 12, 114-120.
  • ALTAY, Erdinç (2014), Bankacılıkta Risk, İstanbul: Derin Yayınları.
  • ASPACH, Oriol, Erlend NIER ve Muriel TIESSET (2005), Liquidity, Banking Regulation and the Macroeconomy, Evidence on Bank Liquidity Holdings from a Panel of UK-Resident Banks, [Erişim Adresi: https://www.bis.org/bcbs/events/rtf05AspachsNierTiesset.pdf].
  • AYAYDIN, Hasan ve İbrahim KARAASLAN (2014), “Likidite Riski Yönetimi: Türk Bankacılık Sektörü Üzerine Bir Uygulama”, Gümüşhane Üniversitesi Sosyal Bilimler Elektronik Dergisi, Özel Sayı, 11, 237-256.
  • BELAID, Faiçal, Meryem BELLOUMA ve Abdelwahed OMRI (2016), “Determinants of Liquidity Risk: Evidence from Tunisian Banks”, International Journal of Emerging Research in Management &Technology, 5(6), 95-104.
  • BONNER, Clemens, Iman van LELYVELD ve Robert ZYMEK (2013), Banks’ Liquidity Buffers and the Role of Liquidity Regulation, DNB Working Paper, No: 393, [Erişim Adresi: https://www.dnb.nl/en/binaries/Working%20Paper%20393_tcm47-296774.pdf].
  • CHEN, I-Ju ve Nguyen Lan PHUONG (2013), The Determinants of Bank Liquidity Buffer, SSRN Electronic Journal, doi: 10.2139/ssrn.2313541, [Erişim Adresi: https://www.researchgate.net/publication/276255713_The_Determinants_of_Bank_Liquidity_Buffer].
  • CHİARAMONTE, Laura (2018), Bank Liquidity and the Global Financial Crisis: The Causes and Implications of Regulatory Reform. Switzerland: Palgrave Macmillan.
  • CUCINELLI, Doriana (2013), “The Determinants of Bank Liquidity Risk within the Context of Euro Area”, Interdisciplinary Journal of Research in Business, 10(2), 51-64.
  • ÇELİK, Sibel ve Yasemin D. AKARIM (2012), “Likidite Riski Yönetimi: Panel Veri Analizi ile İMKB Bankacılık Sektörü Üzerine Ampirik Bir Uygulama”, Eskişehir Osmangazi Üniversitesi Sosyal Bilimler Dergisi, 13(1), 1-17.
  • DELÉCHAT, Corinne, Camila HENAO, Priscilla MUTHOORA ve Svetlana VTYURINA (2012), The Determinants of Banks' Liquidity Buffers in Central America, IMF Working Paper, WP/12/301, [Erişim Adresi: https://www.imf.org/external/pubs/ft/wp/ 2012/wp12301.pdf].
  • DINGER, Valeriya (2009), “Do Foreign-Owned Banks Affect Banking System Liquidity Risk?”, Journal of Comparative Economics, 37, 647–57.
  • ELLİOTAND, Viktor ve Ted LİNDBLOM (2016), “Basel III, Liquidity Risk and Regulatory Arbitrage”, iç. Santiago C. VALVERDE, Pedro J. C. SOLAS ve Francisco R. FERNÁNDEZ (Ed.), Liquidity Risk, Efficiency and New Bank Business Models, UK: Palgrave Macmillan, 35-50.
  • HAZAR, Adalet ve Şenol BABUŞCU (2017), Banka Aktif Pasif Yönetimi, Ankara: Bankacılık Akademisi Yayınları.
  • IŞIK, Özcan ve Murat BELKE (2017), “Likidite Riskinin Belirleyicileri: Borsa İstanbul’a Kote Mevduat Bankalarından Kanıtlar”, Ekonomi, Politika & Finans Araştırmaları Dergisi, 2(2), 113-126.
  • IŞIL, Gökhan ve Nasıf ÖZKAN (2015), “İslami Bankalarda Likidite Riski Yönetimi: Türkiye’de Katılım Bankacılığı Üzerine Ampirik Bir Uygulama”, International Journal of Islamic Economics and Finance Studies, 1(2), 23-37.
  • LASTUVKOVA, Jana (2016), “Liquidity Determinants of the Selected Banking Sectors and Their Size Groups”, Acta Universitatis Agriculturaeet Silviculturae Mendelianae Brunensis, 64(3), 971-978.
  • LUCA, Florin A. ve Irina R. B. WITOWSCHI (2016), “Assesing the Determinants of Bank Liquidity. Case Study Romanian Banking System”, Management Intercultural, XVIII (35), 67-73.
  • LUCCHETTA, Marcella (2007), “What Do Data Say About Monetary Policy, Bank Liquidity and Bank Risk Taking?”, Economic Notes, 36(2), 189-203.
  • MOUSSA, Mohamed A. B. (2015), “The Determinants of Bank Liquidity: Case of Tunisia”, International Journal of Economics and Financial Issues, 5(1), 249-259.
  • MUNTEANU, Ionica (2012), “Bank Liquidity and its Determinants in Romania”, Emerging Market Queries in Finance and Business, 3, 993-998.
  • NGUYEN, My, Shrimal PERERA ve Michael SKULLY (2017), “Bank Market Power, Asset Liquidity and Funding Liquidity: International Evidence”, International Review of Financial Analysis, 54, 23-38.
  • SINGHN, Anamika ve Anil K. SHARMA (2016), “An Empirical Analysis of Macroeconomic and Bank-Specific Factors Affecting Liquidity of Indian Banks”, Future Business Journal, 2, 40–53.
  • UMAR, Muhammad ve Gang SUN (2016), “Determinants of Different Types of Bank Liquidity: Evidence from BRICS Countries”, China Finance Review International, 6(4), 380-403.
  • VODOVÁ, Pavla (2011), “Liquidity of Czech Commercial Banks and its Determinants”, International Journal of Mathematical Models and Methods in Applied Sciences, 6(5), 1060-1067.
  • VODOVA, Pavla (2013), “Determinants of Commercial Bank Liquidity in Hungary”, Financial Internet Quarterly, e-Finanse, 9(3), 64-71.
  • ZAGHDOUDİ, Khemais ve Abdelaziz HAKİMİ (2017), “The Determinants of Liquidity Risk: Evidence from Tunisian Banks”, Journal of Applied Finance and Banking, 7(2), 71-81.
  • ZENGİN, Sinemis ve Serhat YÜKSEL (2016), “Likidite Riskini Etkileyen Faktörler: Türk Bankacılık Sektörü Üzerine Bir İnceleme”, İstanbul Ticaret Üniversitesi Sosyal Bilimler Dergisi, 15(29), 77-95.

Ayrıntılar

Birincil Dil Türkçe
Konular Sosyal
Bölüm Makaleler
Yazarlar

Ersan ERSOY
NEVŞEHİR HACI BEKTAŞ VELİ ÜNİVERSİTESİ, İKTİSADİ VE İDARİ BİLİMLER FAKÜLTESİ
0000-0003-4079-2834
Türkiye


Yüksel AYDIN
CUMHURİYET ÜNİVERSİTESİ, İKTİSADİ VE İDARİ BİLİMLER FAKÜLTESİ
0000-0001-8966-7781

Yayımlanma Tarihi 5 Ocak 2019
Yayınlandığı Sayı Yıl 2018, Cilt 7, Sayı 14

Kaynak Göster

APA Ersoy, E. & Aydın, Y. (2019). BANKALARIN LİKİDİTESİNİ ETKİLEYEN MAKROEKONOMİK VE BANKAYA ÖZGÜ FAKTÖRLERİN AMPİRİK ANALİZİ: TÜRKİYE ÖRNEĞİ . Global Journal of Economics and Business Studies , 7 (14) , 158-169 . Retrieved from https://dergipark.org.tr/tr/pub/gumusgjebs/issue/42269/482439