BANKA HİSSELERİNİN ZAMANLA DEĞİŞEN TOPLAM RİSKİNİN SİSTEMATİK ve SİSTEMATİK OLMAYAN RİSK BİLEŞENLERİNE AYRILMASI: AR (p)-DCC-GARCH (p,q) MODELLİNE DAYALI BİR ANALİZ

Yıl 2018, Cilt: 3 Sayı: 1, 35 - 54, 31.08.2018

Önder Büberkökü

https://doi.org/10.21733/ibad.2167

Öz

Bu çalışmada
çoklu  Student t  dağılımı varsayımı altında  üç değişkenli  AR(p)-DCC-GARCH (1,1)   modeli
kullanılarak iki  büyük ölçekli mevduat
bankasının zamanla değişen toplam riski sistematik ve sistematik olmayan risk
bileşenlerine ayrılmıştır. İlgili risk türlerinin zamanla değişip
değişmediği  Bai ve Perron’un (1998,
2003) çoklu yapısal kırılmalı  testi ile
incelenmiştir. Ayrıca, incelenen dönem içerisinde yer alması nedeniyle,   2000 Kasım ve 2001 Şubat  krizleri ile 2007-2008 küresel finans
krizinin ABD ve Avrupa merkezli dönemlerinin risk bileşenleri  üzerindeki 
etkileri de incelenmiştir. Çalışma bulguları ilgili risk bileşenlerinin
zamanla değiştiği ve toplam riskin önemli bir kısmının (%73-76) sistematik risk
bileşeninden kaynaklandığını göstermektedir. Ayrıca, ilgili  bankaların toplam, sistematik ve sistematik
olmayan risk düzeyleri üzerinde  en çok 2000
Kasım ve 2001 Şubat kriz döneminin etkili olduğu ardından ise 2007-2008 küresel
 finans  krizinin ABD merkezli döneminin geldiği
anlaşılmaktadır. 2007-2008 küresel finans krizinin Avrupa merkezli döneminin
ise  ilgili risk türleri üzerinde pek bir
etkisi olmadığı  ifade edilebilir.

Anahtar Kelimeler

Toplam risk, sistematik risk, sistematik olmayan risk, DCC-GARCH modeli

Kaynakça

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