The Impact of the COVID-19 Pandemic on Systemic Risk in the Turkish Banking Sector: A Comparative Analysis Using MES

Yıl 2025, Sayı: 105, 97 - 120, 26.01.2025

Serkan Şengül

https://doi.org/10.25095/mufad.1565270

Öz

This study analyzes the systemic risk levels of the Turkish banking sector before and after the COVID-19 pandemic. Based on financial risk indicators such as MES MES (Marginal Expected Shortfall), conditional correlation and conditional volatility of six banks (Akbank, İşbank, Garanti BBVA, Yapı Kredi, Halkbank and Vakıfbank) listed on Borsa Istanbul between 2016 and 2023, the analysis reveals that the pandemic increased vulnerabilities in the sector. The results show that the expansionary policies implemented during the pandemic increased systemic risk in the long run despite meeting the short-term liquidity needs of banks. Moreover, sudden policy changes and uncertainties regarding central bank independence in Turkey in the post-pandemic period weakened financial stability. The study emphasizes the strategic importance of financial regulation in Turkey to develop a more resilient banking structure in times of crisis.

Anahtar Kelimeler

Systemic Risk, COVID-19, Bankacılık, Marjinal Beklenen Açık, Finansal Kriz

COVID-19 Pandemisinin Türkiye Bankacılık Sektöründeki Sistemik Risk Üzerine Etkileri: MES Analizi ile Karşılaştırmalı Bir İnceleme

Öz

Bu çalışma, Türkiye'deki bankacılık sektörünün COVID-19 pandemisi öncesi (2016-2019) ve sonrası (2020-2023) dönemlerdeki sistemik risk düzeylerini karşılaştırmalı olarak incelemektedir. Çalışmada, Borsa İstanbul'a kote olmuş büyük bankalar (Akbank, İş Bankası, Garanti BBVA, Yapı Kredi, Halkbank ve Vakıfbank) ele alınmış, Marjinal Beklenen Açık (MES) gibi finansal risk göstergeleri üzerinden analiz yapılmıştır. Pandemi dönemi, bankaların sistemik riske olan katkılarında önemli değişikliklere neden olmuş, özellikle kaldıraç ve sermaye yapılarının risk üzerindeki etkisi vurgulanmıştır. Sonuçlar, pandeminin bankaların sistemik risk seviyelerini önemli ölçüde artırdığını ve finansal piyasaların pandemi sonrası toparlanma sürecinde dalgalı bir risk profili sergilediğini ortaya koymaktadır. Çalışma, Türkiye bankacılık sektöründeki bu değişimlerin düzenleyici reformlar ve politika yapıcılar açısından gelecekte atılacak adımlar için önemli ipuçları sunduğunu göstermektedir.

Anahtar Kelimeler

Sistemik Risk, COVID-19, Bankacılık, Marjinal Beklenen Açık, Finansal Kriz

Kaynakça

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