AKTİF ÇEŞİTLENDİRMESİNİN BANKA RİSKİNE ETKİSİ -TÜRKİYE ÖRNEĞİ

Yıl 2022, Cilt: 11 Sayı: 21, 94 - 108, 29.06.2022

Bade Ekim Kocaman

Öz

Çalışmanın amacı aktif çeşitlendirmesinin banka riski üzerine etkisinin incelenmesidir. Çeşitlendirme stratejileri ile banka performansı arasındaki ilişki uzun süredir değerlendirilmektedir. Ancak, aktif çeşitlendirmesi ile banka riski arasındaki ilişki ile ilgili fikir birliğine varılamamıştır. Aktif çeşitlendirmesinin banka riski üzerinde olumlu veya olumsuz bir etkisi olduğu konusu belirsizliğini korumaktadır. Çeşitlendirme ile ilgili karşıt görüşler, Markowitz (1952) modern portföy teorisi ve Jensen (1986) vekâlet teorisine dayanmaktadır. Modern portföy teorisine paralel olarak, geleneksel bankacılık teorisi varlıklar arasında negatif korelasyon olması durumunda çeşitlendirmenin risk açısından bankalara faydalı olduğunu ifade etmektedir. Buna karşın, vekalet teorisi vekalet maliyetleri nedeniyle çeşitlendirme stratejilerinin yararlı olmadığını savunmaktadır. Banka çeşitlendirmesi ölçümü olarak Laeven and Levine (2007) aktif çeşitlendirmesi formülü kullanılmıştır. Banka riski ise kredi riski bağlamında ele alınmıştır. Türk Bankacılık Sektörü’nde faaliyet gösteren ilk 10 bankanın 2010-2020 arası çeyreklik verileri kullanılarak yapılan havuzlanmış EKK sonuçlarına göre aktif çeşitlendirmesi ile risk arasında vekâlet teorisini destekleyen ve geleneksel bankacılık teorisi ile çelişen pozitif yönlü bir ilişki tespit edilmiştir. Çeşitlendirmenin banka riski açısından avantajlı olmadığı sonucuna ulaşılabilir. Analiz sonucu Türkiye’deki ve diğer gelişmekte olan ülkelerdeki düzenleyici kurumlara ve banka yöneticilerine yol gösterici olabilir.

Anahtar Kelimeler

Banka riski, Aktif Çeşitlendirmesi, Mevduat bankaları, Türk Bankacılık Sektörü

THE EFFECT OF ASSET DIVERSIFICATION ON BANK RISK – EVIDENCE FROM TURKEY

Öz

The main purpose of the paper is to investigate the effect of asset diversification on bank risk. The relationship between diversification strategies and bank risk has been evaluated for a long time. However, there is no consensus about the relationship between asset diversification and bank risk so far. It remains inconclusive whether asset diversification has a positive or negative effect on bank risk. The opposing arguments about diversification are based on Markowitz (1952) modern portfolio theory and Jensen (1986) agency theory. In line with the modern portfolio theory, traditional banking theory suggests that if there is negative correlation between assets diversification is beneficial for banks in terms of risk. In contrast, agency theory argue that diversification strategy is not beneficial because of agency costs. As a measure for bank diversification Laeven and Levine (2007) asset diversification formula is used. Bank risk is discussed in the context of credit risk. Using quarterly data of top 10 Turkish deposit banks from 2010 to 2020, pooled OLS regression results suggest that relationship between asset diversification and risk is positive which supports agency theory and contradicts with traditional banking theory. It can be concluded that diversification is not advantageous in terms of bank risk. This analysis may provide guiding for regulators and bank managers in Turkey as well as in other developing economies.

Anahtar Kelimeler

Bank risk, Asset diversification, Deposit banks, Turkish Banking Sector

Kaynakça

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