Bankacılık krizleri ve erken uyarı sistemleri: Türk bankacılık sektörü için bir model önerisi

Bu çalışma Türkiye’de olası bankacılık krizlerini öngörmekte kullanılabilecek bir erken uyarı modeli geliştirilmesini hedeflemektedir. Bankacılık krizleri konusunda yapılmış çok sayıda deneysel çalışmanın bulguları ışığında, Türkiye’ye özgü bir model geliştirilmiştir. Sözkonusu model doğrusal ve parametrik olmayan bir tahmin yöntemi olan MARS (multivariate adaptive regression splines) ile tahmin edilmiştir. Tahmin sonuçları istatistik anlamlılık ve açıklama gücü açılarından son derece başarılıdır. Bulgular, Türkiye’de banka krizlerinin büyükoranda dış kaynaklı değişkenlerden ileri geldiğini göstermektedir. Bu bağlamda, sistemik finansal krizlerin, döviz açık pozisyonunun ve ihracatın ithalatı karşılama oranı önemli etkenler olduğu gözlenmiştir. Ayrıca, sermaye yeterliliği, faiz riski, piyasa riski gibi etkenlerin de önemli olduğu belirlenmiştir.

Banking crises and early warning systems:A model suggestion for Turkish banking sector

This study aims to evolve a model used in foreseeing possible banking crises in Turkey. In the light of many empirical studies’ findings, a specific model for Turkey is developed. This model is estimated by using multivariate adaptive regression splines (MARS) which is anon-linear and non-parametric estimation method. Estimation results show that significance and explanation levels of model are strongly high. According to model’s findings, banking crises can be predominantly attributed to external factors. Systemic financial crises, exchange rate open position, and terms of trade are observed to be main determinants.Besides these factors, the study shows that capital adequacy, interest rate risk, and marketrisk are the other important factors.

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