GETİRİ EĞRİSİ BANKA KÂRLILIĞINI NASIL ETKİLER? DİNAMİK PANEL VERİ ANALİZİ BULGULARI

Bu çalışmanın amacı bankaların kârlılığı ile getiri eğrisi arasındaki ilişkiyi incelemektir. Farklı büyüklükteki bankalar üzerinden analizler yapılarak ölçek büyüklüğüne göre bankaların getiri eğrisine verdiği tepkiler araştırılmaktadır. Analiz, Türk bankacılık sektöründe faaliyet gösteren 26 mevduat bankasını ve 2005- 2017 dönemine ait yıllık verileri kapsamaktadır. Çalışmada getiri eğrisi Nelson-Siegel yaklaşımı ile tahminlenirken, bankaların kârlılık göstergesini temsilen net faiz marjı değişkeni kullanılmıştır. Ampirik bulgular ise sistem GMM yaklaşımı ile tahmin edilmiştir. Elde edilen bulgular, getiri eğrisinin eğimi ile bankaların kâr marjı arasında pozitif bir ilişkin olduğunu göstermektedir. Buna göre faiz oranlarının vade yapısı ile bankaların kâr marjının aynı yönde hareket ettiği söylenebilir. Küçük ölçekli bankalarda ise net faiz marjı ile getiri eğrisinin eğimi arasında istatistiksel olarak anlamlı bir ilişki bulunmamaktadır.

HOW DOES YIELD CURVE AFFECT BANK PROFITABILITY? EVIDENCE FROM DYNAMIC PANEL DATA ANALYSIS

The aim of this study is to analyze the relationship between the profitability of banks and the yield curve. By analyzing the banks of different sizes, the responses of the banks to the yield curve according to the scale size are investigated. The analysis includes 26 deposit banks operating in the Turkish banking sector and annual data for the period 2005-2017. In the study, while the yield curve is estimated with the Nelson-Siegel approach, the net interest margin variable is used to represent the profitability indicator of banks. Empirical findings were estimated by the system GMM approach. The findings show that there is a positive relationship between the slope of the yield curve and the profit margin of the banks. Accordingly, it can be said that the term structure of interest rates and the profit margin of the banks move in the same direction. In small-scale banks, there is no statistically significant relationship between the net interest margin and the slope of the yield curve.

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