RİSK GÖSTERGELERİNİN SENDİKASYON KREDİLERİNE ETKİLERİ: ASİMETRİ VE FREKANS BOYUTUNDA ANALİZ

Çalışmada Türk bankacılık sektörü tarafından alınan sendikasyon kredileri ile küresel ve yerel risk göstergeleri arasındaki ilişkilerinin asimetri ve frekans boyutunda belirlenmesi amaçlanmıştır. Bu amaç doğrultusunda 2018 Kasım -2019 Temmuz tarihleri arasında Türk bankacılık sektörü tarafından alınan toplam sendikasyon kredileri ile global ekonomik belirsizlik endeksi, VIX endeksi, Libor, Türkiye 5 yıllık CDS primi, Türkiye jeopolitik risk endeksi ve BIST Bankacılık sektörü endeks oynaklığı arasındaki ilişkiler geleneksel, asimetrik ve asimetrik frekans nedensellik testleri ile analiz edilmiştir. Uygulanan testler sonucunda sendikasyon kredileri ile ele alınan tüm risk göstergeleri arasında nedensellik ilişkisi tespit edilmiştir. Sonuçlar, tespit edilen ilişkilerin hem farklı frekanslarda hem de farklı asimetrik boyutlarda olduğunu göstermektedir.

EFFECTS OF RISK INDICATORS ON SYNDICATED LOANS: ANALYSIS ON THE BASIS OF ASYMMETRY AND FREQUENCY DIMENSION

In the study, it is aimed to determine the relationships between the syndicated loans received by Turkish banking sector and global and local risk indicators on asymmetry and frequency dimension. In line with this purpose, the relationships between the total syndicated loans and global economic policy index, VIX index, Libor, Turkish 5-year CDS premium, Turkish geopolitical risk index and BIST banking sector index volatility are analyzed by traditional, asymmetric and frequency domain asymmetric causality tests. According to the test results there are causality relationships between syndicated loans and all of the selected risk indicators. Findings indicate that the determined relationships are at difference frequencies and dimensions.

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