Ani Duruşların ve Uluslararası Rezervlerin Banka Kredileri Üzerine Etkileri: Türkiye Örneği

Bu çalışma, bankacılık temelli bir ekonomi olan Türkiye’de, ani duruşların ve uluslararası rezervlerin banka kredileri üzerindeki etkilerini araştırmaktadır. Çalışmada 2003-2013 döneminde Türkiye’de faaliyet gösteren mevduat bankalarından oluşan bir panel veri seti kullanılmaktadır. Sistem Genelleştirilmiş Momentler Yöntemi kullanılarak, sermaye girişlerindeki ani duruşun bankaların kredi verme kararlarını olumsuz etkilediği bulunmuştur. Bunun yanı sıra, Merkez Bankası tarafından daha fazla uluslararası rezervin tutulmasının ani duruş dönemlerinde bir tampon görevi gördüğü ve banka kredilerindeki azalışı önlediği bulgusuna ulaşılmıştır. Bir diğer ilgi çekici sonuç ise yüksek likiditenin ve yüksek mevduat oranının ani duruş dönemlerinde bankaları kredi verme yönünde teşvik ettiği ancak yüksek sermaye oranının olumsuz etki yarattığıdır. Çalışmadan elde edilen tüm sonuçlar dikkate alındığında, kırılgan ekonomik yapılara sahip benzer yükselen piyasa ekonomileri için önemli çıkarımlar elde edilmesi beklenmektedir.

Anahtar Kelimeler:

Ani duruşlar, uluslararası rezervler, banka kredileri, dinamik panel veri, Türk bankacılık sektörü

Impact of Sudden Stops and International Reserves on Bank Lending: Evidence From Turkey

This paper investigates the effects of sudden stops and international reserves on bank lending in a bank-based emerging market economy, Turkey. It includes a panel of deposit banks in Turkey over the period 2003-2013. Using a system GMM estimation technique, we find that sudden stop of capital inflows has led to deterioration in bank lending. Moreover, the results reveal that over the sudden stop periods higher international reserves held by the Central Bank have served as a buffer and prevented decline in bank lending. Another striking feature of the findings is that higher liquidity and higher deposit ratio have encouraged bank lending over the sudden stop periods whereas higher capitalization ratio placed a reverse impact on bank lending. Overall, we expect that the results provide important implications for similar emerging market economies which have fragile economic structures.

Keywords:

Sudden stops, international reserves, bank loans, dynamic panel data, Turkish banking industry,

PDF

___

Admati A.R., P.M. DeMarzo, M.Hellwig, P. Pfleiderer (2011), Fallacies, Irrelevant Facts, and Myths in the Discussion of Capital Regulation: Why Bank Equity is Not Expensive, Rock Center for Corporate Governance at Stanford University Working Paper No. 86 ; Stanford Graduate School of Business Research Paper, No. 2065.
Alper, K., T. Hulagu, T. Keles (2012), An Empirical Study on Liquidity and Bank Lending, Central Bank of the Republic of Turkey, Working Paper, 12/04.
Anderson, T., C. Hsiao (1981), “Estimation of Dynamic Models with Error Components”, Journal of the American Statistical Association, 76, 598-606.
Anderson, T., C. Hsiao (1982), “Formulation and Estimation of Dynamic Model Using Panel Data”, Journal of Econometrics, 18, 47-82.
Arellano, M., S. Bond (1991), “Some Test of Specification for Panel Data: Monte Carlo Evidence and Application to Employment Equations”, Review of Economic Studies, 58, 277–297.
Arellano, M., S. Bover (1995), “Another Look at the Instrumental Variable Estimation of Error- Component Models”, Journal of Econometrics, 68, 29–51.
Becker, T., B. Mauro (2006), Output Drops and the Shocks That Matter, IMF Working Paper, WP/06/172.
Blundell, R., S. Bond (1998), “Initial Conditions and Moment Restrictions in Dynamic Panel Data Models”, Journal of Econometrics, 87, 115–143.
Blundell, R., S.Bond and F. Windmeijer (2000), Estimation in Dynamic Panel Data Models: Improving on the Performance of the Standard GMM Estimator, IFS Working Papers, W00/12, Institute for Fiscal Studies.
Bordo, M.D., A. Cavallo, C. Meissner (2010), “ Sudden Stops: Determinants and Output Effects in the First Era of Globalization, 1880-1913”, Journal of Development Economics, 91(2), 227-241.
Brei, M. (2007), “The Impact of Sudden Stops on Bank Lending” Social and Economic Studies”, Sir Arthur Lewis Institute of Social and Economic Studies 56 (4), 21-45.
Calderón, C., M. Kubota (2013),"Sudden Stops: Are Global and Local Investors Alike?", Journal of International Economics, 89(1), 122-142.
Calvo, G., A. Izquierdo, L. Meija (2004), On the Empirics of Sudden Stops: The Relevance of Balance Sheet Effects, NBER Working Paper Series, No. 10520
Cardarelli, R., S. Elekdag, and S. Lall (2009), Financial Stress, Downturns and Recoveries, IMF Working Paper, WP/09/100.
Cerra, V., U. Panizza, S.C. Saxena (2013), “International Evidence on Recovery form Recessions”, Contemporary Economic Policy, 31(2), 424-439.
Eichengreen, B., M. Mussa, G. Dell’Ariccia, E. Detragiache, G.M. Milesi-Ferretti, A. Tweedie (1999), “Some Analytical Issues” IMF Economic Issues, No. 17.
Frankel, J.A., E.A. Cavallo (2004), Does Openness to Trade Make Countries More Vulnerable to Sudden Stops, Or Less? Using Gravity to Establish Causality, NBER Working Paper, No. 10957.
Fukuda, S., Y. Kon (2010), Macroeconomic Impacts of Foreign Exchange Reserve Accumulation: Theory and International Evidence, ADBI Working Paper 197, Tokyo: Asian Development Bank Institute.
Gibson, H., N. Tsaveas, T. Vlassopoulos (2006), “Capital Flows, Capital Account Liberalisation and Mediterranean Countries” Bank of Greece, Working Paper, No. 33.
Goldfajn, I. (2001), “Roundtable Comments on Monetary and Regulatory Policy”, Domestic Finance and Global Capital in Latin America Conference, Federal Reserve Bank of Atlanta.
Griliches, Z., J.A. Hausman (1986), “Errors in Variables in Panel Data”, Journal of Econometrics, 31, 93-118.
Holtz-Eakin, D., W. Newey, H.S. Rosen (1988), “Estimating Vector Autoregressions with Panel Data”, Econometrica, 56, 1371-1395.
Jeanne, O. (2007), “International Reserves in Emerging Market Countries: Too Much of a Good Thing?”, Brookings Papers on Economic Activity, 38(1), 1-80.
Joyce, J., M. Nabar (2009), "Sudden Stops, Banking Crises and Investment Collapses in Emerging Markets", Journal of Development Economics, 90(2), 314-322.
Kashyap, A.K., J.C. Stein, S.G. Hanson (2010), “An Analysis of the Impact of “Substantially Heightened” Capital Requirements on Large Financial Institutions” University of Chicago, Harvard University. Mimeo.
Lin, M. (2011), “Foreign Reserves and Economic Growth: Granger Causality Analysis with Panel Data”, Economics Bulletin, 31(2), 1563-1575.
Mohanty, M.S., P. Turner (2006), “Foreign Exchange Reserve Accumulation in Emerging Markets: What are the Domestic Implications?”, BIS Quarterly Review, 2006 (September), 39-52.
Neagu, F., I. Mihai (2013), Sudden Stop of Capital Flows and the Consequences fro the Banking Sector and the Real Economy, European Central Bank Working Paper Series, No. 1591.
Rodrik, D. (2006), “The Social Cost of Foreign Exchange Reserves”, International Economic Journal, 20, 253-266.
Shrestha, P.K. (2012), “Banking Systems, Central Banks and International Reserve Accumulation in East Asian Economies”, Economics: The Open-Access, Open-Assessment E-Journal, 7, 2013-14. http://dx.doi.org/10.5018/economics-ejournal.ja.2013-14.
Togan, S., H. Berument (2011), “Cari İşlemeler Dengesi, Sermaye Hareketleri ve Krediler”, Bankacılar Dergisi, 78, 3-21.