LİKİDİTE RİSKİNİ ETKİLEYEN FAKTÖRLER: TÜRK BANKACILIK SEKTÖRÜ ÜZERİNE BİR İNCELEME

Bu çalışmanın amacı Türkiye'deki bankaların likidite riskini etkileyen faktörlerin belirlenmesidir. Bu bağlamda, 2015 yılı 3. çeyrek finansal raporlarına göre aktif büyüklüğü en yüksek olan 10 banka inceleme kapsamına alınmıştır. Ayrıca, söz konusu amaca ulaşabilmek için 2005-2014 dönem aralığındaki yıllık veriler logit modeli ile test edilmiştir. 12 adet bağımsız değişkenin kullanıldığı model sonuçlarına göre "sermaye yeterlilik oranı" ve "net faiz marjı" değişkenlerinin likidite riskini etkilediği belirlenmiştir. Bankaların sermaye yeterlilik oranının düşmesi ve net faiz marjının yükselmesi durumlarında daha fazla likidite riskine maruz kaldıkları sonucuna ulaşılmıştır. Belirtilen hususlar göz önünde bulundurulduğunda, Türkiye'deki bankaların likidite riskini etkin bir şekilde yönetebilmesi için sermaye miktarını arttırmaları gerektiği düşünülmektedir. Öte yandan, net faiz marjı yüksek olan bankaların da maruz kaldıkları likidite riskini göz önünde bulundurmaları ve bu riski yönetebilmek için gerekli tedbirleri almaları önerilmektedir.

THE INFLUENCING FACTORS OF LIQUIDITY RISK: AN ANALYSIS FOR TURKISH BANKING SECTOR

This study aims to define the influencing factor of liquidity risk for Turkish banks. Within this context, 10 banks, which have the highest amount of assets according to financial reports of 2015 September, were analyzed in this study. Moreover, the data for the period between 2005 and 2014 was tested by using logit model in order to achieve this objective. Out of 12 explanatory variables, it was determined that capital adequacy ratio and net interest margin affect liquidity risk. We reached a conclusion that decrease in capital adequacy ratio and increase in net interest margin lead to increase liquidity risk for the banks. Because of these results, it was thought that Turkish banks should increase their capital amount in order to manage liquidity risk effectively. Furthermore, banks, which have high net interest margin, should be careful about liquidity risk and take necessary actions so as to manage this risk.

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