Mehmet ÇINAR, Nejla AKLAN ADANUR, Hülya AKAY KANALICI

Is there a risk taking channel of monetary policy in Turkey?

Bu çalışma, Türkiyedeki bankacılık verilerini kullanarak, para politikası duruşunun bankaların bireysel kredi verme risk düzeyleri üzerinde etkisi olup olmadığını araştırmaktadır. Bankaların 2003q1-2012q3 çeyrek yıllık dönemi verileri kullanılarak dinamik panel veri modeli tahmin edilmiştir. Buna göre kısa vadeli faiz oranlarındaki değişim ile bankaların risk yüklemimleri arasında pozitif bir ilişki vardır. Bu sonuçlar kısa vadeli faiz oranlarında bir düşüş olduğunda bankaların geri dönmeyen portföyleri üzerinde olumlu etkisi olduğunu ortaya koymaktadır. Ancak, gösterge oranının altına düşen faizler ve bankaların risk yüklenimleri arasında negatif ilişki bulunmuştur. Bu etkinin büyüklüğü, büyük ölçekli ve likidite seviyesi yüksek bankalarda düşüktür. Bu sonuçlara göre, 2003q1-2012q3 döneminde Türk bankacılık sisteminde düşük faiz oranları bankaların risk yüklenimlerini etkilediği sonucuna varılmıştır. Bu sonuçlar, para politikası geliştirilmesi ve yürütülmesi için önemlidir. Bu çalışma, risk yüklenim kanalı üzerine gelişmekte olan bir piyasa çerçevesinde ele almaktadır. Ayrıca çalışmada ilgili dönem için gösterge faiz oranı Taylor kuralı çerçevesinde tahmin edilmiştir.

Türkiye de para politikasının risk alma kanalları var mı?

This paper uses data of the Turkish banking sector to investigate whether the stance of monetary policy has an impact on the level of risk of individual bank loans. Using bank level quarterly data over the period 2003q1-2012q3 a dynamic panel data model is estimated. There is a positive relationship between the changes in short- term interest rates and banks risk taking. This result reflects that a decrease in short term interest rates has a positive impact on the loan portfolio via outstanding loans. However, negative relationship was found between the interest rate falling below benchmark rate and the risk taking by banks. The magnitude of this effect decreases in the large scale and high liquidity level of the banks. According to these results, it was concluded that low interest rates in Turkish banking system affects risk taking of the banks in the period of 2003q1-2012q3. These results are important for developing and conducting monetary policy. This study adds to the literature on risk-taking channel by providing evidence from an emerging market. Moreover, benchmark rate obtained by estimating Taylor rule for the above-mentioned period.

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