TÜRKİYE BANKACILIK SEKTÖRÜNDE YURTDIŞI KREDİ YÜKÜMLÜLÜĞÜ, DÖVİZ KURU VE KÂRLILIK

2003 1. Çeyrek ile 2016 3. Çeyrek arasındaki dönemi dinamik panel modeliyle incelediğimiz bu çalışmada, yurtdışı bankacılık sektörü kredi yükümlülüğü ile döviz kurunun Türkiye bankacılık sektörü kârlılığını nasıl etkilediğini analiz etmekteyiz. Farklı örneklem ve model spesifikasyonları kullanarak gerçekleştirdiğimiz çalışmada, genel olarak bankacılık sektörü yurtdışı kredi girişleriyle kârlılık arasında anlamlı ve pozitif bir ilişki elde ettik. Özellikle, uzun vadeli yurtdışı kredi yükümlülüklerinin kısa vadelilere kıyasla kârlılık göstergeleri üzerinde daha fazla etkiye sahip olduğunu ortaya koyduk. Döviz kuru ve kredi yükümlülükleri değişkenlerini birlikte kullandığımız modelimizde döviz kurunun özsermaye ve aktif kârlılık üzerinde anlamlı ve negatif, net faiz marjı üzerinde ise anlamsız bir etkiye sahip olduğu sonucunu elde ettik. Tüm örneklem ile kıyaslandığında özel bankaların yurtdışı kredi yükümlülüklerinden daha fazla etkilendiği de yaptığımız çalışmanın diğer bir ampirik bulgusudur. Konuyla ilgili mevcut çalışmaların bankacılık sektörü kârlılığını sermaye girişleri ve vade uyumsuzluğu üzerinden incelediklerini düşündüğümüzde, bu makale gelişmekte olan ülkeler yazınında anlamlı bir boşluğu dolduracaktır.

CROSS-BORDER LOAN LIABILITY, THE EXCHANGE RATE AND PROFITABILITY IN THE TURKISH BANKING SECTOR

We examine how the cross border banking loan liabilities (syndication and securitization loans) andthe exchange rate affect the Turkish banking industry profitability using a balanced panel data for theperiod 2003Q1-2016Q3. We study with different subsamples and model specifications. Overall, we findthat the banking sector financial inflows are positively associated with bank profitability. Specifically, theresults show that the banking sector cross border inflows have significant and positive impact on returnon assets (ROA), return on equity (ROE) and on net interest margin (NIM). The long-term inflowsplay a more important role than the short-term inflows in explaining profitability in all specificationswhile short-term inflows have no any significant effect on these profitability indicators. Moreover, weshow that the exchange rate has significant and negative impact on ROA and ROE and has insignificanteffect on NIM. Our findings are more notable in private banks compared to the whole sample. Giventhe fact that the existing studies examine the banking profitability through aggregate capital inflowsand maturity mismatch, this study will fill a meaningful gap in emerging market literature.

PDF

___

AGENOR, P. R., McDermott, C. J., & Üçer, M. (1997). Fiscal imbalances, capital inflows, and the real exchange rate: the case of Turkey. European Economic Review, 41(3), 819-825.
AKCELİK, Y., Basci, E., Ermisoglu, E., & Oduncu, A. (2013). The Turkish approach to capital flow volatility. Central Bank of the Republic of Turkey Working Paper, (13/06).
ALPER, K., Kara, H., & Yörükoğlu, M. (2013). Alternative tools to manage capital flow volatility. BIS Paper, (73z).
ARELLANO, M., & Bond, S. (1991). Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations. The review of economic studies, 58(2), 277-297.
ARELLANO, M., & Bover, O. (1995). Another look at the instrumental variable estimation of errorcomponents models. Journal of econometrics, 68(1), 29-51.
AYDIN, B., & Igan, D. (2012). Bank lending in Turkey: Effects of monetary and fiscal policies. Emerging Markets Finance and Trade, 48(5), 78-104.
AYSAN, A. F., Fendoglu, S., & Kilinc, M. (2014). Managing short-term capital flows in new central banking: unconventional monetary policy framework in Turkey. Eurasian Economic Review, 4(1), 45-69.
AYSUN, U. (2012). Capital flows, maturity mismatches, and profitability in emerging markets: evidence from bank level data. The Journal of Developing Areas, 46(1), 211-239.
BALTAGI, B. H. (2008). Forecasting with Panel Data. Journal of Forecasting, 27, p. 153- 173.
BIKKER, J. A., & Haaf, K. (2002). Competition, concentration and their relationship: An empirical analysis of the banking industry. Journal of Banking & Finance, 26(11), 2191-2214.
BLUNDELL, R.W. and Bond, S.R. (1998). Initial Conditions and Moment Restrictions in Dynamic Panel Data Models. Journal of Econometrics, 87: 115-143.
BRONER, F., Didier, T., Erce, A., & Schmukler, S. L. (2013). Gross capital flows: Dynamics and crises. Journal of Monetary Economics, 60(1), 113-133.
BRUNO, V., & Shin, H. S. (2014). Cross-Border Banking and Global Liquidity*.The Review of Economic Studies, rdu042.
CABALLERO, J. A. (2014). Do surges in international capital inflows influence the likelihood of banking crises?. The Economic Journal. October 2014, p.281-290.
CALVO, G. A., Leiderman, L., & Reinhart, C. M. (1994). The capital inflows problem: Concepts and issues. Contemporary Economic Policy, 12(3), 54-66.
CALVO, G. A., Leiderman, L., & Reinhart, C. M. (1996). Inflows of Capital to Developing Countries in the 1990s. The Journal of Economic Perspectives, 123-139.
CBRT, Financial Stability Report, November 2015.
CRAGG, J. G., and Donald, S.G. (1993). Testing identifiability and Specification in Instrumental Variables Models. Econometric Theory, 9: 222–240.
DAVIDSON, R. and MacKinnon, J.G. (1993). Estimation and Inference in Econometrics. Oxford:Oxford University Press.
GREENE, W. H. (2008). Econometric Analysis. Granite Hill Publishers.
HANSEN, L. P. (1982). Large sample properties of generalized method of moments estimators. Econometrica: Journal of the Econometric Society, 1029-1054.
HERRMANN, S., & Mihaljek, D. (2010). The determinants of cross-border bank flows to emerging markets: new empirical evidence on the spread of financial crises.
KLEIBERGEN, F., & Paap, R. (2006). Generalized reduced rank tests using the singular value decomposition. Journal of econometrics, 133(1), 97-126.
MENDOZA, E. G., & Terrones, M. E. (2008). An anatomy of credit booms: evidence from macro aggregates and micro data (No. w14049). National Bureau of Economic Research.
MERCAN, M., Reisman, A., Yolalan, R., & Emel, A. B. (2003). The effect of scale and mode of ownership on the financial performance of the Turkish banking sector: results of a DEA-based analysis. Socio- Economic Planning Sciences, 37(3), 185-202.
MISHKIN, F. S. (2009). Why we shouldn’t turn our backs on financial globalization. IMF Staff Papers, 139-170.
OZSUCA, E. A., & Akbostanci, E. (2015). An Empirical Analysis of the Risk Taking Channel of Monetary Policy in Turkey. Emerging Markets Finance and Trade, ,1-21.
SCHAFFER, M. E. (2012). xtivreg2: Stata module to perform extended IV/2SLS, GMM and AC/HAC, LIML and k-class regression for panel data models.Statistical Software Components.
STOCK, J. H., & Yogo, M. (2002). Testıng For Weak Instruments In Linear Iv Regression. National Bureau Of Economic Research, Working Paper No: 284.
REINHART, C. M., & Rogoff, K. (2009). This time is different: eight centuries of financial folly. Princeton University Press.
REINHART, C., & Calvo, G. (2000). When capital inflows come to a sudden stop: Consequences and policy options. , Munich Personal RePEc Archive, 2000, No: 6982.
YENTÜRK, N. (1999). SHORT‐TERM CAPITAL INFLOWS AND THEIR IMPACT ON MACROECONOMIC STRUCTURE: TURKEY IN THE 1990s.The Developing Economies, 37(1), 89-113.
WOOLDRIDGE, J. M. (2010). Econometric analysis of cross section and panel data. MIT press.