LİKİDİTE RİSKİNİN BELİRLEYİCİLERİ: BORSA İSTANBUL’A KOTE MEVDUAT BANKALARINDAN KANITLAR

Year 2017, Volume: 2 Issue: 2, 113 - 126, 29.12.2017

Özcan Işık , Murat Belke

https://doi.org/10.30784/epfad.354458

Cited By: 6

Abstract

Bu
çalışmanın amacı, Türk bankacılık sektöründe faaliyet gösteren ticari
bankaların likidite riskinin belirleyicilerini incelenmektir. Bu amaçla
çalışmada, Borsa İstanbul'da işlem gören 13 ticari bankaya ait 2006-2015 dönemi
için banka düzeyindeki veriler kullanılmıştır. Panel veri analizlerine dayalı
ampirik bulgular, bankaların likidite riskinde meydana gelen değişimleri
açıklamada bankaya özgü (banka büyüklüğü, özkaynak kârlılığı, banka sermayesi,
mevduattaki büyüme, kredi kayıpları karşılığı) ve makroekonomik
belirleyicilerin  (ekonomik büyüme ve
enflasyon oranı gibi) önemli olduğunu göstermektedir. Daha açık şekilde ifade
edilirse, özkaynak kârlılığı, banka sermayesi, mevduattaki büyüme, kredi
kayıpları karşılığı ve enflasyon oranı gibi değişkenler likidite riskiyle
negatif ve anlamlı olarak ilişkiliyken, banka büyüklüğü ve ekonomik büyüme gibi
değişkenler likidite riskiyle pozitif ve anlamlı olarak ilişkilidir. Ayrıca
sonuçlar, küresel finansal kriz ve net faiz marjı gibi değişkenlerin ticari
bankaların likidite riski üzerinde önemli bir etkisi olmadığını göstermektedir.

Keywords

Likidite Riski, Panel Veri Analizi, Ticari Bankalar, BİST, Turkey

The Determinants of Liquidity Risk: Evidence From Banks Traded on Borsa Istanbul

Abstract

The aim of this study is to analyze the
determinants of liquidity risk of commercial banks operating in the banking
industry in Turkey. For this purpose we employ bank-level data for 13
commercial banks quoted in Borsa Istanbul over the period 2006 to 2015.
Empirical findings based on panel data analysis indicate that bank-specific
determinants (i.e. bank size, return on equity, bank capital, deposit growth
rate, loan loss provisions) and macroeconomic determinants (i.e. economic
growth and inflation rate) are significant determinants in explaining changes
in liquidity risk of commercial banks. More specifically, return on equity,
bank capital, deposit growth, loan loss provisions, and inflation rate are
negatively and significantly associated with liquidity risk, whereas bank size
and economic growth are positively and significantly related to liquidity risk.
Moreover, our results also suggest that the variables such as global financial
crisis and net interest margins do not have any significant impact on commercial
banks’ liquidity risk.

Keywords

Liquidity Risk, Panel Data Analysis, Commercial Banks, BIST, Turkey

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