BİLANÇO DIŞI İŞLEMLER İLE KARLILIK VE MAKROEKONOMİK DEĞİŞKENLER ARASINDAKİ İLİŞKİNİN MARS METODU İLE BELİRLENMESİ
Abstract
Bu çalışmanın amacı Bankacılık bilanço dışı işlemleri ile makroekonomik değişkeneler arasındaki ilişkinin belirlenmesi oluşturmaktadır. Bu amaçla Bilanço dışı işlemler çalışmada bağımlı değişken olarak kullanılmış olup, toplam aktifler, öz sermaye büyüklüğü ve karlılık bilanço içi bağımsız değişkenler olarak belirlenmiştir. Çalışmada analiz yöntemi olarak bağımlı ve bağımsız değişken arasında fonksiyonel ilişkiye dair varsayımda bulunan ve parametrik olmayan Çok Değişkenli Adaptif Regresyon Uzanımları (Multivariate Adaptive Regression Splines; MARS) metodu kullanılmıştır. Çalışma sonucunda değişkenlere ait tüm P olasılık değerlerinin her birinin 0,01 değerinden düşük olduğu ve anlamlı olduğu görülmektedir. Modelin tümünün anlamlı olduğu ise Fistatistik değeri 88,97833 ve anlamlılığının 0,00 olduğundan anlaşılmaktadır. R kare %87 çıkmış olup bağımsız değişkenlerin bağımlı değişkeni açıklama gücünün yüksek olduğunu göstermektedir. Modelde yedi adet temel fonksiyon olup, bilanço dışı işlemlere Özsermaye büyüklüğü, aktif toplamı, karlılık, döviz kuru ve toplam zorunlu karşılıkların bir etkisi olduğu görülmüştür. Modele göre aktif değişkenin aldığı tüm değerlerde Bilanço dışı işlemlere etki ettiği görülmektedir. Yine modele yakından bakıldığında, özsermaye değişkeninin 1,378 değerinden büyük değerlerde, döviz kuru değişkeninin 1256,33 değerinden daha büyük değerlerde, toplam zorunlu karşılıklar değişkeninin ise 4,69932 değerinden daha büyük değerlerinde Bilanço dışı işlemlerin büyüklüğünü belirlemede etkili oldukları görülmektedir.
Keywords
References
- Aktan, B., Gee, C. S., Žiković, S., and Evrim-Mandaci, P. (2013). Off-balance sheet activities impact on commercial banks performance: An emerging market perspective, Economic research-Ekonomska istraživanja, 26(3), 117-132.
- Altan, M. (2004). Türkiye’de banka gruplarının bilanço dışı işlemleri ve bu işlemlerin bankaların karlılık, sermaye yeterliliği, aktif kalitesi ve likiditesi üzerinde yarattığı etki. Sosyal Ekonomik Araştırmalar Dergisi, 4(7), 19-37.
- Anbar, A., ve Alper, D. (2011). Bankaların türev ürün kullanım yoğunluğunu etkileyen faktörlerin belirlenmesi, Muhasebe ve Finansman Dergisi, (50), 77-94.
- Angbazo, L. (1997). Commercial bank net interest margins, default risk, interestrate risk, and off-balance sheet banking, Journal of Banking & Finance, 21(1), 55-87.
- Aydın, A. (2000). Bilanço dışı işlemler, Bankacılık Dergisi, 34(01). BDKK. (2018). Türk bankacılık sektörü temel göstergeleri, Erişim Adresi: https://www.bddk.org.tr/ContentBddk/dokuman/veri_0014_38.pdf. 14.02.20202 tarihinde erişim sağlandı.
- Casu, B., and Girardone, C. (2005). An analysis of the relevance of off-balance sheet items in explaining productivity change in European banking. Applied Financial Economics, 15(15), 1053-1061.
- Chalmers, I., Bracken, M. B., Djulbegovic, B., Garattini, S., Grant, J., Gülmezoglu, A. M., ... & Oliver, S. (2014). How to increase value and reduce waste when research priorities are set. The Lancet, 383(9912), 156-165.
- Craven, P. ve Wahba, G. (1978). Smoothing Noisy Data with Spline Functions. Numerische Mathematik, 31(4), 377-403.
- Friedman, J. H. (1991). Multivariate Adaptive Regression Splines. The Annals of Statistics, 19(1), 1-67. http://doi:10.1214/aos/1176347963.
- Friedman, J. H., and Roosen, C. B. (1995). An introduction to multivariate adaptive regression splines, Statistical Methods in Medical Research https://doi.org/10.1177/096228029500400303
- Güçver. C. (2015). Türk bankacılık sisteminde türev ürün kullanımı ile bankaya özgü değişkenler ve makro ekonomik değişkenler arasındaki ilişki. İstanbul Ticaret Üniversitesi diş ticaret enstitüsü working paper series Tartışma Metinleri WPS NO/ 08 / 2015-10.
- Jagtiani, J., Saunders, A., and Udell, G. (1995). The effect of bank capital requirements on bank off-balance sheet financial innovations. Journal of Banking & Finance, 19(3-4), 647-658.
- Kartal, M. Depren, S. K. ve Depren, Ö. (2018). Türkiye’de döviz kurlarını etkileyen makroekonomik göstergelerin belirlenmesi: MARS yöntemi ile bir inceleme. MANAS Sosyal Araştırmalar Dergisi, 7(1), 209-229.
- Khasawneh, A. Y., and Hassan, M. K. (2009). The risks of off-balance sheet derivatives in US commercial banks. Networks Financial Institute Working Paper.
- Mayordomo, S., Rodriguez-Moreno, M. and Peña, J. I. (2014). Derivatives Holdings and Systemic Risk in the US Banking Sector, Journal of Banking & Finance, 45, 84-104.
- Nacar, S. Kankal, M., ve Hınıs, M. A. (2018). Çok değişkenli uyarlanabilir regresyon eğrileri (çdure) ile günlük akarsu akımlarının tahmini-Haldizen deresi örneği, Gümüşhane Üniversitesi Fen Bilimleri Enstitüsü Dergisi, 8(1), 38-47.
- Rogers, K., and Sinkey Jr, J. F. (1999). An analysis of nontraditional activities at US commercial banks. Review of Financial Economics, 8(1), 25-39.
- Selimler, H. and Kale, S. (2012). Türk bankacılık sektöründe bilanço dışı işlemlerin risk ve karlılık açısından değerlendirilmesi, Marmara Üniversitesi İ.İ.B. Dergisi, 33(2), 173-204.
- Shiu, Y. and Moles, P. (2010), What Motivates Banks to Use Derivatives: Evidence from Taiwan, The Journal of Derivatives, Vol. 17, No. 4, pp. 67-78.
- Shiu, Y. ve Moles, P. (2010). What Motivates Banks to Use Derivatives: Evidence from Taiwan, The Journal of Derivatives, 17, 67-78.
- Simons, Katerina (1995). Interest Rate Derivatives and Asset-Liability Management by Commercial Banks, New England Economic Review, (02),17-28. Sinkey Jr, J. F., and Carter, D. A. (2000). Evidence on the financial characteristics of banks that do and do not use derivatives. The Quarterly Review of Economics and Finance, 40(4), 431-449.
- Turgutlu, E. (2014). Dynamics of profitability in the Turkish banking industry. Ege Akademik Bakış Dergisi, 14(1), 43-52.
- Yenice, S. ve Tanrıöven, C. (2014). Bankaların türev araç kullanımlarının risklilik ve karlılık üzerine etkisi – Türkiye örneği. Gazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 3, 25-46.
DETERMINATION OF THE RELATIONSHIP BETWEEN OFFBALANCE SHEET AND PROFITABILITY AND MACROECONOMIC VARIABLES BY MARS METHOD
Abstract
The aim of this study is to determine the relationship between banking off-balance sheet
transactions and macroeconomic variables. For this purpose, off-balance sheet transactions were used
as dependent variables in the study, and total assets, equity size and profitability were determined as
on-balance sheet independent variables. The non-parametric Multivariate Adaptive Regression
Splines (MARS) method, which assumes the functional relationship between dependent and
independent variables, was used as the analysis method in the study. As a result of the study, it is seen
that all P probability values of the variables are lower than 0.01 and are significant. It is understood
that the whole of the model is significant because the F-statistic value is 88.97833 and its significance
is 0.0000. R squared is 87%, indicating that the independent variables have high explanatory power
for the dependent variable. There are seven basic functions in the model, and it was observed that the
size of equity, total assets, profitability, exchange rate and total required reserves have an effect on
off-balance sheet transactions. According to the model, it is seen that the active variable affects the
off-balance sheet transactions in all values it receives. Again, when the model is examined closely, it
is seen that the equity variable is effective in determining the size of off-balance sheet transactions at
values greater than 1,378, the exchange rate variable with values greater than 1256.33, and the total
reserve requirement variables greater than 4,69932.
References
- Aktan, B., Gee, C. S., Žiković, S., and Evrim-Mandaci, P. (2013). Off-balance sheet activities impact on commercial banks performance: An emerging market perspective, Economic research-Ekonomska istraživanja, 26(3), 117-132.
- Altan, M. (2004). Türkiye’de banka gruplarının bilanço dışı işlemleri ve bu işlemlerin bankaların karlılık, sermaye yeterliliği, aktif kalitesi ve likiditesi üzerinde yarattığı etki. Sosyal Ekonomik Araştırmalar Dergisi, 4(7), 19-37.
- Anbar, A., ve Alper, D. (2011). Bankaların türev ürün kullanım yoğunluğunu etkileyen faktörlerin belirlenmesi, Muhasebe ve Finansman Dergisi, (50), 77-94.
- Angbazo, L. (1997). Commercial bank net interest margins, default risk, interestrate risk, and off-balance sheet banking, Journal of Banking & Finance, 21(1), 55-87.
- Aydın, A. (2000). Bilanço dışı işlemler, Bankacılık Dergisi, 34(01). BDKK. (2018). Türk bankacılık sektörü temel göstergeleri, Erişim Adresi: https://www.bddk.org.tr/ContentBddk/dokuman/veri_0014_38.pdf. 14.02.20202 tarihinde erişim sağlandı.
- Casu, B., and Girardone, C. (2005). An analysis of the relevance of off-balance sheet items in explaining productivity change in European banking. Applied Financial Economics, 15(15), 1053-1061.
- Chalmers, I., Bracken, M. B., Djulbegovic, B., Garattini, S., Grant, J., Gülmezoglu, A. M., ... & Oliver, S. (2014). How to increase value and reduce waste when research priorities are set. The Lancet, 383(9912), 156-165.
- Craven, P. ve Wahba, G. (1978). Smoothing Noisy Data with Spline Functions. Numerische Mathematik, 31(4), 377-403.
- Friedman, J. H. (1991). Multivariate Adaptive Regression Splines. The Annals of Statistics, 19(1), 1-67. http://doi:10.1214/aos/1176347963.
- Friedman, J. H., and Roosen, C. B. (1995). An introduction to multivariate adaptive regression splines, Statistical Methods in Medical Research https://doi.org/10.1177/096228029500400303
- Güçver. C. (2015). Türk bankacılık sisteminde türev ürün kullanımı ile bankaya özgü değişkenler ve makro ekonomik değişkenler arasındaki ilişki. İstanbul Ticaret Üniversitesi diş ticaret enstitüsü working paper series Tartışma Metinleri WPS NO/ 08 / 2015-10.
- Jagtiani, J., Saunders, A., and Udell, G. (1995). The effect of bank capital requirements on bank off-balance sheet financial innovations. Journal of Banking & Finance, 19(3-4), 647-658.
- Kartal, M. Depren, S. K. ve Depren, Ö. (2018). Türkiye’de döviz kurlarını etkileyen makroekonomik göstergelerin belirlenmesi: MARS yöntemi ile bir inceleme. MANAS Sosyal Araştırmalar Dergisi, 7(1), 209-229.
- Khasawneh, A. Y., and Hassan, M. K. (2009). The risks of off-balance sheet derivatives in US commercial banks. Networks Financial Institute Working Paper.
- Mayordomo, S., Rodriguez-Moreno, M. and Peña, J. I. (2014). Derivatives Holdings and Systemic Risk in the US Banking Sector, Journal of Banking & Finance, 45, 84-104.
- Nacar, S. Kankal, M., ve Hınıs, M. A. (2018). Çok değişkenli uyarlanabilir regresyon eğrileri (çdure) ile günlük akarsu akımlarının tahmini-Haldizen deresi örneği, Gümüşhane Üniversitesi Fen Bilimleri Enstitüsü Dergisi, 8(1), 38-47.
- Rogers, K., and Sinkey Jr, J. F. (1999). An analysis of nontraditional activities at US commercial banks. Review of Financial Economics, 8(1), 25-39.
- Selimler, H. and Kale, S. (2012). Türk bankacılık sektöründe bilanço dışı işlemlerin risk ve karlılık açısından değerlendirilmesi, Marmara Üniversitesi İ.İ.B. Dergisi, 33(2), 173-204.
- Shiu, Y. and Moles, P. (2010), What Motivates Banks to Use Derivatives: Evidence from Taiwan, The Journal of Derivatives, Vol. 17, No. 4, pp. 67-78.
- Shiu, Y. ve Moles, P. (2010). What Motivates Banks to Use Derivatives: Evidence from Taiwan, The Journal of Derivatives, 17, 67-78.
- Simons, Katerina (1995). Interest Rate Derivatives and Asset-Liability Management by Commercial Banks, New England Economic Review, (02),17-28. Sinkey Jr, J. F., and Carter, D. A. (2000). Evidence on the financial characteristics of banks that do and do not use derivatives. The Quarterly Review of Economics and Finance, 40(4), 431-449.
- Turgutlu, E. (2014). Dynamics of profitability in the Turkish banking industry. Ege Akademik Bakış Dergisi, 14(1), 43-52.
- Yenice, S. ve Tanrıöven, C. (2014). Bankaların türev araç kullanımlarının risklilik ve karlılık üzerine etkisi – Türkiye örneği. Gazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 3, 25-46.
Details
| Primary Language | Turkish |
|---|---|
| Journal Section | Makaleler |
| Authors | |
| Publication Date | December 25, 2020 |
| Published in Issue | Year 2020 Issue: 1 - 19th International Business Congress Special Issue |
Cited By
The Effect of Derivative Product Use on Market Value: An Application in the Banking Sector
BDDK Bankacılık ve Finansal Piyasalar Dergisi
https://doi.org/10.46520/bddkdergisi.1178339
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