Kredi Portföy KalitesininBelirleyicileri ve Makro-FinansalBağlantıların Rolü

Year 2016, Issue: 616, 49 - 60, 01.06.2016

K. Batu Tunay

Abstract

Çalışmada ticari bankaların kredi portföylerinin kalitesi analiz edilmekte, kredi kalitesini belirleyen değişkenler araştırılmaktadır. Türkiye’de faaliyet gösteren 27 ticari bankanın 2004-2014 dönemi verileri dinamik panel veri modelleriyle analiz edilmiştir. Analizlerde Arellano-Bond ve ABBB gibi alternatif tahminciler kullanılmıştır. Elde edilen bulgular, banka kredilerinin kalitesinin makro-finansal değişkenler kadar, sektördeki rekabet ve banka temelli değişkenlerin de fonksiyonu olduğunu göstermektedir. Ekonomik ve finansal şokların kredi kalitesini düşürerek banka sistemini zaafa uğratacak kırılganlıklara yol açabileceği belirlenmiştir. Eksik rekabet koşullarının geçerli olduğu sektörde kamu bankaları ve yabancı bankaların kredi kalitesini geliştirdikleri gözlenmiştir. Kredileri ve/veya karlılığı yönlendiren banka temelli değişkenlerin de kredi kalitesini önemli oranda etkiledikleri görülmüştür.

Keywords

Ticari bankacılık, kredi kalitesi, makro-finansal bağlar, dinamik panel veri modelleri

The Determinants of Loan Portfolio Quality and the Role of Macro-Financial Linkages

Abstract

In this study, loan portfolio quality of commercial banks and the variables determining the credit quality are studied. The data of 27 commercial banks operating in Turkey during 2004-2014 period have been analyzed by dynamic panel data models. Alternative estimators such as Arellano-Bond and ABBB are used in the analysis. The findings show that bank loan quality is function of both the competition in banking sector and the individual factors as well as macro-financial linkages. We have determined that economic and financial shocks can lead to fragilities weakening the banking system by reducing the quality of the loans. In the banking sector where we have conditions of imperfect competition, we have observed that state banks and foreign banks improve the loan quality. Also we have that bank based variables driving loans and/or profitability affect significantly the quality of loans

Keywords

Commercial banking, loan quality, macro-financial linkages, dynamic panel data models

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