TÜRKİYE’DE PARA POLİTİKASININ RİSK ALMA KANALLARI VAR MI?

Year 2014, Volume: 36 Issue: 1, 55 - 67, 11.03.2015

Nejla Adanur Aklan , Hülya Kanalıcı Akay Mehmet Çınar

Abstract

Bu çalışma, Türkiye’deki 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.

Keywords

Para Politikası, Geri Dönmeyen Krediler, Risk Yüklemin Kanalı

IS THERE A RISK TAKING CHANNEL OF MONETARY POLICY IN TURKEY?

Abstract

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 shortterm 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

Keywords

Monetary Policy, Non-Performing Loans, Risk Taking Channel

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