AN EXAMINATION OF THE RELATIONSHIP BETWEEN BANKING SECTOR PROFITABILITY AND ECONOMIC POLICY UNCERTAINTY USING PANEL DATA ANALYSIS

Year 2025, Volume: 6 Issue: 1, 44 - 74

Harun Reşit Gürçay , Murat Akbalık

https://doi.org/10.57085/ufebud.1623618

Abstract

This study investigates the impact of increased economic policy uncertainty following the 2008 global financial crisis on the profitability of the banking industry. The study employs the panel data analysis technique, encompassing a sample of 25 nations and a time period spanning from 2008 to 2021. In the study, the Economic Policy Uncertainty (EPU) index developed by Baker, Bloom and Davis (2015) was used as the main independent variable, while net interest margin (NIM), return on assets (ROA) and return on equity (ROE) were considered as indicators of bank profitability. In addition, the World Uncertainty Index (WUI) and Credit Default Swap (CDS) were included in the model as control variables. Methodologically, Westerlund cointegration test, Mean Group (MG) and Fully Modified Ordinary Least Square (FMOLS) estimators were used. The analysis results reveal that there is a long-term and significant relationship between EPU and bank profitability indicators. The findings show that the increase in economic policy uncertainty generally negatively affects bank profitability. In particular, increases in EPU are found to have a statistically significant and negative effect on ROA and ROE. This work contributes to the literature on understanding the effects of economic policy uncertainty on the financial system, with crucial implications for policymakers. The results highlight the importance of reducing economic policy uncertainty for financial stability and suggest new perspectives for future research.

Keywords

Uncertainty, Economic Policy Uncertainty, Bank Profitability, Panel Data Analysis, Cointegration

BANKACILIK SEKTÖRÜNÜN KARLILIĞI VE EKONOMİK POLİTİKA BELİRSİZLİĞİ İLİŞKİSİNİN PANEL VERİ ANALİZİ İLE İNCELENMESİ

Abstract

Bu çalışma, 2008 küresel finansal krizi sonrasında artan ekonomik politika belirsizliğinin bankacılık sektörünün karlılığı üzerindeki etkilerini incelemektedir. Araştırma, 25 ülkeyi kapsayan ve 2008-2021 yılları arasındaki dönemi içeren panel veri analizi yöntemini kullanmaktadır. Çalışmada, Baker, Bloom ve Davis (2015) tarafından geliştirilen Ekonomik Politika Belirsizliği (EPU) endeksi temel bağımsız değişken olarak kullanılırken, banka karlılığının göstergeleri olarak net faiz marjı (NIM), aktif karlılık (ROA) ve özkaynak karlılığı (ROE) ele alınmıştır. Ayrıca, Dünya Belirsizlik Endeksi (WUI) ve Kredi Temerrüt Takası (CDS) kontrol değişkenleri olarak modele dâhil edilmiştir. Metodolojik olarak, Pedroni eşbütünleşme testi, Mean Group (MG) ve Fully Modified Ordinary Least Square (FMOLS) tahmincileri kullanılmıştır. Analiz sonuçları, EPU ile banka karlılık göstergeleri arasında uzun dönemli ve anlamlı bir ilişki olduğunu ortaya koymaktadır. Bulgular, ekonomik politika belirsizliğindeki artışın banka karlılığını genel olarak negatif etkilediğini göstermektedir. Özellikle, EPU'daki artışların ROA ve ROE üzerinde istatistiksel olarak anlamlı ve negatif bir etkisi olduğu tespit edilmiştir. Bu çalışma, ekonomik politika belirsizliğinin finansal sistem üzerindeki etkilerini anlamaya yönelik literatüre katkı sağlamakta ve politika yapıcılar için önemli çıkarımlar sunmaktadır. Sonuçlar, ekonomik politika belirsizliğinin azaltılmasının finansal istikrar için önemini vurgulamakta ve gelecekteki araştırmalar için yeni perspektifler önermektedir.

Keywords

Belirsizlik, Ekonomik Politika Belirsizliği, Banka Karlılığı, Panel Veri Analizi, Eş Bütünleşme.

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