The Effects of Risk Perception on Banking Sector in Turkey: An Assessment with Banking System Soundness Index

Year 2016, Volume: 23 Issue: 2, 545 - 563, 25.08.2016

Nimet Varlık , Serdar Varlık

https://doi.org/10.18657/yecbu.20029

Cited By: 4

Abstract

In this study, covering the period of January 2004-June 2015 for Turkish economy, the effects of risk perception towards to Turkey on banking soundness index (BSI), which is constituted with Principal Component Analysis (PCA) method are investigated by using Vector Autoregression (VAR) model. According to the findings of impulse-response analyses, when is given one standard deviation positive shock to global risk appetite, sovereign risk premium, global risk premium and Turkish lira reference interest rate, BSI responses by declining. Furthermore, BSI responses to one standard deviation positive shock in stock market performance index by increasing. Variance decomposition of BSI shows that changes in banking sector soundness are substantially explained
by sovereign risk premium except itself. Our findings put forward that increase in risk perception related with external dominance affects the balance sheet structure of banking system in a negative way. Moreover, findings indicate that increase in financial asset prices expands the balance sheet of banking system. 

Keywords

Banking Soundness Index, External Dominance, Risk Perception

Risk Algısının Türkiye’de Bankacılık Sektörüne Etkileri: Bankacılık Sağlamlık Endeksi İle Bir Değerlendirme(The Effects of Risk Perception on Banking Sector in Turkey: An Assessment with Banking System Soundness Index)

Abstract

Türkiye ekonomisi için 2004M1-2015M6 dönemini kapsayan bu çalışmada, Türkiye’ye yönelik risk algısının Temel Bileşenler Analizi (Principal Component Analysis; PCA) yöntemi ile oluşturulan bankacılık sağlamlık endeksi (BSI) üzerindeki etkileri Vector Autoregression (VAR) modeli kullanılarak incelenmektedir. Etki-tepki fonksiyonlarının bulgularına göre küresel risk iştahına, ülke risk primine, küresel risk primine ve Türk lirası referans faiz oranına verilen bir standart sapma pozitif şoka BSI düşerek tepki vermektedir. Ayrıca, BSI borsa performans endeksindeki bir standart sapma pozitif şoka yükselerek tepki vermektedir. BSI’nın varyans ayrıştırması, bankacılık sektörünün sağlamlığındaki değişimlerin, kendisi dışında, büyük ölçüde ülke risk primi tarafından açıklandığını göstermektedir. Bulgularımız, dışsal baskınlık problemiyle ilişkili olan risk algısındaki artışın bankacılık sisteminin bilanço yapısını olumsuz yönde etkilediğini ortaya koymaktadır. Bununla birlikte bulgular, finansal varlık fiyatlarındaki artışın bankacılık sisteminin bilançosunu genişlettiğine işaret etmektedir. 

Keywords

Bankacılık Sağlamlık Endeksi, Dışsal Baskınlık, Risk Algısı

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