DETERMINANTS OF BANK CAPITAL STRUCTURE AND PROCYCLICALITY OF LEVERAGE: AN EMPIRICAL ANALYSIS FROM TURKEY
Öz
This paper investigates the determinants of bank capital structure and procyclical behavior of leverage. A panel data analysis is developed to find out the relation between different type of leverage ratios and asset growth of banks. Furthermore, possible impacts of bank specific and macroeconomic variables on the bank capital structure are discussed. The paper concludes that Turkish banks’ leverage is procyclical, which is the outcome of a positive relation between asset growth and leverage. The procyclical leverage could contribute to higher instability in the financial sector and the overall economy. Therefore, further regulations are assumed to be necessary. Size, profit, number of banks, inflation, exchange rate and gross domestic product are the factors that affect Turkish banks’ capital structure.
This paper investigates the determinants of bank
capital structure and procyclical behavior of leverage. A panel data analysis
is developed to find out the relation between different type of leverage ratios
and asset growth of banks. Furthermore, possible impacts of bank specific and
macroeconomic variables on the bank capital structure are discussed. The paper
concludes that Turkish banks’ leverage is procyclical, which is the outcome of a
positive relation between asset growth and leverage. The procyclical leverage
could contribute to higher instability in the financial sector and the overall
economy. Therefore, further regulations are assumed to be necessary. Size,
profit, number of banks, inflation, exchange rate and gross domestic product
are the factors that affect Turkish banks’ capital structure.
Anahtar Kelimeler
Kaynakça
- Allen, L., Delong, G., Saunders, A. (2004). Issues in the credit risk modeling of retail markets. Journal of Banking & Finance, 28, 727–752. doi: 10.1016/j.jbankfin.2003.10.004 Athanasoglou, P.P. & Daniilidis, I. (2011). Procyclicality in the banking industry: causes, consequences and response. Bank of Greece Working Paper, 139. Baglioni, A., Beccalli, E. Boitani, A. & Monticini, A. (2013). Is the leverage of European banks procyclical?. Empirical Economics, 45(3), 1251–1266. doi: 10.1007/s00181-012-0655-4 Bank For International Settlements 80th Annual Report (2009). Bank For International Settlements 84th Annual Report (2014). Behn, M., Haselmann, R. & Wachtel, P. (2016). Procyclical capital regulation and lending. Journal of Finance, 71(2), 919-956. doi: 10.1111/jofi.12368 Binici, M. & Köksal, B. (2012). Is the leverage of Turkish banks procyclical?”, Central Bank Review, 12(2), 11-24. Borio, C., Furfine, C., Lowe, P. (2001). Procyclicality of the financial system and financial stability: issues and policy options. Marrying The Macro- and Micro-Prudential Dimensions of Financial Stability, BIS Papers, 01, 1-57. Cesaroni, T. (2015). Procyclicality of credit rating systems: how to manage it. Bank of Italy Working Papers, No 109. Covas, F. & Fujita, S. (2010). Procyclicality of capital requirements in a general equilibrium model of liquidity dependence. International Journal of Central Banking, 6(4), 137-173. Craig, C. S., Davis, E. P., Pascual, A. G. (2004). Procyclicality of financial systems in Asia”, In Procyclicality of financial systems in Asia. (Eds.) Gerlach S. & Gruenwald P., Springer, 55-123. Çalışkan, A. (2012). Leverage behavior of Turkish banks: how did they escape the global crisis?. İktisat, İşletme ve Finans, 26, 75-104. Demirgüç-Kunt, A. & Detragiache, E. (1998). The determinants of banking crisis in developing and developed countries. IMF Staff Papers, 45(1), 81-109. doi: 10.2307/3867330. D'hulster, K. (2009). The leverage ratio: a new binding limit on banks. World Bank Crisis Response Note, No. 11. Gambera, M. (2000). Simple forecasts of bank loan quality in the business cycle. Emerging Issues Series / Supervision and Regulation Dept., Federal Reserve Bank of Chicago, S&R200-3. Grigore, M.Z. & Duicu, V.M.Ş. (2013). Agency theory and optimal capital structure. International Conference: CKS - Challenges of The Knowledge, 862-868. Gropp, R. & Heider, F. (2007). The determinants of bank capital Structure”. European Central Bank Working Paper, No. 1096. Hardouvelis, G.A. (2010). Actions for a less procyclical financial system. Eurobank Research, Economy and Markets, 5(5), 1-33. Harris, M. & Raviv, A. (1991) The theory of capital structure. Journal of Finance, 4681), 297-355. doi: 10.2307/2328697. Jensen, M.C. & Meckling, W. H. (1970) .Theory of the firm: managerial behavior, agency costs and ownership structure”. Journal of Financial Economics, 3(4), 305- 360. Kalemli- Ozcan, S., Sorensen, B. & Yesiltas, S. (2012). Leverage across firms, banks, and countries. Journal of International Economics, 88(2), 284-298. doi: 10.3386/w17354 Kaminsky, G.L. Reinhart, C.M. & Vegh, C.A. (2004) When it rains, it pours: procyclical capital flows and macroeconomic policies. NBER Working Paper Series, WP 10780. doi: 10.3386/w10780. Kraus, A. & Litzenberger, R. H. (1973). A state-preference model of optimal financial leverage. Journal of Finance, 28(4), 911-922. Köksal, B. & Orman, C. (2014). Determinants of capital structure: evidence from a major developing economy. Central Bank of Turkey Working Paper, WP 14/26. Laux, C. & Rauter, T. (2017). Procyclicality of U.S. bank leverage. Journal of Accounting Research, 43-93. Lowe, P. & Stevens, G. (2006). Procyclical financial behavior: what can be done?. In Procyclicality of financial systems in Asia. (Eds) Gerlach S. & Gruenwald P., Springer, 137-160. Myers, S. C. (1984). The capital structure puzzle. Journal of Finance, 39(3), 574- 592. Myers, S. C. & Majluf, N. (1984). Corporate financing and investment decisions when firms have information investors do not have”. NBER Working Paper Series, WP 1396. Nijathaworn, B. (2009). Rethinking procyclicality – what is it now and what can be done?. BIS/Financial Stability Institute-Executives’ Meeting of East Asia-Pacific Central Banks High Level Meeting On “Lessons Learned From The Financial Crisis- An International And Asian Perspective”, Tokyo, 30 November 2009. Ozkan, A. (2001). Determinants of capital structure and adjustment to long run target: evidence from UK company panel data”, Journal of Business Finance & Accounting, 28, 175- 198. doi: 10.1111/1468-5957.00370 Salas, V. & Saurina, J. (2002). Credit risk in two institutional regimes: Spanish commercial and savings banks. Journal of Financial Services Research, 22(3), 203–224. doi: 10.1023/A:1019781109676. Sayilgan, G., Karabacak, H. & Küçükkocaoğlu, G. (2006). The firm-specific determinants of corporate capital structure: evidence from Turkish panel data”, Investment Management and Financial Innovations, 3, 125- 137.
Öz
Bu çalışma banka sermaye yapısının belirleyicilerini ve kaldıraç oranının döngüsel davranışını incelemektedir. Farklı tipteki kaldıraç oranları ile bankaların aktif büyümesi arasındaki ilişkiyi bulmak için bir panel veri analizi geliştirilmiştir. Ayrıca, bankaya özgü faktörlerin ve makroekonomik değişkenlerin banka sermaye yapısına olası etkileri de tartışılmaktadır. Çalışma, aktif büyüme ve kaldıraç oranı arasındaki pozitif ilişkinin bir sonucu olarak Türk bankalarının kaldıraçlarının döngüsel olduğu sonucuna varmıştır. Döngüsel kaldıraç, finansal sektör ve genel ekonomide istikrarsızlığa katkıda bulunabilir. Bu nedenle, daha fazla düzenlemenin gerekli olduğu varsayılmaktadır. Türk bankalarının sermaye yapısını etkileyen faktörler, büyüklük, kâr, banka sayısı, enflasyon, döviz kuru ve gayri safi yurtiçi hâsıladır.
Bu çalışma banka sermaye yapısının
belirleyicilerini ve kaldıraç oranının döngüsel davranışını incelemektedir.
Farklı tipteki kaldıraç oranları ile bankaların aktif büyümesi arasındaki
ilişkiyi bulmak için bir panel veri analizi geliştirilmiştir. Ayrıca, bankaya
özgü faktörlerin ve makroekonomik değişkenlerin banka sermaye yapısına olası
etkileri de tartışılmaktadır. Çalışma, aktif büyüme ve kaldıraç oranı
arasındaki pozitif ilişkinin bir sonucu olarak Türk bankalarının
kaldıraçlarının döngüsel olduğu sonucuna varmıştır. Döngüsel kaldıraç, finansal
sektör ve genel ekonomide istikrarsızlığa katkıda bulunabilir. Bu nedenle, daha
fazla düzenlemenin gerekli olduğu varsayılmaktadır. Türk bankalarının sermaye
yapısını etkileyen faktörler, büyüklük, kâr, banka sayısı, enflasyon, döviz
kuru ve gayri safi yurtiçi hâsıladır.
Anahtar Kelimeler
Kaynakça
- Allen, L., Delong, G., Saunders, A. (2004). Issues in the credit risk modeling of retail markets. Journal of Banking & Finance, 28, 727–752. doi: 10.1016/j.jbankfin.2003.10.004 Athanasoglou, P.P. & Daniilidis, I. (2011). Procyclicality in the banking industry: causes, consequences and response. Bank of Greece Working Paper, 139. Baglioni, A., Beccalli, E. Boitani, A. & Monticini, A. (2013). Is the leverage of European banks procyclical?. Empirical Economics, 45(3), 1251–1266. doi: 10.1007/s00181-012-0655-4 Bank For International Settlements 80th Annual Report (2009). Bank For International Settlements 84th Annual Report (2014). Behn, M., Haselmann, R. & Wachtel, P. (2016). Procyclical capital regulation and lending. Journal of Finance, 71(2), 919-956. doi: 10.1111/jofi.12368 Binici, M. & Köksal, B. (2012). Is the leverage of Turkish banks procyclical?”, Central Bank Review, 12(2), 11-24. Borio, C., Furfine, C., Lowe, P. (2001). Procyclicality of the financial system and financial stability: issues and policy options. Marrying The Macro- and Micro-Prudential Dimensions of Financial Stability, BIS Papers, 01, 1-57. Cesaroni, T. (2015). Procyclicality of credit rating systems: how to manage it. Bank of Italy Working Papers, No 109. Covas, F. & Fujita, S. (2010). Procyclicality of capital requirements in a general equilibrium model of liquidity dependence. International Journal of Central Banking, 6(4), 137-173. Craig, C. S., Davis, E. P., Pascual, A. G. (2004). Procyclicality of financial systems in Asia”, In Procyclicality of financial systems in Asia. (Eds.) Gerlach S. & Gruenwald P., Springer, 55-123. Çalışkan, A. (2012). Leverage behavior of Turkish banks: how did they escape the global crisis?. İktisat, İşletme ve Finans, 26, 75-104. Demirgüç-Kunt, A. & Detragiache, E. (1998). The determinants of banking crisis in developing and developed countries. IMF Staff Papers, 45(1), 81-109. doi: 10.2307/3867330. D'hulster, K. (2009). The leverage ratio: a new binding limit on banks. World Bank Crisis Response Note, No. 11. Gambera, M. (2000). Simple forecasts of bank loan quality in the business cycle. Emerging Issues Series / Supervision and Regulation Dept., Federal Reserve Bank of Chicago, S&R200-3. Grigore, M.Z. & Duicu, V.M.Ş. (2013). Agency theory and optimal capital structure. International Conference: CKS - Challenges of The Knowledge, 862-868. Gropp, R. & Heider, F. (2007). The determinants of bank capital Structure”. European Central Bank Working Paper, No. 1096. Hardouvelis, G.A. (2010). Actions for a less procyclical financial system. Eurobank Research, Economy and Markets, 5(5), 1-33. Harris, M. & Raviv, A. (1991) The theory of capital structure. Journal of Finance, 4681), 297-355. doi: 10.2307/2328697. Jensen, M.C. & Meckling, W. H. (1970) .Theory of the firm: managerial behavior, agency costs and ownership structure”. Journal of Financial Economics, 3(4), 305- 360. Kalemli- Ozcan, S., Sorensen, B. & Yesiltas, S. (2012). Leverage across firms, banks, and countries. Journal of International Economics, 88(2), 284-298. doi: 10.3386/w17354 Kaminsky, G.L. Reinhart, C.M. & Vegh, C.A. (2004) When it rains, it pours: procyclical capital flows and macroeconomic policies. NBER Working Paper Series, WP 10780. doi: 10.3386/w10780. Kraus, A. & Litzenberger, R. H. (1973). A state-preference model of optimal financial leverage. Journal of Finance, 28(4), 911-922. Köksal, B. & Orman, C. (2014). Determinants of capital structure: evidence from a major developing economy. Central Bank of Turkey Working Paper, WP 14/26. Laux, C. & Rauter, T. (2017). Procyclicality of U.S. bank leverage. Journal of Accounting Research, 43-93. Lowe, P. & Stevens, G. (2006). Procyclical financial behavior: what can be done?. In Procyclicality of financial systems in Asia. (Eds) Gerlach S. & Gruenwald P., Springer, 137-160. Myers, S. C. (1984). The capital structure puzzle. Journal of Finance, 39(3), 574- 592. Myers, S. C. & Majluf, N. (1984). Corporate financing and investment decisions when firms have information investors do not have”. NBER Working Paper Series, WP 1396. Nijathaworn, B. (2009). Rethinking procyclicality – what is it now and what can be done?. BIS/Financial Stability Institute-Executives’ Meeting of East Asia-Pacific Central Banks High Level Meeting On “Lessons Learned From The Financial Crisis- An International And Asian Perspective”, Tokyo, 30 November 2009. Ozkan, A. (2001). Determinants of capital structure and adjustment to long run target: evidence from UK company panel data”, Journal of Business Finance & Accounting, 28, 175- 198. doi: 10.1111/1468-5957.00370 Salas, V. & Saurina, J. (2002). Credit risk in two institutional regimes: Spanish commercial and savings banks. Journal of Financial Services Research, 22(3), 203–224. doi: 10.1023/A:1019781109676. Sayilgan, G., Karabacak, H. & Küçükkocaoğlu, G. (2006). The firm-specific determinants of corporate capital structure: evidence from Turkish panel data”, Investment Management and Financial Innovations, 3, 125- 137.
Ayrıntılar
| Konular | İşletme |
|---|---|
| Bölüm | Makaleler |
| Yazarlar | |
| Yayımlanma Tarihi | 31 Aralık 2016 |
| Yayımlandığı Sayı | Yıl 2016 Cilt: 1 Sayı: 2 |