Bankalarda Finansal Kırılganlığı Etkileyen Faktörlerin Panel Veri Analizi ile Belirlenmesi

TOPALOGLU, Emre Esat

Bankalarda Finansal Kırılganlığı Etkileyen Faktörlerin Panel Veri Analizi ile Belirlenmesi

Emre TOPALOĞLU (Şırnak Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, İşletme Bölümü, Şırnak, Türkiye)

Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi

11 5

Yıl: 2018 Cilt: 13 Sayı: 1 Sayfa Aralığı: 15 - 38 Metin Dili: Türkçe İndeks Tarihi: 28-12-2020

Bankalarda Finansal Kırılganlığı Etkileyen Faktörlerin Panel Veri Analizi ile Belirlenmesi

Öz:

Çalışmada, Türkiye bankacılık sektöründe 2002-2015 döneminde devamlı olarak faaliyet gösteren ticaret bankalarının finansal kırılganlıklarına etki eden mikro faktörlerinortaya çıkarılması amaçlanmıştır. Finansal kırılganlık, takipteki kredi oranı ve sermaye yeterlilik rasyosu ile temsiledilirken; mikro faktörler ise aktif karlılık oranı, özsermaye karlılığı, likidite oranı, banka büyüklüğü, finansalkaldıraç ve net faiz marjı ile temsil edilmiştir. Finansal kırılganlığa etki eden faktörlerin tespit edilebilmesi için ikiayrı model oluşturulmuştur. Bu modeller panel veri yöntemi ile analiz edilmiştir. Analiz neticesinde, model 1’detakipteki kredi oranı ile banka büyüklüğü arasında anlamlıve negatif ilişki tespit edilirken; likidite oranı ile anlamlı vepozitif ilişki tespit edilmiştir. Model 2’de ise sermaye yeterlilik oranı ile net faiz marjı ve aktif karlılık oranı arasında anlamlı ve pozitif ilişki belirlenirken; finansal kaldıraç ve özsermaye karlılığı ile anlamlı ve negatif ilişki belirlenmiştir.

Anahtar Kelime:

Determination of Factors Affecting Financial Fragility in Banks Using Panel Data Analysis

Öz:

In the study, it is aimed to determine the micro factors that affect the financial fragility of the commercial banks which are continuously operating in the Turkish banking sector during 2002-2015 period. Financial fragility is represented by the non performing loan ratio and capital adequacy ratio while the micro factors are represented by return on assets, return on equity, liquid ratio, bank size, financial leverage and net interest margin. Two different models were composed to determine the factors affecting financial fragility. These models were analyzed by panel data method. At the end of the analysis, In model 1, A statistically significant and negative relationship was observed between bank size and non performing loan ratio while a statistically significant and positive relationship was observed between liquid ratio and non performing loan ratio. In model 2, A statistically significant and positive relationship was observed between capital adequacy ratio and net interest margin and return on assets while a statistically significant and negative relationship was observed between capital adequacy ratio and financial leverage and return on equity.

Anahtar Kelime:

Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık

Ahumada, Antonio; Budnevich, Carlos (2002), Some Measures of Financial Fragility in the Chilean Banking System: An Early Warning Indicators Application, L. Hernandez ve K.S. Hebbel, (Eds.), Banking, Financial Integration and International Crisis içinde, Santiago: Central Bank of Chile, 175-197.
Allen, Franklin; Gale, Douglas (2004), “Financial Fragility, Liquidity And Asset Prices”, Journal of the European Economic Association, 2 (6), 1015–1048.
Asteriou, Dimitrios; Hall, Stephen (2007), Applied Econometrics: A Modern Approach Using Eviews and Microfit Revisited Edition, Newyork: Palgrave Macmillan.
Bai, Jushan; Ng, Serena (2004), “A PANIC Attack on Unit Roots and Cointegration”, Econometrica, 72 (4), 1127–1177.
Baltagi, Badi; Li, Qi (1991), “A Joint Test for Serial Correlation and Random Individual Effects”, Statistics and Probability Letters, 11, 277-280.
Bankacılık Düzenleme ve Denetleme Kurumu (2017), İstatistiki Veriler, http://www.bddk.org.tr/WebSitesi/turkce/Istatistiki_Veriler/Istatistiki_Veriler.aspx.
Beck, Nathaniel; Katz, Jonathan (1995), “What To Do (and Not to Do) with Time-Series Cross-Section Data”, American Political Science Review, 89 (3), 634-647.
Bhargava, Alok; Franzini, Luisa; Narendranathan, Wiji (1982), “Serial Correlation and the Fixed Effects Model”, The Review of Economic Studies, 49 (4), 533–549.
Born, Benjamin; Breitung, Jörg (2016), “Testing for Serial Correlation in Fixed-Effects Panel Data Models”, Econometric Reviews, 35 (7), 1290-1316.
Bostandzic, Denefa (2016), “Bank Fragility and Interconnectedness”, World-Finance-Conference.
Breitung, Jörg (2005), “A Parametric approach to the Estimation of Cointegration Vectors in Panel Data”, Econometric Reviews, 24 (2), 151-173.
Breuer, Janice Boucher; McNown, Robert; Wallace, Myles (2002), “Series-Specific Unit Root Tests With Panel Data”, Oxford Bulletin of Economics and Statistics, 64, 527-546.
Breusch, Trevor; Pagan, Adrian (1979), “A simple Test For Heteroscedasticity And Random Coefficient Variation”, Econometrica, 47, 1287–1294.
Breusch, Trevor; Pagan, Adrian (1980), “The Lagrange Multiplier Test and Its Applications to Model Specification in Econometrics”, Review of Economic Studies, 47 (1), 239-253.
Bruno, Oliver; Cartapanis, Andre; Nasica, Eric (2013), “Bank Leverage, Financial Fragility and Prudential Regulation.
Bank Leverage, Financial Fragility and Prudential Regulation”, Working Paper, No: 14, 1-36.
Choi, In (2001), “Unit Root Tests For Panel Data”, J. Int. Money and Finance, 20, 249–272.
Corsetti, Giancarlo; Pesenti, Paolo; Roubini, Nouriel (2001), ”Fundamental Determinants of the Asian Crisis: The Role of Financial Fragility and External Imbalances”, In Regional and Global Capital Flows: Macroeconomic Causes and Consequences, University of Chicago Press, NBER-EASE, 10, 11-41.
Egan, Mark; Hortaçsu, Ali; Matvos, Gregor (2017), “Deposit Competition and Financial Fragility: Evidence from the US Banking Sector”, American Economic Review, 107 (1), 169-216.
Engle, Robert; Granger, Clive (1987), “Co-Integration and Error Correction: Representation, Estimation, and Testing”, Econometrica, 55 (2), 251-276.
Erlat Haluk (2015), Panel Data: A Selectıve Survey, Ankara: Department of Economics Middle East Technical University.
Fielding, David; Rewilak, Johan (2015), “Credit Booms, Financial Fragility And Banking Crises”, Economics Letters, University of Otago Economics Discussion Papers, 1507 (136), 233–236.
Ghosh, Saibal (2010), “Credit Growth, Bank Soundness and Financial Fragility: Evidence from Indian Banking Sector”, MPRA Paper, 24715.
Godfrey, Leslie (1978), “Testing For Multiplicative Heteroscedasticity”, Journal of Econometrics, 8, 227–236.
Grabel, Ilene (1997), Speculation-Led Development in the Third World, Dynamics of Globalization and Development, Recent Economic Thought Series II, Springer US.
Gujarati, Damador (2003), Basic Econometrics, New York: McGraw Hill Book Co.
Hadri, Kaddour (2000), “Testing For Stationarity İn Heterogeneous Panel Data”, Econometrics Journal, 3 (2), 148–161.
Hadri, Kaddour; Kurozumi, Eiji (2012), “A Simple Panel Stationarity Test İn The Presence Of Serial Correlation And A Common Factor”, Economics Letters, 115 (1), 31-34.
Hair, Joseph; Anderson, Rolph; Tatham, Rolph; William, Black (1998), Multivariate Data Analysis, New Jersey: PrenticeHall.
Hausman, Jerry (1978), “Specification Tests in Econometrics”, Econometrica, 46, 1251-1271.
Honda, Yuzo (1985), “Testing the Error Components Model with Non-Normal Disturbances”, Review of Economic Studies, 52, 681-690.
Iftikhar, Syed Faizan (2015), “Financial Reforms and Financial Fragility: A Panel Data Analysis”, Int. J. Financial Studies, 3, 84-101.
Im, Kyung; Pesaran, Hashem; Shin, Yongcheol (2003), “Testing For Unit Roots İn Heterogeneous Panels”, Journal of Econometrics, 115, 53-74.
Kao, Chihwa (1999), “Spurious Regression and Residual-Based Tests For Cointegration in Panel Data”, Journal of Econometrics, 90 (1), 1-44.
Kinda, Tidiane; Mlachila, Montfort; Ouedraogo, Rasmane (2016), “Commodity Price Shocks and Financial Sector Fragility”, IMF Working Papers.
Klomp, Jeroen; De Haan, Jakob (2015), “Bank Regulation And Financial Fragility İn Developing Countries: Does Bank Structure Matter?”, Review of Development Finance, 5, 82–90.
Korkmaz, Özge; Erer, Deniz; Erer, Elif (2016), “Bankacılık Sektöründe Yoğunlaşma İle Finansal Kırılganlık Arasındaki İlişki: Türkiye Örneği (2007-2014)”, Muhasebe ve Finansman Dergisi, 69, 127-146.
Kök, Recep; İspir, Serdar; Arı, Aydın (2010), “Zengin Ülkelerden Azgelişmiş Ülkelere Kaynak Aktarma mekanizmasının Gerekliliği ve Evrensel Bölüşüm Parametresi üzerine Bir Deneme”, 2. Uluslararası Ekonomi Konferansı, Türkiye Ekonomi Kurumu, Kıbrıs.
Lagunoff, Roger; Schreft, Stacey (2001), “A Model of Financial Fragility”, Journal of Economic Theory, 99, 220-264.
Levin, Andrew; Lin, Chien; Chu, Chia Shang James(2002), “Unit Root Tests İn Panel Data: Asymptotic And Finite-Sample Properties”, Journal of Econometrics, 108, 1–24.
Maddala, Gangadharrao Soundalyarao; Wu, Shaowen (1999), “A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test”, Oxford Bulletin of Economics and Statistics, 61 (S1), 631–652.
Pedroni, Peter (1999), “Critical Values for Cointegration Tests in Heterogeneous Panels With Multiple Regressors”, Oxford Bull. Econ. Stat, 61 (Special Issue), 653– 670.
Pedroni, Peter (2000), “Fully-Modified OLS for Heterogeneous Cointegrated Panels”, Advances in Econometrics, 15, 93- 130.
Pedroni, Peter (2001), “Purchasing Power Parity Tests in Cointegrated Panels”, Review of Economics and Statistics, 83, 727-731.
Penas, Maria Fabiana; Tümer Alkan, Günseli (2010), “Bank Disclosure and Market Assessment of Financial Fragility: Evidence from Turkish Banks’ Equity Prices”, J Financ Serv Res, 37, 159–178.
Pesaran, Hashem (2004), “General Diagnostic Tests For Cross Section Dependence in Panels”, Cambridge Working Papers in Economics Working Paper, 435.
Pesaran, Hashem; Yamagata, Takashi (2008), “Testing Slope Homogeneity İn Large Panels”, Journal of econometrics, 142, 50–93.
Pesaran, Hashem (2007), “A Simple Panel Unit Root Test İn The Presence Of Cross Section Dependence”, Journal of Applied Econometrics, 22 (2), 265–312.
Rojas-Suarez, Liliana (1998), Early Warning Indicators of Banking Crises: What Works for Developing Countries?, InterAmerican Development Bank.
Smith Vanessa; Leybourne, Stephen; Kim, Tae Hwan; Newbold, Paul (2004), “More powerful Panel Data Unit Root Tests With An Application To Mean Reversion İn Real Exchange Rates”, Journal of Applied Econometrics, 19, 147–170.
Stavarek, Daniel (2005), “Linkages between Stock Prices and Exchange Rates in the EU and the United States”, Czech Journal of Economics and Finance, 55 (3-4), 141-161.
Tabachnick, Barbara; Fidell, Linda (2001), Using multivariate statistics. Boston: Allyn and Bacon.
Türkiye Bankalar Birliği (2017), Banka ve Sektör Bilgileri, www.tbb.org.tr.
Zwet, Annemarie; Swank, Job (2000), Financial Fragility And Macroeconomic Performance, DNB Staff Reports, 52, 1- 23.

APA	TOPALOGLU E (2018). Bankalarda Finansal Kırılganlığı Etkileyen Faktörlerin Panel Veri Analizi ile Belirlenmesi. , 15 - 38.
Chicago	TOPALOGLU Emre Esat Bankalarda Finansal Kırılganlığı Etkileyen Faktörlerin Panel Veri Analizi ile Belirlenmesi. (2018): 15 - 38.
MLA	TOPALOGLU Emre Esat Bankalarda Finansal Kırılganlığı Etkileyen Faktörlerin Panel Veri Analizi ile Belirlenmesi. , 2018, ss.15 - 38.
AMA	TOPALOGLU E Bankalarda Finansal Kırılganlığı Etkileyen Faktörlerin Panel Veri Analizi ile Belirlenmesi. . 2018; 15 - 38.
Vancouver	TOPALOGLU E Bankalarda Finansal Kırılganlığı Etkileyen Faktörlerin Panel Veri Analizi ile Belirlenmesi. . 2018; 15 - 38.
IEEE	TOPALOGLU E "Bankalarda Finansal Kırılganlığı Etkileyen Faktörlerin Panel Veri Analizi ile Belirlenmesi." , ss.15 - 38, 2018.
ISNAD	TOPALOGLU, Emre Esat. "Bankalarda Finansal Kırılganlığı Etkileyen Faktörlerin Panel Veri Analizi ile Belirlenmesi". (2018), 15-38.

APA	TOPALOGLU E (2018). Bankalarda Finansal Kırılganlığı Etkileyen Faktörlerin Panel Veri Analizi ile Belirlenmesi. Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi, 13(1), 15 - 38.
Chicago	TOPALOGLU Emre Esat Bankalarda Finansal Kırılganlığı Etkileyen Faktörlerin Panel Veri Analizi ile Belirlenmesi. Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi 13, no.1 (2018): 15 - 38.
MLA	TOPALOGLU Emre Esat Bankalarda Finansal Kırılganlığı Etkileyen Faktörlerin Panel Veri Analizi ile Belirlenmesi. Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi, vol.13, no.1, 2018, ss.15 - 38.
AMA	TOPALOGLU E Bankalarda Finansal Kırılganlığı Etkileyen Faktörlerin Panel Veri Analizi ile Belirlenmesi. Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi. 2018; 13(1): 15 - 38.
Vancouver	TOPALOGLU E Bankalarda Finansal Kırılganlığı Etkileyen Faktörlerin Panel Veri Analizi ile Belirlenmesi. Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi. 2018; 13(1): 15 - 38.
IEEE	TOPALOGLU E "Bankalarda Finansal Kırılganlığı Etkileyen Faktörlerin Panel Veri Analizi ile Belirlenmesi." Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi, 13, ss.15 - 38, 2018.
ISNAD	TOPALOGLU, Emre Esat. "Bankalarda Finansal Kırılganlığı Etkileyen Faktörlerin Panel Veri Analizi ile Belirlenmesi". Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi 13/1 (2018), 15-38.