Determinants of Non-Core Liabilities of Banks in Emerging Markets in the Post-Crisis Era
Yıl: 2021 Cilt: 35 Sayı: 1 Sayfa Aralığı: 68 - 86 Metin Dili: İngilizce DOI: 10.21773/boun.35.1.4 İndeks Tarihi: 07-07-2022
Determinants of Non-Core Liabilities of Banks in Emerging Markets in the Post-Crisis Era
Öz: The level of the non-core liabilities of the aggregate banking sector serves an indicator of systemic
risk in an interconnected banking system. In this paper, we disentangle the non-core liabilities of
the banking system of four selected emerging markets into demand-pull and supply-push
components from 2004 to 2015. Our results from structural vector autoregressions imply that, in
the wake of the crisis, worsening demand conditions in the recipient countries were the main
determinants of the decline in cross border flows. However, once the unconventional policy
measures by the advanced economies were put into effect, the proliferation of global liquidity
worked as a push factor for cross border flows. Moreover, after the FED’s tapering signal in mid-
2013, country-specific macroprudential tools in emerging economies determined the direction of
capital flows to these economies. Our results provide valuable information regarding the
appropriate design of countercyclical macroprudential policies.
Anahtar Kelime: Küresel Finansal Kriz Sonrası Dönemde Gelişmekte Olan Ülkelerdeki Bankaların Çekirdek Olmayan Yükümlülüklerinin Belirleyicileri
Öz: Bankacılık sektörünün toplam çekirdek dışı yükümlülükleri bu sektörün sistemik riski için önemli
bir göstergedir. Çalışmamız, 2004-2015 dönemi ve dört farklı gelişmekte olan ülke için bankacılık
sisteminin çekirdek olmayan yükümlülüklerinin değişimlerini talep ve arz kaynaklı bileşenlerine
ayırmaktadır. Yapısal vektör oto-regresyon analizinden elde edilen sonuçlar, küresel finansal kriz
ile birlikte gelişmekte olan ülkelerde yaşanan talep düşüşünün bu ülkelere sermaye akımını ve bu
ülkelerdeki bankaların çekirdek dışı yükümlülüklerini azalttığını, bu krizi takiben gelişmiş
ülkelerin uyguladığı geleneksel olmayan para politikalarının ise bunun tersi bir etki yaptığını
göstermektedir. Ayrıca, 2013 yılı ortalarında Amerikan Merkez Bankası’nın parasal genişlemeyi
azaltmaya başlamasının ardından, gelişmekte olan ekonomilerde ülkelere özgü makroihtiyati araçlar bu ekonomilere yönelen sermaye akımlarının yönünü belirlemiştir. Sonuçlarımız, döngü
karşıtı makroihtiyati politikaların uygun tasarımına ilişkin bilgi sunmaktadır.
Anahtar Kelime: Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık
- Akdoğan, K., & Yıldırım, B. D. (2014). “Non-core Liabilities as an Indicator of Systemic Risk and a Liquidity Stress Test Application on Turkish Banking System.” Iktisat Isletme ve Finans, 29(338), 39-66.
- Akinci, O., & Olmstead-Rumsey, J. (2015). “How Effective are Macroprudential Policies? An Empirical Investigation.” International Finance Discussion Papers 1136. Board of Governors of the Federal Reserve System.
- Binici, M., Hutchison, M., & Schindler, M. (2010). “Controlling Capital? Legal Restrictions and the Asset Composition of International Financial Flows.” Journal of International Money and Finance, 29(4), 666-684.
- BOI. (2012) Financial Stability Review, September, No.19. Bank of Indonesia. BOI (2013), Monetary Policy Statement, http://www.bi.go.id/en/publikasi/kebijakan- moneter/tinjauan/Pages/mpr_0613.aspx
- BOI. (2015) Financial Stability Review, September, No. 24. Bank of Indonesia.
- BIS. (2015). “Changing Patterns of Financial Intermediation and Implications for Central Bank Policy: The Malaysian Perspective.” BIS Papers chapters, 83, 223-242.
- Blancher, M. N. R., Mitra, M. S., Morsy, M. H., Otani, M. A., Severo, T., & Valderrama, M. L. (2013). Systemic Risk Monitoring ("SysMo") Toolkit—A User Guide. International Monetary Fund.
- Borio, C. (2010). “Implementing A Macroprudential Framework: Blending Boldness and Realism.” Keynote address for the BIS-HKMA research conference on “Financial Stability: Towards a Macroprudential Approach”, Honk Kong SAR, 5-6 July 2010.
- Borio, C. and Drehmann, M. (2009). “Towards An Operational Framework for Financial Stability: ‘Fuzzy’ Measurement and its Consequences.” BIS Working Papers, 284.
- Borio, C. E., McCauley, R. N., & McGuire, P. (2011). “Global Credit and Domestic Credit Booms.” BIS Quarterly Review, September.
- Borio, C., & Zhu, H. (2012). “Capital Regulation, Risk-Taking and Monetary Policy: A Missing Link in the Transmission Mechanism?” Journal of Financial Stability, 8(4), 236-251.
- Bruno, V., Shim, I., & Shin, H. S. (2015). “Comparative Assessment of Macroprudential Policies.” BIS Working Papers, 502. Bank for International Settlements.
- Carvalho, F. A., & de Castro, M. R. (2015). “Macroprudential and Monetary Policy Interaction: A Brazilian Perspective.” Banco Central Do Brazil Working Papers, No. 405.
- CBRT. (2014). “Press Release: Support for Core Liabilities”, 21 October 2014, No:64 Central Bank of the Republic of Turkey.
- CBRT. (2015). “Financial Stability Review”. November 2015. Central Bank of the Republic of Turkey.
- Chung, K., Lee, J. E., Loukoianova, E., Park, H., & Shin, H. S. (2015). “Global Liquidity Through the Lens of Monetary Aggregates.” Economic Policy, 30(82), 231-290.
- Claessens, S., Ghosh, S. R., & Mihet, R. (2013). “Macro-Prudential Policies to Mitigate Financial System Vulnerabilities.” Journal of International Money and Finance, 39, 153-185.
- Cerutti, E., Claessens, S., & Laeven, M. L. (2015). “The Use and Effectiveness of Macroprudential Policies: New Evidence” (No. 15-61). International Monetary Fund.
- Cuadra, G., & Nuguer, V. (2018). “Risky Banks and Macro-Prudential Policy for Emerging Economies.” Review of Economic Dynamics, 30, 125-144.
- Da Silva, L. A. P., & Harris, R. E. (2012). “Sailing through the Global Financial Storm: Brazil's recent experience with monetary and macroprudential policies to lean against the financial cycle and deal with systemic risks.” Working Papers Series 290, Central Bank of Brazil, Research Department.
- De Haan, J., Fang, Y., & Jing, Z. (2020). “Does the Risk On Banks’ Balance Sheets Predict Banking Crises? New Evidence for Developing Countries.” International Review of Economics & Finance, 68, 254-268.
- Demirölmez, B. (2017). Determinants of Non-Core Liabilities in the Turkish Banking System. (Master's thesis, Middle East Technical University).
- Forbes, K. J., & Warnock, F. E. (2012). “Capital Flow Waves: Surges, Stops, Flight, and Retrenchment.” Journal of International Economics, 88(2), 235-251.
- FSC. (2011), Press Release, 20 December 2011, Financial Services Commission, www.fsc.go.kr.
- Galati, G. And Moessner, R. (2010), “Macroprudential Policy – A Literature Review.” De Nederlandsche Bank Working Paper, 267.
- Ghosh, A. R., Qureshi, M. S., & Sugawara, N. (2014). “Regulating Capital Flows at Both Ends: Does it Work?” IMF Working Papers, 14/188. International Monetary Fund.
- Gourinchas, P. O., & Obstfeld, M. (2011). “Stories of the twentieth century for the twenty-first” (No. w17252). National Bureau of Economic Research. Hahm, J. H., Shin, H. S., & Shin, K. (2013). “Noncore Bank Liabilities and Financial Vulnerability.” Journal of Money, Credit and Banking, 45(1), 3-36.
- Kazaz, G. (2020). “Bankaların Çekirdek Dışı Yükümlülüklerinin Banka Sisteminin İstikrarına Etkileri: Yükselen Ekonomiler ve Türkiye.” Bankacılık ve Finansal Araştırmalar Dergisi, 7(1), 42- 59.
- Kilinc, Z., Karasoy, H. G., & Yucel, E. (2013). “Non-Core Bank Liabilities and Credit Growth: Evidence From an Emerging Economy.” International Finance Review, 14, 71-90.
- Kim, H. J., Shin, H. S., & Yun, J. (2013). “Monetary Aggregates and the Central Bank’s Financial Stability Mandate.” International Journal of Central Banking, 9(1), 69-108.
- Kuttner, K. N., & Shim, I. (2012). Taming the Real Estate Beast: The Effects of Monetary and Macroprudential Policies on Housing Crices and Credit. of: Heath, Alexandra, Packer, Frank, & Windsor, Callan (eds), Property Markets and Financial Stability. Sydney: Reserve Bank of Australia, 231-259.
- Pontines, V., & Siregar, R. Y. (2019). “Non-Core Liabilities and Interest Rate Pass-Through: Bank- Level Evidence from Indonesia.” Applied Economics, 51(25), 2703-2714.
- Schularick, M., & Taylor, A. M. (2009). Credit Booms Gone Bust: Monetary Policy, Leverage Cycles and Financial Crises. 1870-2008 (No. w15512). National Bureau of Economic Research.
- Shin, H. S., & Shin, K. (2011). “Procyclicality and Monetary Aggregates.” (No. w16836). National Bureau of Economic Research.
- Shin, M. H. S. (2013). “Procyclicality and the Search for Early Warning Indicators.” (No. 13- 258). International Monetary Fund.
- Yilmaz, E., & Suslu, B. (2016). “Turkish Non-Core Bank Liabilities.” South-Eastern Europe Journal of Economics, Vol, 1.
- Zhang, L., & Zoli, E. (2014). Leaning Against the Wind: Macroprudential Policy in Asia. IMF Working Papers, 14/22. International Monetary Fund.
| APA | Akdogan K, Kaya N, Eksi O (2021). Determinants of Non-Core Liabilities of Banks in Emerging Markets in the Post-Crisis Era. , 68 - 86. 10.21773/boun.35.1.4 |
| Chicago | Akdogan Kurmas,Kaya Neslihan,Eksi Ozan Determinants of Non-Core Liabilities of Banks in Emerging Markets in the Post-Crisis Era. (2021): 68 - 86. 10.21773/boun.35.1.4 |
| MLA | Akdogan Kurmas,Kaya Neslihan,Eksi Ozan Determinants of Non-Core Liabilities of Banks in Emerging Markets in the Post-Crisis Era. , 2021, ss.68 - 86. 10.21773/boun.35.1.4 |
| AMA | Akdogan K,Kaya N,Eksi O Determinants of Non-Core Liabilities of Banks in Emerging Markets in the Post-Crisis Era. . 2021; 68 - 86. 10.21773/boun.35.1.4 |
| Vancouver | Akdogan K,Kaya N,Eksi O Determinants of Non-Core Liabilities of Banks in Emerging Markets in the Post-Crisis Era. . 2021; 68 - 86. 10.21773/boun.35.1.4 |
| IEEE | Akdogan K,Kaya N,Eksi O "Determinants of Non-Core Liabilities of Banks in Emerging Markets in the Post-Crisis Era." , ss.68 - 86, 2021. 10.21773/boun.35.1.4 |
| ISNAD | Akdogan, Kurmas vd. "Determinants of Non-Core Liabilities of Banks in Emerging Markets in the Post-Crisis Era". (2021), 68-86. https://doi.org/10.21773/boun.35.1.4 |
| APA | Akdogan K, Kaya N, Eksi O (2021). Determinants of Non-Core Liabilities of Banks in Emerging Markets in the Post-Crisis Era. Bogazici Journal: Review of Social, Economic and Administrative Studies, 35(1), 68 - 86. 10.21773/boun.35.1.4 |
| Chicago | Akdogan Kurmas,Kaya Neslihan,Eksi Ozan Determinants of Non-Core Liabilities of Banks in Emerging Markets in the Post-Crisis Era. Bogazici Journal: Review of Social, Economic and Administrative Studies 35, no.1 (2021): 68 - 86. 10.21773/boun.35.1.4 |
| MLA | Akdogan Kurmas,Kaya Neslihan,Eksi Ozan Determinants of Non-Core Liabilities of Banks in Emerging Markets in the Post-Crisis Era. Bogazici Journal: Review of Social, Economic and Administrative Studies, vol.35, no.1, 2021, ss.68 - 86. 10.21773/boun.35.1.4 |
| AMA | Akdogan K,Kaya N,Eksi O Determinants of Non-Core Liabilities of Banks in Emerging Markets in the Post-Crisis Era. Bogazici Journal: Review of Social, Economic and Administrative Studies. 2021; 35(1): 68 - 86. 10.21773/boun.35.1.4 |
| Vancouver | Akdogan K,Kaya N,Eksi O Determinants of Non-Core Liabilities of Banks in Emerging Markets in the Post-Crisis Era. Bogazici Journal: Review of Social, Economic and Administrative Studies. 2021; 35(1): 68 - 86. 10.21773/boun.35.1.4 |
| IEEE | Akdogan K,Kaya N,Eksi O "Determinants of Non-Core Liabilities of Banks in Emerging Markets in the Post-Crisis Era." Bogazici Journal: Review of Social, Economic and Administrative Studies, 35, ss.68 - 86, 2021. 10.21773/boun.35.1.4 |
| ISNAD | Akdogan, Kurmas vd. "Determinants of Non-Core Liabilities of Banks in Emerging Markets in the Post-Crisis Era". Bogazici Journal: Review of Social, Economic and Administrative Studies 35/1 (2021), 68-86. https://doi.org/10.21773/boun.35.1.4 |
