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Year 2019, Volume: 3 Issue: 3, 1 - 25, 30.09.2019
https://doi.org/10.25295/fsecon.2019.03.001

Abstract

References

  • Angkinand, A. P., Sawangngoenyuang, W., Wihlborg, C. 2010. Financial Liberalization and Banking Crises: A Cross-Country Analysis. Int. Rev. Finan. 10, 263–292.
  • Antunes, A., Bonfirm, D., Monteiro, N., Rodrigues, P.M.M., (2014), Early Warning Indicators of Banking Crises: Exploring New Data and Tools, Banco De Portugal, Economic Bulletin, April, 2014, Pp. 90-103.
  • Antunes, A., Bonfirm, D., Monteiro, N., Rodrigues, P.M.M., (2018), Forecasting Banking Crises with Dynamic Panel Probit Models, International Journal of Forecasting, 34, 249-275.
  • Arı, A., Cergibozan, E., (2016), The Twin Crises: Determinants Of Banking And Currency Crises İn The Turkish Economy, Emerging Markets Finance And Trade, 52:1, 123-135.
  • Babecky, J., T. Havranek, J. Mateju, M. Rusnak, K. Smidkova, Vasicek, B. (2012), Banking, Debt and Currency Crises: Early Warning Indicators, European Central Bank, Working Paper Series, No. 1485, October 2012.
  • Barrell, R., Davis, E.P., Karim, D., Liadze, I., (2010), Does The Current Account Balance Help to Predict Banking Crises in OECD Countries?, NIESR Discussion Papers, No. 351, National Institute of Economic and Social Research.
  • Beck, T., A. Demirgüç-Kunt, A., Levine, R. (2006), Bank Concentration, Competition and Crises: First Results, Journal Of Banking & Finance, 30, 1581-1603.
  • Boyd, J. H., De Nicolo, G., Rodionova, T., (2015), The Determinants Of Banking Crises: A Reassessment (July 23, 2015), Available At SSRN: Https://Ssrn.Com/Abstract=2635071 Or Http://Dx.Doi.Org/10.2139/Ssrn.2635071
  • Boyd, J., De Nicolo, G., Loukoianova, E., (2009), Banking Crises and Crisis Dating: Theory And Evidence, IMF Working Paper, WP/09/141.
  • Cameron, A., Trivedi, P. (2005). Microeconometrics: Methods and Applications. Cambridge: Cambridge University Press. Doi:10.1017/CBO9780511811241
  • Cergibozan, E., Arı, A., (2017) Türkiye’deki Banka Krizlerine Yönelik Ekonometrik Bir Yaklaşım,: Markow Rejim Değişim Modeli, Marmara Üniversitesi İİBF Dergisi,. Cilt 39, Sayı 1, Ss.47-64.
  • Cihák, M., Demirgüç-Kunt, A., Feyen E., Levine, R. 2012. Benchmarking Financial Systems around The World. World Bank Policy Research Working Paper 6175, World Bank, Washington, D.C
  • Demirgüç-Kunt, A., Detragiache E. (1997), The Determinants of Banking Crises: Evidence from Developing and Developed Countries, IMF Working Paper, WP/97/106.
  • Demirgüç-Kunt, A., Detragiache E. (1998), Financial Liberalization and Financial Fragility, IMF Working Paper, WP/98/83.
  • Gluzman, P., M. Guzman (2017), Assessing The Robustness of the Relationship Between Financial Reforms and Banking Crises, Journal of International Financial Markets, Institutions and Money, 49, Pp. 32-47.
  • Hamdaoui, M. (2016), Are Systemic Banking Crises in Developed and Developing Countries Predictable?, Journal Of Multinational Financial Management, 37-38, Pp. 114-138.
  • Han, R., Melecky, M. (2013), Financial Inclusion for Financial Stability: Access To Bank Deposits And Growth Of Deposits in The Global Financial Crises, The World Bank Policy Research Working Paper 6577, August 2013, Background Paper To The 2014 World Development Report.
  • Hardy, D. C., Pazarbaşıoğlu, C. (1999), Determinants and Leading Indicators Of Banking Crises: Further Evidence, IMF Staff Papers, Vol. 46, No. 3, (September/December).
  • Jutasompakorn, P., Brooks, R., Brown, C., Treepongkaruna, S. (2014), Banking Crises: Identifying Dates and Determinants, Journal of International Financial Markets, Institutions and Money, 32, Pp. 150-166.
  • Kaminsky, G.L., Reinhart, C.M. (1999), “The Twin Crises: The Causes of Banking and Balance-Of-Payments Problems”, The American Economic Review, Vol. 89, No. 3, Pp. 473-500.
  • Koepke, R. (2016), Determinants of Emerging Market Crises: The Role of U.S. Monetary Policy, IIF Working Paper, July 26, 2016.
  • Laina, P., J. Nyholm, Sarlin, P. (2015), Leading Indicators of Systemic Banking Crises: Finland in a Panel of EU Countries, Review of Financial Economics, 24, Pp. 18-35.
  • Lang, M., Schmidt, P.G. (2016), The Early Warnings of Banking Crises: Interaction of Board Liquidity and Demand Deposits, Journal Of International Money and Finance, 61, Pp. 1-29.
  • Leaven, L., Valencia, F. (2008), Systemic Banking Crises: A New Database, IMF Working Papers, WP/08/224.
  • Leaven, L., Valencia, F. (2013), “Systemic Banking Crises Database: An Update”, IMF Working Papers, WP/12/163.
  • Long, J.S. And Freese, J (2006) Regression Models for Categorical Dependent Variables Using Stata. 2nd Edition, Stata Press, Texas.
  • Pedro, C.P, Ramalho, J.J.S., Da Silva, J.V., (2018), The Main Determinants of Banking Crises in OECD Countries, Rev World Econ, 154, Pp. 203-227.
  • Pena, G., (2016), The Determinants of Banking Crises: Further Evidence, MPRA Paper No. 70093.
  • Wosser, M. (2015), The Determinants of Systemic Banking Crises: A Regulatory Perspective, Maynooth University, Dep. Of Economics, Finance and Accounting, Working Paper N265-15.

Bankacılık Krizlerinin Belirleyicileri: Mikroekonometrik Bir Analiz

Year 2019, Volume: 3 Issue: 3, 1 - 25, 30.09.2019
https://doi.org/10.25295/fsecon.2019.03.001

Abstract

Bankacılık krizleri, ekonomik istikrarın önündeki engellerden birisidir. Bankacılık ve finans piyasalarının düzgün bir şekilde işlemesi hem politikacılar hem de dış yatırımcılar açısından dikkatle ele alınması gereken bir husustur. Bu çalışmanın temel amacı bankacılık krizinin temel belirleyicilerini analiz etmektir. Bu amaçla Dünya Bankasının Küresel Finansal Gelişim veri tabanı kullanılarak, tek değişkenli lojistik modeli tahmin edilmiştir. Böylece, hangi değişkenlerin bankacılık krizi olasılığını arttırdığı ve hangi değişkenlerin bu olasılığı azalttığı bulunmaya çalışılmıştır.


Özet olarak, bankacılık krizlerinin yirmi yedi değişkenden pozitif ve on üç değişkenden ise negatif yönlü olarak etkilendiği bulunmuştur. Bankacılık krizlerinin olasılığını arttıran değişkenler: banka maliyeti gelir oranı, banka kredileri banka mevduatları oranı, banka mevduatları gayrisafi yurtiçi hasıla (GSYİH) oranı, banka borç verme ve mevduat faiz oranı farkı, banka faiz dışı gelirlerinin toplam gelirlere oranı, banka takipteki kredilerin brüt kredilere oranı, banka sabit maliyetlerinin toplam varlıklara oranı, merkez bankası varlıklarının GSYİH’ya oranı, mevduat bankalarının varlıklarının GSYİH’ya oranı, özel sektöre verilen yurtiçi krediler (GSYİH’nın %’si), finansal sitem mevduatlarının GSYİH’ya oranı, GSYİH, kişi başına GSYİH, Gayrisafi Milli Gelir, ödenmemiş toplam uluslararası borçlanma tahvillerinin GSYİH’ya oranı, hayat sigortası prim hacminin GSYİH’ya oranı, likit yükümlülükler, likit borçların GSYİH’ya oranı, bankalar dışı finansal kurumların varlıklarının GSYİH’ya oranı, hayat-dışı sigorta primlerinin GSYİH’ya oranı, ödenmemiş uluslararası özel borçlanma senetlerinin GSYİH’ya oranı, ödenmemiş uluslararası kamu borçlanma senetlerinin GSYİH’ya oranı, mevduat bankaları ve diğer finansal kurumların özel kredilerinin GSYİH’ya oranı, hisse senedi piyasasında toplam işlem hacminin GSYİH’ya oranı, borsa devir hızı oranı, hisse senedi fiyatlarının oynaklığı ve toplam faktöring hacminin GSYİH’ya oranıdır. Bankacılık krizlerinin olasılığını azaltan değişkenler: 5-banka varlığı yoğunlaşması, banka sermayesinin toplam varlıklara oranı, banka yoğunlaşması, bankanın net faiz marjini, varlıklar üzerinden banka getirisi (vergi sonrası), özsermaye üzerinden banka getirisi (vergi sonrası), banka Z-puanı, yabancı banka varlıklarının toplam banka varlıkları içindeki payı, Lerner endeksi, likit varlıkların mevduat ve kısa vadeli fonlara oranı, 1 milyon kişi başına listelenen firma sayısı, havale akışının GSYİH’ya oranı ve borsa kapitalizasyonun GSYİH’ya oranıdır.

References

  • Angkinand, A. P., Sawangngoenyuang, W., Wihlborg, C. 2010. Financial Liberalization and Banking Crises: A Cross-Country Analysis. Int. Rev. Finan. 10, 263–292.
  • Antunes, A., Bonfirm, D., Monteiro, N., Rodrigues, P.M.M., (2014), Early Warning Indicators of Banking Crises: Exploring New Data and Tools, Banco De Portugal, Economic Bulletin, April, 2014, Pp. 90-103.
  • Antunes, A., Bonfirm, D., Monteiro, N., Rodrigues, P.M.M., (2018), Forecasting Banking Crises with Dynamic Panel Probit Models, International Journal of Forecasting, 34, 249-275.
  • Arı, A., Cergibozan, E., (2016), The Twin Crises: Determinants Of Banking And Currency Crises İn The Turkish Economy, Emerging Markets Finance And Trade, 52:1, 123-135.
  • Babecky, J., T. Havranek, J. Mateju, M. Rusnak, K. Smidkova, Vasicek, B. (2012), Banking, Debt and Currency Crises: Early Warning Indicators, European Central Bank, Working Paper Series, No. 1485, October 2012.
  • Barrell, R., Davis, E.P., Karim, D., Liadze, I., (2010), Does The Current Account Balance Help to Predict Banking Crises in OECD Countries?, NIESR Discussion Papers, No. 351, National Institute of Economic and Social Research.
  • Beck, T., A. Demirgüç-Kunt, A., Levine, R. (2006), Bank Concentration, Competition and Crises: First Results, Journal Of Banking & Finance, 30, 1581-1603.
  • Boyd, J. H., De Nicolo, G., Rodionova, T., (2015), The Determinants Of Banking Crises: A Reassessment (July 23, 2015), Available At SSRN: Https://Ssrn.Com/Abstract=2635071 Or Http://Dx.Doi.Org/10.2139/Ssrn.2635071
  • Boyd, J., De Nicolo, G., Loukoianova, E., (2009), Banking Crises and Crisis Dating: Theory And Evidence, IMF Working Paper, WP/09/141.
  • Cameron, A., Trivedi, P. (2005). Microeconometrics: Methods and Applications. Cambridge: Cambridge University Press. Doi:10.1017/CBO9780511811241
  • Cergibozan, E., Arı, A., (2017) Türkiye’deki Banka Krizlerine Yönelik Ekonometrik Bir Yaklaşım,: Markow Rejim Değişim Modeli, Marmara Üniversitesi İİBF Dergisi,. Cilt 39, Sayı 1, Ss.47-64.
  • Cihák, M., Demirgüç-Kunt, A., Feyen E., Levine, R. 2012. Benchmarking Financial Systems around The World. World Bank Policy Research Working Paper 6175, World Bank, Washington, D.C
  • Demirgüç-Kunt, A., Detragiache E. (1997), The Determinants of Banking Crises: Evidence from Developing and Developed Countries, IMF Working Paper, WP/97/106.
  • Demirgüç-Kunt, A., Detragiache E. (1998), Financial Liberalization and Financial Fragility, IMF Working Paper, WP/98/83.
  • Gluzman, P., M. Guzman (2017), Assessing The Robustness of the Relationship Between Financial Reforms and Banking Crises, Journal of International Financial Markets, Institutions and Money, 49, Pp. 32-47.
  • Hamdaoui, M. (2016), Are Systemic Banking Crises in Developed and Developing Countries Predictable?, Journal Of Multinational Financial Management, 37-38, Pp. 114-138.
  • Han, R., Melecky, M. (2013), Financial Inclusion for Financial Stability: Access To Bank Deposits And Growth Of Deposits in The Global Financial Crises, The World Bank Policy Research Working Paper 6577, August 2013, Background Paper To The 2014 World Development Report.
  • Hardy, D. C., Pazarbaşıoğlu, C. (1999), Determinants and Leading Indicators Of Banking Crises: Further Evidence, IMF Staff Papers, Vol. 46, No. 3, (September/December).
  • Jutasompakorn, P., Brooks, R., Brown, C., Treepongkaruna, S. (2014), Banking Crises: Identifying Dates and Determinants, Journal of International Financial Markets, Institutions and Money, 32, Pp. 150-166.
  • Kaminsky, G.L., Reinhart, C.M. (1999), “The Twin Crises: The Causes of Banking and Balance-Of-Payments Problems”, The American Economic Review, Vol. 89, No. 3, Pp. 473-500.
  • Koepke, R. (2016), Determinants of Emerging Market Crises: The Role of U.S. Monetary Policy, IIF Working Paper, July 26, 2016.
  • Laina, P., J. Nyholm, Sarlin, P. (2015), Leading Indicators of Systemic Banking Crises: Finland in a Panel of EU Countries, Review of Financial Economics, 24, Pp. 18-35.
  • Lang, M., Schmidt, P.G. (2016), The Early Warnings of Banking Crises: Interaction of Board Liquidity and Demand Deposits, Journal Of International Money and Finance, 61, Pp. 1-29.
  • Leaven, L., Valencia, F. (2008), Systemic Banking Crises: A New Database, IMF Working Papers, WP/08/224.
  • Leaven, L., Valencia, F. (2013), “Systemic Banking Crises Database: An Update”, IMF Working Papers, WP/12/163.
  • Long, J.S. And Freese, J (2006) Regression Models for Categorical Dependent Variables Using Stata. 2nd Edition, Stata Press, Texas.
  • Pedro, C.P, Ramalho, J.J.S., Da Silva, J.V., (2018), The Main Determinants of Banking Crises in OECD Countries, Rev World Econ, 154, Pp. 203-227.
  • Pena, G., (2016), The Determinants of Banking Crises: Further Evidence, MPRA Paper No. 70093.
  • Wosser, M. (2015), The Determinants of Systemic Banking Crises: A Regulatory Perspective, Maynooth University, Dep. Of Economics, Finance and Accounting, Working Paper N265-15.
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Details

Primary Language English
Journal Section Articles
Authors

Dilek Çetin 0000-0002-0854-8746

Gamze Göçmen Yağcılar

Publication Date September 30, 2019
Published in Issue Year 2019 Volume: 3 Issue: 3

Cite

APA Çetin, D., & Göçmen Yağcılar, G. (2019). Bankacılık Krizlerinin Belirleyicileri: Mikroekonometrik Bir Analiz. Fiscaoeconomia, 3(3), 1-25. https://doi.org/10.25295/fsecon.2019.03.001

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