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AN INTERACTION BETWEEN BANKING SYSTEM LIQUIDITY AND MACROECONOMIC VARIABLES: A VECTOR ERROR CORRECTION APPROACH

Year 2021, Volume: 3 Issue: 2, 1 - 18, 25.09.2021
https://doi.org/10.46959/jeess.923789

Abstract

In this study, it is aimed to examine the interaction between liquidity and various macroeconomic variables. As a result of this research, conducted with a data set covering the 2001-2019 period, it was found that there is a long-term relationship among banking sector liquidity, per capita income, interest rate and net foreign trade variables in Turkish Economy. According to the findings of the VECM analysis, the error correction mechanism works and there is a one-way causality from per capita income, interest rate and net foreign trade to liquidity in the long run. Short-term causality analysis results show that interest rate is the Granger cause of liquidity and liquidity is the Granger cause of per capita income.

References

  • Akkaya, M., & Azimli, T. (2018). Türk bankacılık sektöründe likidite riski yönetimi. Finans Politik & Ekonomik Yorumlar, 55(638), 35–48.
  • Al-Harbi, A. (2017). Determinants of banks liquidity: Evidence from OIC countries. Journal of Economic and Administrative Sciences. Vol. 33 No. 2, pp. 164-177.
  • Ayaydın, H., & Karaaslan, İ. (2014). Likidite riski yönetimi: Türk Bankacilik Sektörü üzerine bir araştirma. Gümüşhane Üniversitesi Sosyal Bilimler Enstitüsü Elektronik Dergisi, 5(11), 237–256.
  • BBVA (2020). Country Risk Quarterly Report. Fourth Quarter 2019 (December 13). Banco Bilbao Vizcaya Argentaria. https://www.bbvaresearch.com/en/publicaciones/country-risk-annual-report-2020/
  • BDDK (2019). 2019 Faaliyet Raporu. https://www.bddk.org.tr/ContentBddk/dokuman/hakkinda_0003_11.pd
  • BDDK (2020). Türk Bankacılık Sektörü temel göstergeleri (Haziran). https://www.bddk.org.tr/ContentBddk/dokuman/veri_000014_61.pdf
  • BIS. (2008). Principles for sound liquidity risk management and supervision. Bank for International Settlements. https://www.bis.org/publ/bcbs138.pdf
  • BIS. (2009). International Framework for Liquidity Risk Measurement, Standards and Monitoring, December. Bank for International Settlements.
  • Blackman, C. N. (1981). The Management of Foreign Exchange Reserves in Small Developing Countries. Social and Economic Studies, 156-171.
  • Calvo, G. A., & Mendoza, E. G. (2000). Contagion, globalization, and the volatility of capital flows. İçinde Capital flows and the emerging economies: Theory, evidence, and controversies (ss. 15–41). University of Chicago Press.
  • Çelik, S., & Akarım, Y. D. (2012). Likidite riski yönetimi: panel veri analizi ile İMKB bankacılık sektörü üzerine ampirik bir uygulama. Eskişehir Osmangazi Üniversitesi Sosyal Bilimler Dergisi, 13(1), 1–17.
  • Deep, A., & Schaefer, G. K. (2004). Are banks liquidity transformers? Deep, Akash and Schaefer, Guido K., Are Banks Liquidity Transformers? (May 2004). KSG Working Paper No. RWP04-022.
  • Diamond, D. W., & Rajan, R. G. (2001). Liquidity risk, liquidity creation, and financial fragility: A theory of banking. Journal of political Economy, 109(2), 287–327.
  • El Hamma, I., & Ejbari, A. (2013). Determinants of banking liquidity in South Mediterranean countries: The case of Morocco. In Financial Integration (ss. 159–171). Springer.
  • El-Chaarani, H. (2019). Determinants of bank liquidity in the Middle East region. International Review of Management and Marketing, 9(2), 64-75.
  • Engert, W., Selody, J., & Wilkins, C. (2008). Financial market turmoil and central bank intervention. Bank of Canada Financial System Review, June, 71-78.
  • Goodhart, C. (2008). Liquidity risk management. Banque de France Financial Stability Review, 11(Special Issue on Liquidity), 39-44.
  • Hicks, J. (1969). A theory of economic history (C. 9). Oxford University Press Oxford.
  • Holod, D., & Peek, J. (2007). Asymmetric information and liquidity constraints: a new test. Journal of Banking & Finance, 31(8), 2425-2451.
  • Honohan, P., & Shi, A. (2002). Deposit dollarization and the financial sector in emerging economies. The World Bank.
  • Humes, D. (1981). Foreign Reserves Management in Belize: An Assessment of the Liquidity Constraints in 1979. Social and Economic Studies, 187-200. Sayfa 187
  • Islam, M. S. (2020). Foreign Currency Bond as Solution to Trade Deficit Induced Liquidity Crisis in Banks: Evidence from Bangladesh. ILIRIA International Review, 10(1), 89-106.
  • Işık, Ö., & Belke, M. (2017). Li̇ki̇di̇te ri̇ski̇ni̇n beli̇rleyi̇ci̇leri̇: Borsa İstanbul’A kote mevduat bankalarindan kanitlar. Ekonomi Politika ve Finans Araştırmaları Dergisi, 2(2), 113–126.
  • Işıl, G., & Özkan, N. (2015). Islami bankalarda likidite riski yonetimi: Türkiye’de katilim bankaciligi uzerine ampirik bir uygulama. International Journal of Islamic Economics and Finance Studies, 1(2), 23–37.
  • Ize, A., Kiguel, M. A., & Yeyati, E. L. (2006). Managing systemic liquidity risk in financially dollarized economies. In Financial Dollarization (ss. 216–240). Springer.
  • Mohammad, S., Asutay, M., Dixon, R., & Platonova, E. (2020). Liquidity risk exposure and its determinants in the banking sector: A comparative analysis between Islamic, conventional and hybrid banks. Journal of International Financial Markets, Institutions and Money, 66, 101196.
  • Moore, W. (2009). How do financial crises affect commercial bank liquidity? Evidence from Latin America and the Caribbean. MPRA Paper, no. 21473, March 2010.
  • Negret, M. F. (2009). The heavenly liquidity twin: the ıncreasing ımportance of liquidity risk. World Bank Policy Research Working Paper. WPS5139.
  • Nicolo, G., Honohan, P., & Ize, A. (2003). Dollarization of the banking system: Good or bad? The World Bank.
  • Niţescu, D. C., & Duna, F. A. (2018). A multifactorial analysis of bank liquidity in the Euro Area. Romanian Journal of Economic Forecasting, 21(3).
  • Stiglitz, J. E. (2012). Serbest düşüş-Amerika, serbest piyasalar ve dünya ekonomisinin çöküşü (1. bs). Gündoğan Yayınları, İstanbul.
  • Teply, P. (2011). The future regulatory challenges of liquidity risk management. International Journal of Economics and Management Engineering, 5(1), 73–77.
  • Trenca, I., Petria, N., & Corovei, E. A. (2015). Impact of macroeconomic variables upon the banking system liquidity. Procedia Economics and Finance, 32, 1170–1177.
  • Vodova, P. (2011). Liquidity of Czech commercial banks and its determinants. International Journal of mathematical models and methods in applied sciences, 5(6), 1060–1067.
  • Wójcik-Mazur, A., & Szajt, M. (2015). Determinants of liquidity risk in commercial banks in the European Union. Argumenta Oeconomica, 2(35), 25–48.
  • Wuryandani, G. (2012). The Determinants of Bank Liquidity. Available at SSRN 2242754.
  • Yeyati, E. L. (2008). Liquidity insurance in a financially dollarized economy. In Financial Markets Volatility and Performance in Emerging Markets (ss. 185–218). University of Chicago Press.
  • Zengin, S., & Yüksel, S. (2016). Likidite riskini etkileyen faktörler: Türk Bankacılık Sektörü üzerine bir inceleme. İstanbul Ticaret Üniversitesi Sosyal Bilimler Dergisi, 15(29), 77-95.

BANKACILIK SİSTEMİ LİKİDİTESİ VE MAKROEKONOMİK DEĞİŞKENLER ARASINDAKİ ETKİLEŞİM: VEKTÖR HATA DÜZELTME YAKLAŞIMI

Year 2021, Volume: 3 Issue: 2, 1 - 18, 25.09.2021
https://doi.org/10.46959/jeess.923789

Abstract

Bu araştırmada, likiditeyle çeşitli makro iktisadi değişkenler arasındaki etkileşimin incelenmesi amaçlanmaktadır. 2001-2019 dönemini kapsayan bir veri setiyle yapılan araştırmanın sonucunda Türkiye Ekonomisinde bankacılık sektörü likiditesi, kişi başı milli gelir, faiz ve net dış ticaret değişkenleri arasında uzun dönemli ilişki olduğuna dair bulgular elde edilmiştir. VECM analizi bulgularına göre hata düzeltme mekanizması çalışmaktadır ve uzun dönemde kişi başı milli gelir, faiz ve net dış ticaret değişkenlerinden likidite yönünde tek yönlü nedensellik ilişkisi mevcuttur. Kısa dönemli nedensellik analizi sonuçları ise faizin likiditenin Granger sebebi ve likiditenin de kişi başı milli gelirin Granger sebebi olduğunu göstermektedir.

References

  • Akkaya, M., & Azimli, T. (2018). Türk bankacılık sektöründe likidite riski yönetimi. Finans Politik & Ekonomik Yorumlar, 55(638), 35–48.
  • Al-Harbi, A. (2017). Determinants of banks liquidity: Evidence from OIC countries. Journal of Economic and Administrative Sciences. Vol. 33 No. 2, pp. 164-177.
  • Ayaydın, H., & Karaaslan, İ. (2014). Likidite riski yönetimi: Türk Bankacilik Sektörü üzerine bir araştirma. Gümüşhane Üniversitesi Sosyal Bilimler Enstitüsü Elektronik Dergisi, 5(11), 237–256.
  • BBVA (2020). Country Risk Quarterly Report. Fourth Quarter 2019 (December 13). Banco Bilbao Vizcaya Argentaria. https://www.bbvaresearch.com/en/publicaciones/country-risk-annual-report-2020/
  • BDDK (2019). 2019 Faaliyet Raporu. https://www.bddk.org.tr/ContentBddk/dokuman/hakkinda_0003_11.pd
  • BDDK (2020). Türk Bankacılık Sektörü temel göstergeleri (Haziran). https://www.bddk.org.tr/ContentBddk/dokuman/veri_000014_61.pdf
  • BIS. (2008). Principles for sound liquidity risk management and supervision. Bank for International Settlements. https://www.bis.org/publ/bcbs138.pdf
  • BIS. (2009). International Framework for Liquidity Risk Measurement, Standards and Monitoring, December. Bank for International Settlements.
  • Blackman, C. N. (1981). The Management of Foreign Exchange Reserves in Small Developing Countries. Social and Economic Studies, 156-171.
  • Calvo, G. A., & Mendoza, E. G. (2000). Contagion, globalization, and the volatility of capital flows. İçinde Capital flows and the emerging economies: Theory, evidence, and controversies (ss. 15–41). University of Chicago Press.
  • Çelik, S., & Akarım, Y. D. (2012). Likidite riski yönetimi: panel veri analizi ile İMKB bankacılık sektörü üzerine ampirik bir uygulama. Eskişehir Osmangazi Üniversitesi Sosyal Bilimler Dergisi, 13(1), 1–17.
  • Deep, A., & Schaefer, G. K. (2004). Are banks liquidity transformers? Deep, Akash and Schaefer, Guido K., Are Banks Liquidity Transformers? (May 2004). KSG Working Paper No. RWP04-022.
  • Diamond, D. W., & Rajan, R. G. (2001). Liquidity risk, liquidity creation, and financial fragility: A theory of banking. Journal of political Economy, 109(2), 287–327.
  • El Hamma, I., & Ejbari, A. (2013). Determinants of banking liquidity in South Mediterranean countries: The case of Morocco. In Financial Integration (ss. 159–171). Springer.
  • El-Chaarani, H. (2019). Determinants of bank liquidity in the Middle East region. International Review of Management and Marketing, 9(2), 64-75.
  • Engert, W., Selody, J., & Wilkins, C. (2008). Financial market turmoil and central bank intervention. Bank of Canada Financial System Review, June, 71-78.
  • Goodhart, C. (2008). Liquidity risk management. Banque de France Financial Stability Review, 11(Special Issue on Liquidity), 39-44.
  • Hicks, J. (1969). A theory of economic history (C. 9). Oxford University Press Oxford.
  • Holod, D., & Peek, J. (2007). Asymmetric information and liquidity constraints: a new test. Journal of Banking & Finance, 31(8), 2425-2451.
  • Honohan, P., & Shi, A. (2002). Deposit dollarization and the financial sector in emerging economies. The World Bank.
  • Humes, D. (1981). Foreign Reserves Management in Belize: An Assessment of the Liquidity Constraints in 1979. Social and Economic Studies, 187-200. Sayfa 187
  • Islam, M. S. (2020). Foreign Currency Bond as Solution to Trade Deficit Induced Liquidity Crisis in Banks: Evidence from Bangladesh. ILIRIA International Review, 10(1), 89-106.
  • Işık, Ö., & Belke, M. (2017). Li̇ki̇di̇te ri̇ski̇ni̇n beli̇rleyi̇ci̇leri̇: Borsa İstanbul’A kote mevduat bankalarindan kanitlar. Ekonomi Politika ve Finans Araştırmaları Dergisi, 2(2), 113–126.
  • Işıl, G., & Özkan, N. (2015). Islami bankalarda likidite riski yonetimi: Türkiye’de katilim bankaciligi uzerine ampirik bir uygulama. International Journal of Islamic Economics and Finance Studies, 1(2), 23–37.
  • Ize, A., Kiguel, M. A., & Yeyati, E. L. (2006). Managing systemic liquidity risk in financially dollarized economies. In Financial Dollarization (ss. 216–240). Springer.
  • Mohammad, S., Asutay, M., Dixon, R., & Platonova, E. (2020). Liquidity risk exposure and its determinants in the banking sector: A comparative analysis between Islamic, conventional and hybrid banks. Journal of International Financial Markets, Institutions and Money, 66, 101196.
  • Moore, W. (2009). How do financial crises affect commercial bank liquidity? Evidence from Latin America and the Caribbean. MPRA Paper, no. 21473, March 2010.
  • Negret, M. F. (2009). The heavenly liquidity twin: the ıncreasing ımportance of liquidity risk. World Bank Policy Research Working Paper. WPS5139.
  • Nicolo, G., Honohan, P., & Ize, A. (2003). Dollarization of the banking system: Good or bad? The World Bank.
  • Niţescu, D. C., & Duna, F. A. (2018). A multifactorial analysis of bank liquidity in the Euro Area. Romanian Journal of Economic Forecasting, 21(3).
  • Stiglitz, J. E. (2012). Serbest düşüş-Amerika, serbest piyasalar ve dünya ekonomisinin çöküşü (1. bs). Gündoğan Yayınları, İstanbul.
  • Teply, P. (2011). The future regulatory challenges of liquidity risk management. International Journal of Economics and Management Engineering, 5(1), 73–77.
  • Trenca, I., Petria, N., & Corovei, E. A. (2015). Impact of macroeconomic variables upon the banking system liquidity. Procedia Economics and Finance, 32, 1170–1177.
  • Vodova, P. (2011). Liquidity of Czech commercial banks and its determinants. International Journal of mathematical models and methods in applied sciences, 5(6), 1060–1067.
  • Wójcik-Mazur, A., & Szajt, M. (2015). Determinants of liquidity risk in commercial banks in the European Union. Argumenta Oeconomica, 2(35), 25–48.
  • Wuryandani, G. (2012). The Determinants of Bank Liquidity. Available at SSRN 2242754.
  • Yeyati, E. L. (2008). Liquidity insurance in a financially dollarized economy. In Financial Markets Volatility and Performance in Emerging Markets (ss. 185–218). University of Chicago Press.
  • Zengin, S., & Yüksel, S. (2016). Likidite riskini etkileyen faktörler: Türk Bankacılık Sektörü üzerine bir inceleme. İstanbul Ticaret Üniversitesi Sosyal Bilimler Dergisi, 15(29), 77-95.
There are 38 citations in total.

Details

Primary Language Turkish
Subjects Economics
Journal Section Articles
Authors

Can Karabıyık 0000-0002-7255-7946

Publication Date September 25, 2021
Published in Issue Year 2021 Volume: 3 Issue: 2

Cite

APA Karabıyık, C. (2021). BANKACILIK SİSTEMİ LİKİDİTESİ VE MAKROEKONOMİK DEĞİŞKENLER ARASINDAKİ ETKİLEŞİM: VEKTÖR HATA DÜZELTME YAKLAŞIMI. Journal of Empirical Economics and Social Sciences, 3(2), 1-18. https://doi.org/10.46959/jeess.923789