BibTex RIS Kaynak Göster

Türk Bankacılık Sektöründe Likidite Riski Yönetimi

Yıl 2018, Sayı: 638, 35 - 57, 01.04.2018

Öz

Finansal piyasalarda risk ve risk yönetimi üzerine çok sayıda çalışma bulunmaktadır. Ayrıca, risk ve risk yönetimi için çok sayıda finans teorisi geliştirilmiş ve modeller tasarlanmıştır. Ancak likidite riski yönetimi üzerine çok az çalışma bulunmaktadır. Likidite riski yönetimi çalışmaları genellikle bankaların likidite riskini artıran ve azaltan faktörleri belirlemeye yöneliktir. Likidite ve likidite riski bankaların yönetiminde önemli sonuçlar doğuran bir olgudur. Ayrıca likidite riskinin bankacılık krizlerinde önemli bir rolü bulunmaktadır. 2008 Küresel Kriz sonrasında büyük finansal kurumların iflas etmeleri likidite risk yönetiminin önemi artırmıştır. Bankacılık sektörü ve banka hisse senedi değerlendirmelerinde likidite göstergeleri günümüzde dikkate alınmaktadır. Türk bankacılık sektöründe likidite riski yönetimi üzerine çok az çalışma bulunmaktadır. Bu çalışmada Türk bankacılık sektörünün likidite riskini etkileyen değişkenlerin araştırılması amaçlanmıştır. Deep ve Schaefer (2004) metodolojisinin kullanıldığı Panel Veri analizi sonucunda Türk bankacılık sektöründe likidite yönetimini etkileyen faktörlerin aktif kârlılık oranı, mevduat / toplam pasif oranı, faiz gelirleri / faiz giderleri oranı, özel tahvil ihracı, enflasyon, işsizlik, Amerika Birleşik Devletleri Dolar Kuru ve Gayri Safi Yurtiçi Hasıl’a olduğu bulunmuştur

Kaynakça

  • AHMAD, Imtiaz and Abdul QAYYUM; (2008), “Effect of Government Spending and Macro-Economic Uncertainty on Private Investment in Services Sector: Evidence from Pakistan”, European Journal of Economics, Finance and Administrative Sciences, 11673, pp. 83-95.
  • ATTA-MENSAH, Joseph; (2004), “Money Demand and Economic Uncertainty”, Bank of Canada Working Papers, 25, pp. 1-28.
  • BAKER, Scott R., BLOOM, Nicholas and Steven J. DAVIS; (2015), “Measuring Economic Policy Uncertainty”, National Bureau of Economic Research, w21633, pp. 1-75.
  • BEKOE, William and Philip Kofi ADOM; (2013), “Macroeconomic Uncertainty and Private Investment in Ghana: An Empirical Investigation”, International Journal of Economics and Financial Issues, 3(2), pp. 276-293.
  • BREDIN, Don and Stilianos FOUNTAS; (2005), “Macroeconomic Uncertainty and Macroeconomic Performance: Are They Related?”, The Manchester School, 73(s1), pp. 58-76.
  • BROWN, Robert L., DURBIN, James and James M. EVANS; (1975), “Techniques for testing the Constancy of Regression Relations over Time”, Journal of the Royal Statistical Society, 37(2), pp. 149–163.
  • BYRNE, Joseph P., and E. Philip DAVIS; (2005), “Investment and uncertainty in the G7”, Review of World Economics, 141(1), pp. 1-32.
  • CRONIN, David, KELLY, Robert and Bernard KENNEDY; (2011), “Money Growth, Uncertainty and Macroeconomic Activity: A Multivariate GARCH Analysis”, Empirica, 38(2), pp. 155–167.
  • DEMIR, Firat; (2009), “Macroeconomic Uncertainty and Private Investment in Argentina, Mexico and Turkey”, Applied Economics Letters, 16(6), pp. 567-571.
  • DICKEY, David A. and Wayne A. FULLER; (1979), “Distribution of the Estimators for Autoregressive Time Series with a Unit Root”, Journal of the American Statistical Association, 74(336a), pp. 427–431.
  • ERDEM, Havvanur Feyza and Rahmi YAMAK; (2016), “Measuring the Optimal Macroeconomic Uncertainty Index for Turkey”, Economic Annals, 61(210), pp. 7-22.
  • ERDEM, Havvanur Feyza and Nebiye YAMAK; (2016), “Makroekonomik Belirsizlik Endeksinin Reel Sektör Üzerindeki Etkileri: Atta-Mensah Yaklaşımı”, Xth International Statistics Days Conference, Giresun, Abstracts and Proceedings Book, pp. 278-287.
  • FERDERER, Peter J.; (1993), “The Impact of Uncertainty on Aggregate Investment Spending: An Empirical Analysis”, Journal of Money, Credit and Banking, 25, pp. 30-48.
  • GAN, Pei-Tha; (2014), “The Optimal Economic Uncertainty Index: A Grid Search Application”, Computational Economics, 43(2), pp. 159-182.
  • GILCHRIST, Simon, SIM, Jae W. and Egon ZAKRAJSEK; (2014), “Uncertainty, Financial Frictions, and Investment Dynamics”, NBER Working Paper Series, 20038: 1-58. http:// www.nber.org/papers/w20038
  • GOEL, Rajeev K. and Rati RAM; (2001), “Irreversibility of R&D Investment and the Adverse Effect of Uncertainty: Evidence from the OECD Countries”, Economics Letters, 71(2), pp. 287- 291.
  • GHOSA, Vivek and Prakash LOUNGANI; (2000), “The Differential Impact of Uncertainty on Investment in Small and Large Businesses”, The Review of Economics and Statistics, 82(2), pp. 338-343.
  • GUGLIELMINETTI, Elisa; (2013), “The Effects of Uncertainty Shocks on the Labor Market: A Search Approach”, [online] http://econ.sciences-po.fr/sites/default/files/Elisa.pdf.
  • HOLLAND, A. Steven, Steven H. OTT, and Timothy J. RIDDIOUGH; (2000), “The Role of Uncertainty in Investment: An Examination of Competing Investment Models Using Commercial Real Estate Data”, Real Estate Economics, 28(1), pp. 33-64.
  • KUMO, Wolassa L.; (2006), “Macroeconomic Uncertainty and Aggregate Private Investment in South Africa”, South African Journal of Economics, 74(2), pp. 190-204.
  • LEAHY, John V, and Toni M. WHITED; (1995), “The Effect of Uncertainty on Investment: Some Stylized Facts”, National Bureau of Economic Research, w4986, pp. 1-29.
  • PESARAN, M. Hashem and Bahram PESARAN; (1997), “Working With Microfit 4.0: Interactive Econo-metric Analysis”, Oxford University Press, Oxford.
  • PESARAN, M. Hashem and Yongcheol SHIN; (1999), “Autoregressive Distributed Lag Modelling Approach to Cointegration Analysis”, In: Storm S, editor. Econometrics and Economic Theory in the 20th Century: the Ragnar Frisch Centennial Symposium. Cambridge University Press; [chapter 1].
  • PESARAN, M. Hashem, Yongcheol SHIN and Richard J. SMITH; (2001), “Bounds Testing Approaches to the Analysis of Level Relationships”, Journal of Applied Econometrics, 16(3), pp. 289-326.
  • PHILLIPS, Peter C. and Pierre PERRON; (1988), “Testing for A Unit Root in Time Series Regression”, Biometrica, 75(2), pp. 335-346.
  • RITTENBERG, Libby; (1991), “Investment Spending and Interest Rate Policy: The Case of Financial Liberalisation in Turkey”, The Journal of Development Studies, 27(2), pp. 151-167.
  • SERVEN, Luis; (1998), “Macroeconomic Uncertainty and Private Investment in Developing Countries: An Empirical Investigation”, World Bank Policy Research Working Paper, (2035), pp. 1-34.

Liquidity Risk Management in Turkish Banking Sector

Yıl 2018, Sayı: 638, 35 - 57, 01.04.2018

Öz

Risk and risk management in financial markets are among the most debated issues for finance researchers. Over the years, a number of finance theories have been developed and models have been designed. However, there is little work on liquidity risk management. Liquidity risk management studies are generally aimed at determining the factors that increase and decrease the liquidity risk of banks. Liquidity and liquidity risk have important consequences in the management of banks. After the global crisis (2008), the bankruptcy of large financial institutions increased the importance of liquidity risk management. Liquidity indicators are taken into account nowadays in the banking sector and bank stocks evaluations. There are few studies on liquidity risk in the Turkish banking sector. In this study, we have aimed to investigate the variables affecting the liquidity risk of the Turkish banking sector. Panel data analysis using Deep & Schaefer (2004) methodology revealed that the factors affecting liquidity management in the Turkish banking sector are return on assets ratio, deposit / total liability ratio, interest income / interest expenses ratio, private bond issuance, inflation, unemployment, United States exchange rate and Gross Domestic Product.

Kaynakça

  • AHMAD, Imtiaz and Abdul QAYYUM; (2008), “Effect of Government Spending and Macro-Economic Uncertainty on Private Investment in Services Sector: Evidence from Pakistan”, European Journal of Economics, Finance and Administrative Sciences, 11673, pp. 83-95.
  • ATTA-MENSAH, Joseph; (2004), “Money Demand and Economic Uncertainty”, Bank of Canada Working Papers, 25, pp. 1-28.
  • BAKER, Scott R., BLOOM, Nicholas and Steven J. DAVIS; (2015), “Measuring Economic Policy Uncertainty”, National Bureau of Economic Research, w21633, pp. 1-75.
  • BEKOE, William and Philip Kofi ADOM; (2013), “Macroeconomic Uncertainty and Private Investment in Ghana: An Empirical Investigation”, International Journal of Economics and Financial Issues, 3(2), pp. 276-293.
  • BREDIN, Don and Stilianos FOUNTAS; (2005), “Macroeconomic Uncertainty and Macroeconomic Performance: Are They Related?”, The Manchester School, 73(s1), pp. 58-76.
  • BROWN, Robert L., DURBIN, James and James M. EVANS; (1975), “Techniques for testing the Constancy of Regression Relations over Time”, Journal of the Royal Statistical Society, 37(2), pp. 149–163.
  • BYRNE, Joseph P., and E. Philip DAVIS; (2005), “Investment and uncertainty in the G7”, Review of World Economics, 141(1), pp. 1-32.
  • CRONIN, David, KELLY, Robert and Bernard KENNEDY; (2011), “Money Growth, Uncertainty and Macroeconomic Activity: A Multivariate GARCH Analysis”, Empirica, 38(2), pp. 155–167.
  • DEMIR, Firat; (2009), “Macroeconomic Uncertainty and Private Investment in Argentina, Mexico and Turkey”, Applied Economics Letters, 16(6), pp. 567-571.
  • DICKEY, David A. and Wayne A. FULLER; (1979), “Distribution of the Estimators for Autoregressive Time Series with a Unit Root”, Journal of the American Statistical Association, 74(336a), pp. 427–431.
  • ERDEM, Havvanur Feyza and Rahmi YAMAK; (2016), “Measuring the Optimal Macroeconomic Uncertainty Index for Turkey”, Economic Annals, 61(210), pp. 7-22.
  • ERDEM, Havvanur Feyza and Nebiye YAMAK; (2016), “Makroekonomik Belirsizlik Endeksinin Reel Sektör Üzerindeki Etkileri: Atta-Mensah Yaklaşımı”, Xth International Statistics Days Conference, Giresun, Abstracts and Proceedings Book, pp. 278-287.
  • FERDERER, Peter J.; (1993), “The Impact of Uncertainty on Aggregate Investment Spending: An Empirical Analysis”, Journal of Money, Credit and Banking, 25, pp. 30-48.
  • GAN, Pei-Tha; (2014), “The Optimal Economic Uncertainty Index: A Grid Search Application”, Computational Economics, 43(2), pp. 159-182.
  • GILCHRIST, Simon, SIM, Jae W. and Egon ZAKRAJSEK; (2014), “Uncertainty, Financial Frictions, and Investment Dynamics”, NBER Working Paper Series, 20038: 1-58. http:// www.nber.org/papers/w20038
  • GOEL, Rajeev K. and Rati RAM; (2001), “Irreversibility of R&D Investment and the Adverse Effect of Uncertainty: Evidence from the OECD Countries”, Economics Letters, 71(2), pp. 287- 291.
  • GHOSA, Vivek and Prakash LOUNGANI; (2000), “The Differential Impact of Uncertainty on Investment in Small and Large Businesses”, The Review of Economics and Statistics, 82(2), pp. 338-343.
  • GUGLIELMINETTI, Elisa; (2013), “The Effects of Uncertainty Shocks on the Labor Market: A Search Approach”, [online] http://econ.sciences-po.fr/sites/default/files/Elisa.pdf.
  • HOLLAND, A. Steven, Steven H. OTT, and Timothy J. RIDDIOUGH; (2000), “The Role of Uncertainty in Investment: An Examination of Competing Investment Models Using Commercial Real Estate Data”, Real Estate Economics, 28(1), pp. 33-64.
  • KUMO, Wolassa L.; (2006), “Macroeconomic Uncertainty and Aggregate Private Investment in South Africa”, South African Journal of Economics, 74(2), pp. 190-204.
  • LEAHY, John V, and Toni M. WHITED; (1995), “The Effect of Uncertainty on Investment: Some Stylized Facts”, National Bureau of Economic Research, w4986, pp. 1-29.
  • PESARAN, M. Hashem and Bahram PESARAN; (1997), “Working With Microfit 4.0: Interactive Econo-metric Analysis”, Oxford University Press, Oxford.
  • PESARAN, M. Hashem and Yongcheol SHIN; (1999), “Autoregressive Distributed Lag Modelling Approach to Cointegration Analysis”, In: Storm S, editor. Econometrics and Economic Theory in the 20th Century: the Ragnar Frisch Centennial Symposium. Cambridge University Press; [chapter 1].
  • PESARAN, M. Hashem, Yongcheol SHIN and Richard J. SMITH; (2001), “Bounds Testing Approaches to the Analysis of Level Relationships”, Journal of Applied Econometrics, 16(3), pp. 289-326.
  • PHILLIPS, Peter C. and Pierre PERRON; (1988), “Testing for A Unit Root in Time Series Regression”, Biometrica, 75(2), pp. 335-346.
  • RITTENBERG, Libby; (1991), “Investment Spending and Interest Rate Policy: The Case of Financial Liberalisation in Turkey”, The Journal of Development Studies, 27(2), pp. 151-167.
  • SERVEN, Luis; (1998), “Macroeconomic Uncertainty and Private Investment in Developing Countries: An Empirical Investigation”, World Bank Policy Research Working Paper, (2035), pp. 1-34.
Toplam 27 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Research Article
Yazarlar

Murat Akkaya

Terane Azimli

Yayımlanma Tarihi 1 Nisan 2018
Yayımlandığı Sayı Yıl 2018 Sayı: 638

Kaynak Göster

APA Akkaya, M., & Azimli, T. (2018). Türk Bankacılık Sektöründe Likidite Riski Yönetimi. Finans Politik Ve Ekonomik Yorumlar(638), 35-57.
AMA Akkaya M, Azimli T. Türk Bankacılık Sektöründe Likidite Riski Yönetimi. FPEYD. Nisan 2018;(638):35-57.
Chicago Akkaya, Murat, ve Terane Azimli. “Türk Bankacılık Sektöründe Likidite Riski Yönetimi”. Finans Politik Ve Ekonomik Yorumlar, sy. 638 (Nisan 2018): 35-57.
EndNote Akkaya M, Azimli T (01 Nisan 2018) Türk Bankacılık Sektöründe Likidite Riski Yönetimi. Finans Politik ve Ekonomik Yorumlar 638 35–57.
IEEE M. Akkaya ve T. Azimli, “Türk Bankacılık Sektöründe Likidite Riski Yönetimi”, FPEYD, sy. 638, ss. 35–57, Nisan 2018.
ISNAD Akkaya, Murat - Azimli, Terane. “Türk Bankacılık Sektöründe Likidite Riski Yönetimi”. Finans Politik ve Ekonomik Yorumlar 638 (Nisan 2018), 35-57.
JAMA Akkaya M, Azimli T. Türk Bankacılık Sektöründe Likidite Riski Yönetimi. FPEYD. 2018;:35–57.
MLA Akkaya, Murat ve Terane Azimli. “Türk Bankacılık Sektöründe Likidite Riski Yönetimi”. Finans Politik Ve Ekonomik Yorumlar, sy. 638, 2018, ss. 35-57.
Vancouver Akkaya M, Azimli T. Türk Bankacılık Sektöründe Likidite Riski Yönetimi. FPEYD. 2018(638):35-57.