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TÜRK BANKACILIK SEKTÖRÜNDE LİKİDİTE KARŞILAMA ORANINI BELİRLEYEN FAKTÖRLER: COVID – 19 PANDEMİ DÖNEMİNİ DE KAPSAYAN BİR PANEL VERİ ANALİZİ UYGULAMASI

Year 2023, Volume: 24 Issue: 1, 399 - 410, 22.01.2023
https://doi.org/10.31671/doujournal.1201124

Abstract

Ekonominin geneli ve finansal sistemin önemli aktörlerinden olan bankalar, küresel ve ulusal ölçekte ekonomide yaşanan gelişmelerden doğrudan ve dolaylı olarak etkilenmekte, çeşitli risklere maruz kalarak faaliyetlerini sürdürmektedir. Bu nedenle bankaların maruz kaldıkları riskler ve risklerin yönetimi önemlidir. Belirtilen riskler arasında yeralan likidite riski bankalar için hayati öneme sahip olup, proaktif yönetim gerektirmektedir. Bu kapsamda, hazırlanan çalışma ile Türk Bankacılık sektörü ölçeğinde bankalarda likidite düzeyinin bir göstergesi olan Likidite Karşılama Oranının içsel ve dışsal belirleyicilerinin Covid-19 dönemini kapsayacak şekilde ortaya konulması amaçlanmıştır. Türkiye’de faaliyette bulunan 19 ticari ve 4 katılım bankasının 2015/12 ay ve 2021/9 arası çeyrek dönemlik verileri kurulan modeller kapsamında, panel veri analizi yöntemiyle analiz edilmiştir.
Analiz neticesinde, örneklem kapsamında mevduat ve katılım bankalarından oluşan Türk bankacılık sektörünün likidite düzeyi ile bankalara özgü mevduat, kredi mevduat oranı, öz kaynak kârlılığı, sermaye yeterlilik oranı, öz kaynaklar ve aktif büyüklük ile makro ekonomik faktörlerden para arzı, kredi temerrüt takası, kontrol değişkeni Covid dönemi arasında istatistik açıdan anlamlı ilişkilerin bulunduğu sonucuna ulaşılmıştır.

Supporting Institution

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Project Number

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Thanks

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References

  • Abdul-Rahman, A., Sulaiman, A.A., Latifah, N., Said, H.M. (2018). Does financing structure affects bank liquidity risk?. Pacific-Basin Finance Journal, 52 (C), 26-39.
  • Alper, D., Anbar, A. (2011). Bank specific and macroeconomic determinants of commercial bank profitability: empirical evidence from Turkey. Business and Economics Research Journal, 2(2), 139-152.
  • Altahtamouni, F., Alyousef, S. (2021). The effect of liquidity according to the requirements of the Basel III committee on the profitability of banks: Evidence from Saudi banks. International Journal of Economics and Business Administration, 9(2), 439-463.
  • Altan, F. (2017). Türk bankacılık sektöründe likidite riskini belirleyen faktörler: bir panel veri uygulaması. (Yayımlanmamış yüksek lisans tezi). Cumhuriyet Üniversitesi Sosyal Bilimler Enstitüsü, Sivas.
  • Arellano, M. (1987). Computing robust standart errors for within-group estimators. Oxford Bulletin of Economics and Statistics, 49(4), 431-434.
  • Arltova, M., Fedorova, D. (2016). Selection of unit root test on the basis of length of the time series and value of ar (1) parameter. Statistika, 96(3), 47-64.
  • Aspachs O., Nier E., Tiesset M. (2005). Liquidity, banking regulation and the macroeconomy. SSRN Electronic Journal. Elektronik ön baskı. http://dx.doi.org/10.2139/ssrn.673883
  • Ayaydın, H., Karaaslan, İ. (2014). Likidite riski yönetimi: Türk bankacılık sektörü üzerine bir araştırma. Gümüşhane Üniversitesi Sosyal Bilimler Elektronik Dergisi, 5(11), 237-256.
  • Bourke, P. (1989). Concentration and other determinants of bank profitability in Europe, North America and Australia. Journal of Banking and Finance, 13(1), 65-79.
  • Breusch, T., Pagan, A. (1980). The lagrange multiplier test and ıts applications to model specification in econometrics. Review of Economic Studies, 47(1), 239-253.
  • Cucinelli, D. (2013). The determinants of bank liquidity risk within the context of Euro area. Interdisciplinary Journal of Research in Business, 2(10), 51- 64.
  • Çelik, M., Tekşen, Ö. (2021). Does it matter how to fund?: A research on Turkish deposit banks. Istanbul Business Research, 50(2), 359-383.
  • Dinger, V. (2009). Do foreign-owned banks affect banking system liquidity risk?. Journal of Comparative Economics, 37(4), 647-657.
  • Du, B. (2017). How useful is Basel III’s liquidity coverage ratio? Evidence from US bank holding companies. European Financial Management, 23(5), 902-919.
  • Ferrouhi, E.M., Lehadiri, A. (2014). Liquidity determinants of Moroccan banking industry. International Research Journal of Finance and Economics, 118(1), 103-112.
  • Froot, K. (1989). Consistent covariance matrix estimation with cross-sectional dependence and heteroskedasticity in financial data. Journal of the American Statistical Association, 24(3), 333-355.
  • Ganic, M. (2014). An empirical study on liquidity risk and its determinants in Bosnia and Herzegovina. The Romania Economic Journal, 52, 157-184. Erişim adresi http://dx.doi.org/10.2139/ssrn.2510743
  • Gonzalez-Hermosillo, B. (1999). Determinants of ex-ante banking system distress: A macro-micro empirical exploration of some recent episodes. Erişim adresi https://www.imf.org/en/Publications/WP/Issues/2016/12/30/Determinants-of-Ex-Ante-Banking-System-Distress-A-Macro-Micro-Empirical-Exploration-of-Some-2908
  • Grant, J. (2012). Liquidity buffers of Australian owned ADI’s. JASSA: The Journal of the Securities Institute of Australia, 3, 31-36.
  • Gülhan, O. (2018). Bankacılıkta likidite riski ve likidite düzenlemeleri Türk bankacılık sektörü üzerine uygulamalar. (Yayımlanmamış doktora tezi). T.C. Başkent Üniversitesi Sosyal Bilimler Enstitüsü, Ankara.
  • Hausmann, J. (1978). Specification test in econometrics. Econometrica, 46(6), 1251-1271.
  • Iqbal, A. (2012). Liquidity risk management: a comparative study between conventional and islamic banks of Pakistan. Global Journal of Management and Business Research, 12(5), 141-164.
  • Işık, Ö., Belke, M. (2017). Likidite riskinin belirleyicileri: Borsa İstanbul'a kote mevduat bankalarından kanıtlar. Ekonomi, Politika & Finans Araştırmaları Dergisi, 2(2), 113-126
  • Kakaç, B. (2019). Türkiye’de bankacılık türleri açısından kredi risk yönetiminin analizi. (Yayımlanmamış yüksek lisans tezi). Hitit Üniversitesi Sosyal Bilimler Enstitüsü, Çorum.
  • Kocaman Ekim, B., Babuşçu, Ş., Hazar, A. (2018). Likidite riskini etkileyen faktörler üzerine bir analiz – uygulama örneği. Uluslararası Katılımlı 22. Finans Sempozyumu, Mersin, Türkiye, 10-13 Ekim 2018.
  • Maechler, A.M., Mitra, S., Worrell, D. (2007). Decomposing financial risks and vulnerabilities in eastern Europe. IMF Working Paper, 2007(248), 1-33.
  • 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. Erişim adresi https://doi.org/10.1016 /j.intfin.2020.101196
  • Molyneux P., Thornton J. (1992). Determinants of European bank profitability: A note. Journal of Banking and Finance, 16(6), 1173-1178.
  • Muriithi, J.G., Waweru, K.M. (2017). Liquidity risk and financial performance of commercial banks in Kenya. International Journal of Economics and Finance, 9(3), 256-265.
  • Onat, C. (2019). Katılım bankacılığında likidite riski ve yönetimi. (Uzmanlık tezi). Türkiye Cumhuriyeti Cumhurbaşkanlığı Bütçe ve Strateji Başkanlığı, Ankara
  • Pesaran, M. H. (2015). Time series and panel data econometrics. Oxford University Press. Erişim adresi https://link.springer.com/article/10.1007/s00362-016-0816-1
  • Poorman, F. Jr., Blake, J. (2005). Measuring and modeling liquidity risk: new ideas and metrics. Financial Managers Society Inc., working paper.
  • Rogers, W. (1993). Regression standart errors in clustered samples. Stata Technical Bulletin, 3(13), 19-23.
  • Roman, A., Şargu A.C. (2013). Banks liquidity risk analysis in the new European member countries: Evidence from Bulgaria and Romania. Procedia Economics and Finance, 15, 569-576. Erişim adresi https://www. sciencedirect.com/science/article/pii/S2212567114005127?via%3Dihub
  • Shahchera, M., Taheri M. (2019). Liquidity coverage ratio, ownership, stability: Evidence from Iran. Journal of Money and Economy, 12(2), 175-191.
  • Singh, A., Sharma, A. K. (2016). An empirical analysis of macroeconomic and bank-specific factors affecting liquidity of Indian banks. Future Business Journal, 2(1), 40-53.
  • Sitepu, R.W. (2020). Factors affecting liquidity coverage ratio (LCR) as implementation of Basel III in the banking sector. International Journal of Public Budgeting, Accounting and Finance, 2(4), 1–15.
  • Vodova, P. (2011). Liquidity of Czech commercial banks and its determinants. International Journal of Mathematical Models and Methods in Applied Sciences, 6(5), 1060-1067.
  • Yaacob, S.F., Rahman, A.A., Karim, Z.A. (2016). The determinants of liquidity risk: a panel study of islamic banks in Malaysia. Journal of Contemporary Issues and Thought, 6, 73-82. Erişim adresi https://ejournal.upsi.edu.my/index.php /JCIT/article/view/1073/765
  • Zivot, E. (2006). Unit root tests (online). Erişim Adresi: http://faculty.washington.edu/ ezivot/econ584/notes/unitroot.pdf

FACTORS DETERMINING THE LIQUIDITY COVERAGE RATIO IN TURKISH BANKING SECTOR: A PANEL DATA ANALYSIS INCLUDING THE COVID-19 PANDEMIC PERIOD

Year 2023, Volume: 24 Issue: 1, 399 - 410, 22.01.2023
https://doi.org/10.31671/doujournal.1201124

Abstract

Banks, which are important actors of the overall economy and the financial system, are directly and indirectly affected by the developments in the global and national economy and continue their activities by being exposed to various risks. Therefore, the risks that banks are exposed to and the management of these risks are important. Liquidity risk, which is among the risks mentioned above, is of vital importance for banks and requires proactive management. In this context, this study aims to reveal the internal and external determinants of the Liquidity Coverage Ratio, which is an indicator of the liquidity level of banks in the Turkish banking sector, covering the Covid-19 period. The quarterly data of 19 commercial and 4 participation banks operating in Turkey between 2015/12 and 2021/9 were analysed by panel data analysis method within the scope of the established models.As a result of the analysis, it was concluded that there are statistically significant relationships between the liquidity level of the Turkish banking sector, which consists of deposit and participation banks within the scope of the sample, and bank-specific deposits, loan deposit ratio, return on equity, capital adequacy ratio, equity and asset size and macroeconomic factors money supply, credit default swap, control variable Covid period.

Project Number

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References

  • Abdul-Rahman, A., Sulaiman, A.A., Latifah, N., Said, H.M. (2018). Does financing structure affects bank liquidity risk?. Pacific-Basin Finance Journal, 52 (C), 26-39.
  • Alper, D., Anbar, A. (2011). Bank specific and macroeconomic determinants of commercial bank profitability: empirical evidence from Turkey. Business and Economics Research Journal, 2(2), 139-152.
  • Altahtamouni, F., Alyousef, S. (2021). The effect of liquidity according to the requirements of the Basel III committee on the profitability of banks: Evidence from Saudi banks. International Journal of Economics and Business Administration, 9(2), 439-463.
  • Altan, F. (2017). Türk bankacılık sektöründe likidite riskini belirleyen faktörler: bir panel veri uygulaması. (Yayımlanmamış yüksek lisans tezi). Cumhuriyet Üniversitesi Sosyal Bilimler Enstitüsü, Sivas.
  • Arellano, M. (1987). Computing robust standart errors for within-group estimators. Oxford Bulletin of Economics and Statistics, 49(4), 431-434.
  • Arltova, M., Fedorova, D. (2016). Selection of unit root test on the basis of length of the time series and value of ar (1) parameter. Statistika, 96(3), 47-64.
  • Aspachs O., Nier E., Tiesset M. (2005). Liquidity, banking regulation and the macroeconomy. SSRN Electronic Journal. Elektronik ön baskı. http://dx.doi.org/10.2139/ssrn.673883
  • Ayaydın, H., Karaaslan, İ. (2014). Likidite riski yönetimi: Türk bankacılık sektörü üzerine bir araştırma. Gümüşhane Üniversitesi Sosyal Bilimler Elektronik Dergisi, 5(11), 237-256.
  • Bourke, P. (1989). Concentration and other determinants of bank profitability in Europe, North America and Australia. Journal of Banking and Finance, 13(1), 65-79.
  • Breusch, T., Pagan, A. (1980). The lagrange multiplier test and ıts applications to model specification in econometrics. Review of Economic Studies, 47(1), 239-253.
  • Cucinelli, D. (2013). The determinants of bank liquidity risk within the context of Euro area. Interdisciplinary Journal of Research in Business, 2(10), 51- 64.
  • Çelik, M., Tekşen, Ö. (2021). Does it matter how to fund?: A research on Turkish deposit banks. Istanbul Business Research, 50(2), 359-383.
  • Dinger, V. (2009). Do foreign-owned banks affect banking system liquidity risk?. Journal of Comparative Economics, 37(4), 647-657.
  • Du, B. (2017). How useful is Basel III’s liquidity coverage ratio? Evidence from US bank holding companies. European Financial Management, 23(5), 902-919.
  • Ferrouhi, E.M., Lehadiri, A. (2014). Liquidity determinants of Moroccan banking industry. International Research Journal of Finance and Economics, 118(1), 103-112.
  • Froot, K. (1989). Consistent covariance matrix estimation with cross-sectional dependence and heteroskedasticity in financial data. Journal of the American Statistical Association, 24(3), 333-355.
  • Ganic, M. (2014). An empirical study on liquidity risk and its determinants in Bosnia and Herzegovina. The Romania Economic Journal, 52, 157-184. Erişim adresi http://dx.doi.org/10.2139/ssrn.2510743
  • Gonzalez-Hermosillo, B. (1999). Determinants of ex-ante banking system distress: A macro-micro empirical exploration of some recent episodes. Erişim adresi https://www.imf.org/en/Publications/WP/Issues/2016/12/30/Determinants-of-Ex-Ante-Banking-System-Distress-A-Macro-Micro-Empirical-Exploration-of-Some-2908
  • Grant, J. (2012). Liquidity buffers of Australian owned ADI’s. JASSA: The Journal of the Securities Institute of Australia, 3, 31-36.
  • Gülhan, O. (2018). Bankacılıkta likidite riski ve likidite düzenlemeleri Türk bankacılık sektörü üzerine uygulamalar. (Yayımlanmamış doktora tezi). T.C. Başkent Üniversitesi Sosyal Bilimler Enstitüsü, Ankara.
  • Hausmann, J. (1978). Specification test in econometrics. Econometrica, 46(6), 1251-1271.
  • Iqbal, A. (2012). Liquidity risk management: a comparative study between conventional and islamic banks of Pakistan. Global Journal of Management and Business Research, 12(5), 141-164.
  • Işık, Ö., Belke, M. (2017). Likidite riskinin belirleyicileri: Borsa İstanbul'a kote mevduat bankalarından kanıtlar. Ekonomi, Politika & Finans Araştırmaları Dergisi, 2(2), 113-126
  • Kakaç, B. (2019). Türkiye’de bankacılık türleri açısından kredi risk yönetiminin analizi. (Yayımlanmamış yüksek lisans tezi). Hitit Üniversitesi Sosyal Bilimler Enstitüsü, Çorum.
  • Kocaman Ekim, B., Babuşçu, Ş., Hazar, A. (2018). Likidite riskini etkileyen faktörler üzerine bir analiz – uygulama örneği. Uluslararası Katılımlı 22. Finans Sempozyumu, Mersin, Türkiye, 10-13 Ekim 2018.
  • Maechler, A.M., Mitra, S., Worrell, D. (2007). Decomposing financial risks and vulnerabilities in eastern Europe. IMF Working Paper, 2007(248), 1-33.
  • 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. Erişim adresi https://doi.org/10.1016 /j.intfin.2020.101196
  • Molyneux P., Thornton J. (1992). Determinants of European bank profitability: A note. Journal of Banking and Finance, 16(6), 1173-1178.
  • Muriithi, J.G., Waweru, K.M. (2017). Liquidity risk and financial performance of commercial banks in Kenya. International Journal of Economics and Finance, 9(3), 256-265.
  • Onat, C. (2019). Katılım bankacılığında likidite riski ve yönetimi. (Uzmanlık tezi). Türkiye Cumhuriyeti Cumhurbaşkanlığı Bütçe ve Strateji Başkanlığı, Ankara
  • Pesaran, M. H. (2015). Time series and panel data econometrics. Oxford University Press. Erişim adresi https://link.springer.com/article/10.1007/s00362-016-0816-1
  • Poorman, F. Jr., Blake, J. (2005). Measuring and modeling liquidity risk: new ideas and metrics. Financial Managers Society Inc., working paper.
  • Rogers, W. (1993). Regression standart errors in clustered samples. Stata Technical Bulletin, 3(13), 19-23.
  • Roman, A., Şargu A.C. (2013). Banks liquidity risk analysis in the new European member countries: Evidence from Bulgaria and Romania. Procedia Economics and Finance, 15, 569-576. Erişim adresi https://www. sciencedirect.com/science/article/pii/S2212567114005127?via%3Dihub
  • Shahchera, M., Taheri M. (2019). Liquidity coverage ratio, ownership, stability: Evidence from Iran. Journal of Money and Economy, 12(2), 175-191.
  • Singh, A., Sharma, A. K. (2016). An empirical analysis of macroeconomic and bank-specific factors affecting liquidity of Indian banks. Future Business Journal, 2(1), 40-53.
  • Sitepu, R.W. (2020). Factors affecting liquidity coverage ratio (LCR) as implementation of Basel III in the banking sector. International Journal of Public Budgeting, Accounting and Finance, 2(4), 1–15.
  • Vodova, P. (2011). Liquidity of Czech commercial banks and its determinants. International Journal of Mathematical Models and Methods in Applied Sciences, 6(5), 1060-1067.
  • Yaacob, S.F., Rahman, A.A., Karim, Z.A. (2016). The determinants of liquidity risk: a panel study of islamic banks in Malaysia. Journal of Contemporary Issues and Thought, 6, 73-82. Erişim adresi https://ejournal.upsi.edu.my/index.php /JCIT/article/view/1073/765
  • Zivot, E. (2006). Unit root tests (online). Erişim Adresi: http://faculty.washington.edu/ ezivot/econ584/notes/unitroot.pdf
There are 40 citations in total.

Details

Primary Language Turkish
Subjects Finance
Journal Section Research Article
Authors

Ahmet Çakmak 0000-0003-2677-1930

Onur Sunal 0000-0002-3972-4060

Project Number -
Publication Date January 22, 2023
Submission Date November 8, 2022
Published in Issue Year 2023 Volume: 24 Issue: 1

Cite

APA Çakmak, A., & Sunal, O. (2023). TÜRK BANKACILIK SEKTÖRÜNDE LİKİDİTE KARŞILAMA ORANINI BELİRLEYEN FAKTÖRLER: COVID – 19 PANDEMİ DÖNEMİNİ DE KAPSAYAN BİR PANEL VERİ ANALİZİ UYGULAMASI. Doğuş Üniversitesi Dergisi, 24(1), 399-410. https://doi.org/10.31671/doujournal.1201124