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TÜRKİYE BANKACILIK SEKTÖRÜNDE TAKİPTEKİ ALACAKLAR İLE SERMAYE YETERLİLİĞİ İLİŞKİSİ

Year 2022, Volume: 23 Issue: 1, 351 - 370, 28.01.2022

Gülay Selvi Hanişoğlu Hazar Altınbaş

https://doi.org/10.31671/doujournal.1001447

Abstract

Bu çalışmada Türkiye bankacılık sektörünün genelinde ve mevduat bankalarında takipteki alacakların, bankaların sermaye yeterlilik oranları ile nasıl bir ilişki içerisinde olduğu araştırılmıştır. 2001 krizi sonrası sektörün sağlam bir yapıya kavuştuğu 2005 yılı analiz başlangıcı olarak alınmış, incelenen göstergeleri yapay şekilde etkileyecek çok sayıda düzenlemenin hayata geçirildiği 2017 yılı ve sonrası kapsam dışında bırakılmıştır. Bulgular takipteki alacakların bankaların sermaye yeterlilikleri üzerinde olumsuz bir etki yaratmadığını; sermaye yeterlilik oranı düştüğünde takipteki alacakların artma eğiliminde olduğu ancak bu artışın kritik bir düzeye ulaşmadığını göstermiştir. İncelenen dönemde bankacılık sektörünün, sorunları gizleyici müdahalelere gerek kalmadan güvenilir bir şekilde faaliyet gösterdiğini ve bugün önceliğin makroekonomik istikrarın ve kur istikrarının sağlanmasına verilmesi gerektiğini söylemek mümkündür.

Keywords

Bankacılık takipteki alacaklar sermaye yeterliliği Granger nedensellik Toda-Yamamoto

References

  • Altay, O. (2021). Sovereign-Bank nexus of Turkey: An analysis of sovereign risk and banking industry performance indicators based on Camels Rating System. Doğuş Üniversitesi Dergisi, 22(2), 217-235.
  • Amiri, A. ve Ventelou, B. (2012). Granger causality between total expenditure on health and GDP in OECD: Evidence from the Toda-Yamamoto approach. Economics Letters, 116(3), 541–544. doi:10.1016/j.econlet.2012.04.040
  • Basel Committee. (2016). Prudential treatment of problem assets –definitions of non-performing exposures and forbearance.
  • Bawa, J. K., ve Basu, S. (2020). Restructuring assets reform, 2013: Impact of operational ability, liquidity, bank capital, profitability and capital on bank credit risk. IIMB Management Review, 32(3), 267-279.
  • BDDK. (2006). Sermaye yeterliliği standart rasyosu (Sayı:BDDK. UY1/100/13250)
  • BDDK. (2016). Bankaların sermaye ve likidite planlamasında kullanacakları stres testlerine ilişkin rehber.
  • BDDK. (2021). Aylık bankacılık sektörü verileri. Erişim adresi: www.bddk.org.tr/BultenAylik/tr/Home/Gelismis
  • Berger, A. N. ve DeYoung, R. (1997). Problem loans and cost efficiency in commercial banks. Journal of Banking & Finance, 21(6), 849870.
  • Bhattarai, B. P. (2020). Effects of non-performing loan on profitability of commercial banks in Nepal. Management, 6(6), 164–170.
  • BIS. (2019). Risk-based capital requirements. Erişim adresi: https://www.bis.org/basel_framework/chapter/RBC/20.htm
  • Dickey, D. A. ve Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical, 74(366), 427–431.
  • Granger, C. W. J. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica: Journal of the Econometric Society, 37(3), 424–439.
  • Igwemma, A. A., Ogu, C., Pascal, A. U., Odionye, J. C., & Chika, O. L. (2020). Commercial banks loans and lending rate in Nigeria: A Toda-Yamamoto causality approach, Journal of Economics and Sustainable Development, 11(2), 13-20.
  • Islam, M. Z. ve Islam, M. S. (2018). Non-performing loan as eroding factor of capital adequacy: Evidence from banking industry in Bangladesh. Romanian Economic and Business Review, 13(2), 23–29.
  • Johansen, S. (1988). Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control, 12(2), 231–254. doi:https://doi.org/10.1016/0165-1889(88)90041-3
  • Johansen, S. (1991). Estimation and hypothesis testing of cointegration vectors in gaussian vector autoregressive models. Econometrica, 59(6), 1551–1580.
  • Keeton, W. R. ve Morris, C. S. (1987). Why do banks’ loan losses differ. Economic Review, 72(5), 3–21.
  • Kılcı, E. N. (2017). Bankacılık sektörü bilançolarındaki kırılganlıklar ile krizler arasındaki ilişkinin değerlendirilmesi; Türkiye örneği, 2000-01 krizleri. Finans Politik ve Ekonomik Yorumlar, 54(631), 55-64.
  • Klein, N. (2013). Non-performing loans in CESEE: Determinants and macroeconomic performance ( No: WP/13/72).
  • Miller, S. M. (1991). Monetary dynamics : An application of cointegration and error-correction modeling. Journal of Money, Credit and Banking, 23(2), 139–154.
  • Miller, S. M. ve Russek, F. S. (1990). Co-integration and error-correction models : The temporal causality between government taxes and spending. Southern Economic Journal, 57(1), 221–229.
  • Nuviyanti, A. A. H. ve Anggono, A. H. (2014). Determinants of capital adequacy ratio (CAR) in 19 commercial banks (case study: period 2008-2013). Journal of Business and Management, 3(7), 752–764.
  • Pfaff, B. (2008a). Analysis of integrated and cointegrated time series with R. Springer Science & Business Media.
  • Pfaff, B. (2008b). VAR, SVAR and SVEC models: Implementation within R package vars. Journal of Statistical Software, 27(2006), 1–32. doi:10.18637/jss.v027.i04
  • Sevinç, D. (2021). Türkiye’de takipteki banka kredileri ile makroekonomik faktörler arasındaki ilişki. Mehmet Akif Ersoy Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 8(2), 609-629.
  • Swandewi, M., Purnawati, N. (2021). Capital adequacy ratio mediates the effect of non-performing loan on returns on assets in public commercial banks. American Journal of Humanities and Social Sciences Research, 1(5), 651–656.
  • PWC. (2019). The way forward for Turkish distressed loans and assets - resolution alternatives.
  • Salas, V. ve Saurina, J. (2002). Credit risk in two institutional regimes: Spanish commercial and saving banks. Journal of Financial Services Research, 22(3), 203–224.
  • Shingjergji, A. ve Hyseni, M. (2015). The determinants of the capital adequacy ratio in the Albanian banking system during 2007 - 2014. International Journal of Economics, Commerce and Management, 3(1), 1–10
  • Sims, C. A. (1980). Macroeconomics and reality. Econometrica, 48(1), 1–48.
  • TBB. (2004). Basel II: Yeni sermaye yeterliliği düzenlemesi.
  • TBB. (2010). Bankalarımız 2009. İstanbul. Yayın no: 267.
  • TBB. (2021). Bankalarımız 2020. İstanbul. Yayın no: 339.
  • TCMB. (2009). Finansal istikrar raporu. Sayı: 9.
  • Toda, H. Y. ve Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of Econometrics, 66(1–2), 225–250. doi:10.1016/0304-4076(94)01616-8
  • Wezel, T., Canta, M. ve Luy, M. (2014). A practical example of the nonperforming loans projection approach to to stress testing. A Guide to IMF Stress Testing Methods and Models içinde (ss. 473–483). IMF.
  • Yıldırım, F. (2021). Analysis of the relationship between countercyclical capital buffer and performance and risk indicators of the banking sector. Economics and Business Review, 7(3), 103-123.
  • Zapata, H. O. ve Rambaldi, A. N. (1997). Monte carlo evidence on cointegration and causation. Oxford Bulletin of Economics and Statistics, 59(2), 285–298. doi:10.1111/1468-0084.00065
  • Zengin, S. ve Yüksel, S. (2016). Likidite riskini etkileyen faktörler: Türk bankacılık sektörü üzerine bir inceleme. İstanbul Ticaret Üniversitesi Sosyal Bilimler Dergisi, 29, 77–95.

RELATIONSHIP BETWEEN NON-PERFORMING LOANS AND CAPITAL ADEQUACY IN TURKISH BANKING SECTOR

Year 2022, Volume: 23 Issue: 1, 351 - 370, 28.01.2022

Gülay Selvi Hanişoğlu Hazar Altınbaş

https://doi.org/10.31671/doujournal.1001447

Abstract

In this study, relationship between non-performing loans and capital adequacy ratios is examined both for banking sector and deposit banks. Analysis period starts with 2005, in which the sector restored to a solid state; and post-2017 period is excluded because several amendments that artificially influences examined indicators took place in those years. Results show that non-performing loans do not have any adverse effect on capital adequacies; and when capital adequacy decreases, non-performing loans tend to increase but this increase did not reach to critical levels. It is possible to say that in the examined period, banking sector operates reliably without any need for concealing underlying problems and today, priority must be given to maintain macroeconomic and exchange rate stability.

Keywords

Banking non-performing loans capital adequacy Granger causality Toda-Yamamoto.

References

  • Altay, O. (2021). Sovereign-Bank nexus of Turkey: An analysis of sovereign risk and banking industry performance indicators based on Camels Rating System. Doğuş Üniversitesi Dergisi, 22(2), 217-235.
  • Amiri, A. ve Ventelou, B. (2012). Granger causality between total expenditure on health and GDP in OECD: Evidence from the Toda-Yamamoto approach. Economics Letters, 116(3), 541–544. doi:10.1016/j.econlet.2012.04.040
  • Basel Committee. (2016). Prudential treatment of problem assets –definitions of non-performing exposures and forbearance.
  • Bawa, J. K., ve Basu, S. (2020). Restructuring assets reform, 2013: Impact of operational ability, liquidity, bank capital, profitability and capital on bank credit risk. IIMB Management Review, 32(3), 267-279.
  • BDDK. (2006). Sermaye yeterliliği standart rasyosu (Sayı:BDDK. UY1/100/13250)
  • BDDK. (2016). Bankaların sermaye ve likidite planlamasında kullanacakları stres testlerine ilişkin rehber.
  • BDDK. (2021). Aylık bankacılık sektörü verileri. Erişim adresi: www.bddk.org.tr/BultenAylik/tr/Home/Gelismis
  • Berger, A. N. ve DeYoung, R. (1997). Problem loans and cost efficiency in commercial banks. Journal of Banking & Finance, 21(6), 849870.
  • Bhattarai, B. P. (2020). Effects of non-performing loan on profitability of commercial banks in Nepal. Management, 6(6), 164–170.
  • BIS. (2019). Risk-based capital requirements. Erişim adresi: https://www.bis.org/basel_framework/chapter/RBC/20.htm
  • Dickey, D. A. ve Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical, 74(366), 427–431.
  • Granger, C. W. J. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica: Journal of the Econometric Society, 37(3), 424–439.
  • Igwemma, A. A., Ogu, C., Pascal, A. U., Odionye, J. C., & Chika, O. L. (2020). Commercial banks loans and lending rate in Nigeria: A Toda-Yamamoto causality approach, Journal of Economics and Sustainable Development, 11(2), 13-20.
  • Islam, M. Z. ve Islam, M. S. (2018). Non-performing loan as eroding factor of capital adequacy: Evidence from banking industry in Bangladesh. Romanian Economic and Business Review, 13(2), 23–29.
  • Johansen, S. (1988). Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control, 12(2), 231–254. doi:https://doi.org/10.1016/0165-1889(88)90041-3
  • Johansen, S. (1991). Estimation and hypothesis testing of cointegration vectors in gaussian vector autoregressive models. Econometrica, 59(6), 1551–1580.
  • Keeton, W. R. ve Morris, C. S. (1987). Why do banks’ loan losses differ. Economic Review, 72(5), 3–21.
  • Kılcı, E. N. (2017). Bankacılık sektörü bilançolarındaki kırılganlıklar ile krizler arasındaki ilişkinin değerlendirilmesi; Türkiye örneği, 2000-01 krizleri. Finans Politik ve Ekonomik Yorumlar, 54(631), 55-64.
  • Klein, N. (2013). Non-performing loans in CESEE: Determinants and macroeconomic performance ( No: WP/13/72).
  • Miller, S. M. (1991). Monetary dynamics : An application of cointegration and error-correction modeling. Journal of Money, Credit and Banking, 23(2), 139–154.
  • Miller, S. M. ve Russek, F. S. (1990). Co-integration and error-correction models : The temporal causality between government taxes and spending. Southern Economic Journal, 57(1), 221–229.
  • Nuviyanti, A. A. H. ve Anggono, A. H. (2014). Determinants of capital adequacy ratio (CAR) in 19 commercial banks (case study: period 2008-2013). Journal of Business and Management, 3(7), 752–764.
  • Pfaff, B. (2008a). Analysis of integrated and cointegrated time series with R. Springer Science & Business Media.
  • Pfaff, B. (2008b). VAR, SVAR and SVEC models: Implementation within R package vars. Journal of Statistical Software, 27(2006), 1–32. doi:10.18637/jss.v027.i04
  • Sevinç, D. (2021). Türkiye’de takipteki banka kredileri ile makroekonomik faktörler arasındaki ilişki. Mehmet Akif Ersoy Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 8(2), 609-629.
  • Swandewi, M., Purnawati, N. (2021). Capital adequacy ratio mediates the effect of non-performing loan on returns on assets in public commercial banks. American Journal of Humanities and Social Sciences Research, 1(5), 651–656.
  • PWC. (2019). The way forward for Turkish distressed loans and assets - resolution alternatives.
  • Salas, V. ve Saurina, J. (2002). Credit risk in two institutional regimes: Spanish commercial and saving banks. Journal of Financial Services Research, 22(3), 203–224.
  • Shingjergji, A. ve Hyseni, M. (2015). The determinants of the capital adequacy ratio in the Albanian banking system during 2007 - 2014. International Journal of Economics, Commerce and Management, 3(1), 1–10
  • Sims, C. A. (1980). Macroeconomics and reality. Econometrica, 48(1), 1–48.
  • TBB. (2004). Basel II: Yeni sermaye yeterliliği düzenlemesi.
  • TBB. (2010). Bankalarımız 2009. İstanbul. Yayın no: 267.
  • TBB. (2021). Bankalarımız 2020. İstanbul. Yayın no: 339.
  • TCMB. (2009). Finansal istikrar raporu. Sayı: 9.
  • Toda, H. Y. ve Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of Econometrics, 66(1–2), 225–250. doi:10.1016/0304-4076(94)01616-8
  • Wezel, T., Canta, M. ve Luy, M. (2014). A practical example of the nonperforming loans projection approach to to stress testing. A Guide to IMF Stress Testing Methods and Models içinde (ss. 473–483). IMF.
  • Yıldırım, F. (2021). Analysis of the relationship between countercyclical capital buffer and performance and risk indicators of the banking sector. Economics and Business Review, 7(3), 103-123.
  • Zapata, H. O. ve Rambaldi, A. N. (1997). Monte carlo evidence on cointegration and causation. Oxford Bulletin of Economics and Statistics, 59(2), 285–298. doi:10.1111/1468-0084.00065
  • Zengin, S. ve Yüksel, S. (2016). Likidite riskini etkileyen faktörler: Türk bankacılık sektörü üzerine bir inceleme. İstanbul Ticaret Üniversitesi Sosyal Bilimler Dergisi, 29, 77–95.
There are 39 citations in total.

Details

Primary Language Turkish
Subjects Finance
Journal Section Research Article
Authors

Gülay Selvi Hanişoğlu 0000-0001-6174-2452

Hazar Altınbaş 0000-0001-8160-0611

Publication Date January 28, 2022
Submission Date September 27, 2021
Published in Issue Year 2022 Volume: 23 Issue: 1

Cite

APA Selvi Hanişoğlu, G., & Altınbaş, H. (2022). TÜRKİYE BANKACILIK SEKTÖRÜNDE TAKİPTEKİ ALACAKLAR İLE SERMAYE YETERLİLİĞİ İLİŞKİSİ. Doğuş Üniversitesi Dergisi, 23(1), 351-370. https://doi.org/10.31671/doujournal.1001447
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