Yönetim ve Ekonomi (Mar 2023)

Finansal Kırılganlık ile Makroekonomik Faktörler Arasındaki İlişkinin İncelenmesi: Türk Bankacılık Sektörü Üzerine Ampirik Bir Çalışma(Examining the Relationship between Financial Fragility and Macroeconomic Factors: An Empirical Study on the Turkish Banking Sector)

  • Levent SEZAL

DOI
https://doi.org/10.18657/yonveek.1208143
Journal volume & issue
Vol. 30, no. 1
pp. 41 – 57

Abstract

Read online

The banking sector is the largest part of the financial system in terms of both its function and size in a country's economy. The contraction or expansion that may occur in the sector due to this function it fulfills is important in terms of financial stability. The fact that sector-based vulnerabilities spread to the majority of the financial system and cause negative effects on the real sector makes it essential to make efforts to anticipate and prevent vulnerabilities. In this study, it is aimed to reveal the macroeconomic factors affecting the financial fragility of the Turkish banking sector. The Turkish banking sector “non-performing loans/total loans” ratio is taken as the indicator of financial fragility. Macroeconomic variables thought to be related to financial fragility; credit risk ratio, consumer price index, unemployment rate, BIST 100 Index and manufacturing industry production index. The study consists of monthly data between 10/2008 and 08/2022. Augmented Dickey-Fuller (ADF) and Phillips Perron (PP) unit root tests and Zivot-Andrews unit root tests with structural break have used to determine the stationarity levels of the variables. Whether or not there is causality between the variables, and if there is a causal relationship, the directions were analyzed using the "Toda-Yamamoto" method. According to the results of the TodaYamamoto causality test, a causal relationship was found from the manufacturing industry production index and BIST 100 index variables to the financial fragility variable at the 5% significance level. However, no causality relationship was found from country risk premium, unemployment rate and consumer price index variables to financial fragility variable. As a result of this analysis, it has been concluded that there is a relationship between financial fragility, manufacturing industry production index and BIST 100 index, that is, changes in these two indices affect financial fragility.

Keywords