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Bankacılık Sektöründe Karlılık ile Döviz Pozisyonları, Aktif Kalitesi ve Kredi Büyümesi Arasındaki İlişkinin Analizi

Yıl 2022, Cilt: 14 Sayı: 26, 137 - 148, 25.05.2022

Furkan Yıldırım

https://doi.org/10.20990/kilisiibfakademik.1080522

Öz

Amaç: Bu çalışma, Türkiye için 2007: Q2-2020: Q3 dönemine ait üç aylık veriler ile bankacılık sektörü karlılık göstergelerinin bankaların döviz pozisyonları, aktif kalitesi ve kredi büyümesi göstergeleri arasındaki ilişkiyi araştırmayı amaçlamaktadır.
Tasarım/Yöntem: Çalışmada, iki bağımlı değişkene ve yedi bağımsız değişkene sahip modeller oluşturulmuştur. Modellere ARDL yöntemi ve Toda Yamamoto testi kullanılmıştır.
Bulgular: Analiz sonuçlarına göre, uzun dönemde bankaların karlılık göstergeleri ile döviz pozisyonları ve aktif kalitesi göstergeleri arasında negatif yönlü bir ilişki olduğu ancak kredi büyümesi ile karlılık arasında pozitif bir ilişki olduğu sonucuna ulaşılmıştır. Kısa dönemde uzun dönemli ilişkiye paralel sonuçlar ortaya çıkmıştır. Nedensellik testi sonucuna göre karlılık göstergeleri ile takipteki krediler/sermaye oranı arasında çift yönlü nedensellik ilişkisi olduğu ancak döviz kredileri/ toplam krediler, takipteki krediler/ toplam krediler, kredilerin sektörel dağılımı/toplam krediler ve toplam krediler/GSYİH değişkenleri arasında tek yönlü nedensellik ilişkisi olduğu sonucuna ulaşılmıştır.
Sınırlılıklar: Çalışmanın sınırlılıkları, çalışmada temel alınan göstergeler IMF’nin resmî sitesinden elde edilmiştir ve Türkiye ile ilgili veriler 2007 yılı ikinci çeyreğinde başlamaktadır. Bu nedenle değişkenlerle ilgili zaman kısıtı olduğu söylenebilir. Çalışmada kullanılan değişkenler sadece Türkiye için kullanılmasından dolayı ülke kısıtı olduğu da söylenebilir.
Özgünlük/Değer: Bankaların döviz pozisyonları ve kalitesi gibi içsel değişkenlerini açıklayıcı değişken olarak modelleyen çalışmaların eksikliği gözlemlenmiştir. Çalışmanın uygulama kısmındaki bankaların kârlılığına yönelik açıklayıcı değişkenlerin daha önceki çalışmaların hiçbirinde aynı modelde yer almamış olması bakımından literatüre katkıda bulunabileceği düşünülmektedir.

Anahtar Kelimeler

Karlılık Döviz Pozisyonları Aktif Kalitesi Kredi Büyümesi

Kaynakça

  • Arif, A., & Anees, A. N. (2012). Liquidity risk and performance of banking system. Journal of Financial Regulation and Compliance, 20(2), 182-195. https://doi.org/10.1108/13581981211218342
  • Athanasoglou, P. P., Delis, M. D., & Staikouras, C. (2006). Determinants of bank profitability in the South Eastern European region. MPRA Paper, (10274), 1-31. https://mpra.ub.uni-muenchen.de/id/eprint/10274
  • Bankacılık Düzenleme ve Denetleme Kurumu (2015). Döngüsel sermaye tamponu uygulaması ile bankalarca yapılacak kâr dağıtımına ilişkin usul ve esaslar. 18.12.2015 tarihli 6602 sayılı kurul kararı. https://kms.kaysis.gov.tr/(X(1)S(1ghhsgz52axkstoifkvdozs0))/Home/Goster/68831
  • Berríos, M. R. (2013). The relationship between bank credit risk and profitability and liquidity. The International Journal of Business and Finance Research, 7(3), 105-118. https://ssrn.com/abstract=2149816
  • Demirgüç-Kunt, A., & Maksimovic, V. (1998). Law, finance, and firm growth. The Journal of Finance, 53(6), 2107-2137. https://doi.org/10.1111/0022-1082.00084
  • Engle, R. F., & Granger, C. W. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica: Journal of the Econometric Society, 55(2), 251-276. https://www.jstor.org/stable/1913236
  • Flamini, V., McDonald, C. A., & Schumacher, L. B. (2009). The determinants of commercial bank profitability in Sub-Saharan Africa. IMF Working Papers, (09/15), 1-30. http://dx.doi.org/10.2139/ssrn.1356442
  • Gökçe, A., & Sarıtaş, H. (2017). Döviz kurlarındaki değişmelerin Türkiye'deki özel sermayeli bankaların bilançoları üzerine etkileri. Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 28, 1-18. https://doi.org/10.5505/pausbed.2017.84704
  • Granger, C. W. (1988). Some recent development in a concept of causality. Journal of Econometrics, 39(1-2), 199-211. https://doi.org/10.1016/0304-4076(88)90045-0
  • Hakimi, A., & Zaghdoudi, K. (2017). Liquidity risk and bank performance: An empirical test for Tunisian banks. Business and Economic Research, 7(1), 46-57. http://dx.doi.org/10.5296/ber.v7i1.10254
  • International Monetary Fund (2006). Financial soundness indicators compilation guide. https://www.imf.org/external/pubs/ft/fsi/guide/2006/index.htm.
  • Johansen, S., & Juselius, K. (1990). Maximum likelihood estimation and inference on cointegration-with applications to the demand for money. Oxford Bulletin of Economics and Statistics, 52(2), 169-210. https://digilander.libero.it/rocco.mosconi/JohansenJuselius1990.pdf
  • King, R. G., & Levine, R. (1993). Finance and growth: Schumpeter might be right. The Quarterly Journal Of Economics, 108(3),717-737. https://doi.org/10.2307/2118406
  • Laryea, E., Ntow-Gyamfi, M., & Azumah Alu, A. (2016). Nonperforming loans and bank profitability: Evidence from an emerging market. African Journal of Economic and Management Studies, 7(4), 1-37. https://doi.org/10.1108/AJEMS-07-2015-0088
  • Levine, R. (2005). Finance and growth: Theory and evidence. Handbook of Economic Growth, 1, 865-934. https://doi.org/10.1016/S1574-0684(05)01012-9
  • Nouaili, M. A., Abaoub, E., & Ochi, A. (2015). The determinants of banking performance in front of financial changes: Case of trade banks in Tunisia. International Journal of Economics and Financial Issues, 5(2), 410-417. https://dergipark.org.tr/en/pub/ijefi/issue/31969/352138?publisher=http-www-cag-edu-tr-ilhan-ozturk
  • Osuagwo, E. S. (2014). Determinants of bank profitability in Nigeria. International Journal of Economics and Finance, 6(12), 45-63. https://ssrn.com/abstract=2687372
  • Partovi, E., & Matousek, R. (2019). Bank efficiency and non-performing loans: Evidence from Turkey. Research in International Business and Finance, 48, 287-309. https://doi.org/10.1016/j.ribaf.2018.12.011
  • Pesaran, H., Shin, Y., & Smith R. J. (2001). Bounds testing approaches to the analysis of long-run relationships. Journal of Applied Econometrics, 16(3), 289-326. https://doi.org/10.1002/jae.616
  • Phillips, P. C., & Hansen, B. E. (1990). Statistical inference in instrumental variables regression with I (1) processes. The Review of Economic Studies, 57(1), 99-125. https://doi.org/10.2307/2297545
  • Rajan, R., & Zingales, L. (1998). Financial development and growth. American Economic Review, 88(3), 559-586. https://doi.org/10.3386/w5758
  • Short, B. K. (1979). The relation between commercial bank profit rates and banking concentration in Canada, Western Europe, and Japan. Journal of Banking and Finance, 3(3), 209-219. https://doi.org/10.1016/0378-4266(79)90016-5
  • Sufian, F. (2009). Factors influencing bank profitability in a developing economy: Empirical evidence from Malaysia. Global Business Review, 10(2), 225-241. https://doi.org/10.1177/097215090901000206
  • Toda, H. Y., & Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of Econometrics, 66(1-2), 225-250. https://doi.org/10.1016/0304-4076(94)01616-8.

Analysis of the Relationship between Profitability and Foreign Exchange Positions, Asset Quality, and Loan Growth in the Banking Sector

Yıl 2022, Cilt: 14 Sayı: 26, 137 - 148, 25.05.2022

Furkan Yıldırım

https://doi.org/10.20990/kilisiibfakademik.1080522

Öz

Purpose: This study aims to investigate the relationship between the banking profitability indicators and the foreign exchange positions, asset quality, and loan growth indicators of banks using the data for Turkey between 2007: Q2 – 2020: Q3.
Design/Methodology: In the study, the models with two dependent variables and seven independent variables were established. The ARDL method and Toda-Yamamoto causality test were conducted on the models.
Findings: It was detected that a negative relationship existed between the profitability indicators of banks and their foreign exchange positions as well as asset quality indicators in the long-run, however, a positive relationship existed between loan growth and profitability. Similar results emerged for the long-term relationship in the short-run. According to the causality test result, it was concluded that a bilateral causal relationship existed between profitability indicators and non-performing loans/capital ratio, but there was a unilateral causality between foreign currency loans/total loans, non-performing loans/total loans, sectoral distribution of loans/total loans and total loans/GDP variables.
Limitations: The limitations involve the fact that indicators based on the study are obtained from the IMF’s official website and the data on Turkey begins at 2007:Q2, claiming a time constraint on the variables. It can be said that there is a country limitation, since the variables are utilized merely for Turkey.
Originality/Value: The absence of studies modelling internal variables such as banks’ foreign exchange positions and qualities as explanatory variables are observed. It is thought that the explanatory variables pertinent to the banking profitability in the analysis part may contribute to the literature since none of them have been considered for the same model in the previous studies.

Anahtar Kelimeler

Profitability Foreign Exchange Positions Asset Quality Loan Growth

Kaynakça

  • Arif, A., & Anees, A. N. (2012). Liquidity risk and performance of banking system. Journal of Financial Regulation and Compliance, 20(2), 182-195. https://doi.org/10.1108/13581981211218342
  • Athanasoglou, P. P., Delis, M. D., & Staikouras, C. (2006). Determinants of bank profitability in the South Eastern European region. MPRA Paper, (10274), 1-31. https://mpra.ub.uni-muenchen.de/id/eprint/10274
  • Bankacılık Düzenleme ve Denetleme Kurumu (2015). Döngüsel sermaye tamponu uygulaması ile bankalarca yapılacak kâr dağıtımına ilişkin usul ve esaslar. 18.12.2015 tarihli 6602 sayılı kurul kararı. https://kms.kaysis.gov.tr/(X(1)S(1ghhsgz52axkstoifkvdozs0))/Home/Goster/68831
  • Berríos, M. R. (2013). The relationship between bank credit risk and profitability and liquidity. The International Journal of Business and Finance Research, 7(3), 105-118. https://ssrn.com/abstract=2149816
  • Demirgüç-Kunt, A., & Maksimovic, V. (1998). Law, finance, and firm growth. The Journal of Finance, 53(6), 2107-2137. https://doi.org/10.1111/0022-1082.00084
  • Engle, R. F., & Granger, C. W. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica: Journal of the Econometric Society, 55(2), 251-276. https://www.jstor.org/stable/1913236
  • Flamini, V., McDonald, C. A., & Schumacher, L. B. (2009). The determinants of commercial bank profitability in Sub-Saharan Africa. IMF Working Papers, (09/15), 1-30. http://dx.doi.org/10.2139/ssrn.1356442
  • Gökçe, A., & Sarıtaş, H. (2017). Döviz kurlarındaki değişmelerin Türkiye'deki özel sermayeli bankaların bilançoları üzerine etkileri. Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 28, 1-18. https://doi.org/10.5505/pausbed.2017.84704
  • Granger, C. W. (1988). Some recent development in a concept of causality. Journal of Econometrics, 39(1-2), 199-211. https://doi.org/10.1016/0304-4076(88)90045-0
  • Hakimi, A., & Zaghdoudi, K. (2017). Liquidity risk and bank performance: An empirical test for Tunisian banks. Business and Economic Research, 7(1), 46-57. http://dx.doi.org/10.5296/ber.v7i1.10254
  • International Monetary Fund (2006). Financial soundness indicators compilation guide. https://www.imf.org/external/pubs/ft/fsi/guide/2006/index.htm.
  • Johansen, S., & Juselius, K. (1990). Maximum likelihood estimation and inference on cointegration-with applications to the demand for money. Oxford Bulletin of Economics and Statistics, 52(2), 169-210. https://digilander.libero.it/rocco.mosconi/JohansenJuselius1990.pdf
  • King, R. G., & Levine, R. (1993). Finance and growth: Schumpeter might be right. The Quarterly Journal Of Economics, 108(3),717-737. https://doi.org/10.2307/2118406
  • Laryea, E., Ntow-Gyamfi, M., & Azumah Alu, A. (2016). Nonperforming loans and bank profitability: Evidence from an emerging market. African Journal of Economic and Management Studies, 7(4), 1-37. https://doi.org/10.1108/AJEMS-07-2015-0088
  • Levine, R. (2005). Finance and growth: Theory and evidence. Handbook of Economic Growth, 1, 865-934. https://doi.org/10.1016/S1574-0684(05)01012-9
  • Nouaili, M. A., Abaoub, E., & Ochi, A. (2015). The determinants of banking performance in front of financial changes: Case of trade banks in Tunisia. International Journal of Economics and Financial Issues, 5(2), 410-417. https://dergipark.org.tr/en/pub/ijefi/issue/31969/352138?publisher=http-www-cag-edu-tr-ilhan-ozturk
  • Osuagwo, E. S. (2014). Determinants of bank profitability in Nigeria. International Journal of Economics and Finance, 6(12), 45-63. https://ssrn.com/abstract=2687372
  • Partovi, E., & Matousek, R. (2019). Bank efficiency and non-performing loans: Evidence from Turkey. Research in International Business and Finance, 48, 287-309. https://doi.org/10.1016/j.ribaf.2018.12.011
  • Pesaran, H., Shin, Y., & Smith R. J. (2001). Bounds testing approaches to the analysis of long-run relationships. Journal of Applied Econometrics, 16(3), 289-326. https://doi.org/10.1002/jae.616
  • Phillips, P. C., & Hansen, B. E. (1990). Statistical inference in instrumental variables regression with I (1) processes. The Review of Economic Studies, 57(1), 99-125. https://doi.org/10.2307/2297545
  • Rajan, R., & Zingales, L. (1998). Financial development and growth. American Economic Review, 88(3), 559-586. https://doi.org/10.3386/w5758
  • Short, B. K. (1979). The relation between commercial bank profit rates and banking concentration in Canada, Western Europe, and Japan. Journal of Banking and Finance, 3(3), 209-219. https://doi.org/10.1016/0378-4266(79)90016-5
  • Sufian, F. (2009). Factors influencing bank profitability in a developing economy: Empirical evidence from Malaysia. Global Business Review, 10(2), 225-241. https://doi.org/10.1177/097215090901000206
  • Toda, H. Y., & Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of Econometrics, 66(1-2), 225-250. https://doi.org/10.1016/0304-4076(94)01616-8.
Toplam 24 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Konular Finans
Bölüm ARAŞTIRMA MAKALELERİ
Yazarlar

Furkan Yıldırım 0000-0002-0646-8638

Yayımlanma Tarihi 25 Mayıs 2022
Yayımlandığı Sayı Yıl 2022 Cilt: 14 Sayı: 26

Kaynak Göster

APA Yıldırım, F. (2022). Analysis of the Relationship between Profitability and Foreign Exchange Positions, Asset Quality, and Loan Growth in the Banking Sector. Akademik Araştırmalar Ve Çalışmalar Dergisi (AKAD), 14(26), 137-148. https://doi.org/10.20990/kilisiibfakademik.1080522
AMA Yıldırım F. Analysis of the Relationship between Profitability and Foreign Exchange Positions, Asset Quality, and Loan Growth in the Banking Sector. Akademik Araştırmalar ve Çalışmalar Dergisi (AKAD). Mayıs 2022;14(26):137-148. doi:10.20990/kilisiibfakademik.1080522
Chicago Yıldırım, Furkan. “Analysis of the Relationship Between Profitability and Foreign Exchange Positions, Asset Quality, and Loan Growth in the Banking Sector”. Akademik Araştırmalar Ve Çalışmalar Dergisi (AKAD) 14, sy. 26 (Mayıs 2022): 137-48. https://doi.org/10.20990/kilisiibfakademik.1080522.
EndNote Yıldırım F (01 Mayıs 2022) Analysis of the Relationship between Profitability and Foreign Exchange Positions, Asset Quality, and Loan Growth in the Banking Sector. Akademik Araştırmalar ve Çalışmalar Dergisi (AKAD) 14 26 137–148.
IEEE F. Yıldırım, “Analysis of the Relationship between Profitability and Foreign Exchange Positions, Asset Quality, and Loan Growth in the Banking Sector”, Akademik Araştırmalar ve Çalışmalar Dergisi (AKAD), c. 14, sy. 26, ss. 137–148, 2022, doi: 10.20990/kilisiibfakademik.1080522.
ISNAD Yıldırım, Furkan. “Analysis of the Relationship Between Profitability and Foreign Exchange Positions, Asset Quality, and Loan Growth in the Banking Sector”. Akademik Araştırmalar ve Çalışmalar Dergisi (AKAD) 14/26 (Mayıs 2022), 137-148. https://doi.org/10.20990/kilisiibfakademik.1080522.
JAMA Yıldırım F. Analysis of the Relationship between Profitability and Foreign Exchange Positions, Asset Quality, and Loan Growth in the Banking Sector. Akademik Araştırmalar ve Çalışmalar Dergisi (AKAD). 2022;14:137–148.
MLA Yıldırım, Furkan. “Analysis of the Relationship Between Profitability and Foreign Exchange Positions, Asset Quality, and Loan Growth in the Banking Sector”. Akademik Araştırmalar Ve Çalışmalar Dergisi (AKAD), c. 14, sy. 26, 2022, ss. 137-48, doi:10.20990/kilisiibfakademik.1080522.
Vancouver Yıldırım F. Analysis of the Relationship between Profitability and Foreign Exchange Positions, Asset Quality, and Loan Growth in the Banking Sector. Akademik Araştırmalar ve Çalışmalar Dergisi (AKAD). 2022;14(26):137-48.
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