Influence of networks on systemic risk within banking system of Turkey

Özdemir, Özge
Within the Turkish banking system, systemic risk, which is defined as the propagation of a financial collapse occurred in one or more institutions to other institutions as a consequence of interconnectedness, has been examined with network analysis via the capital and liquidity channel of interbank system over the period from January 2009 to October 2014. Financial shocks of individual and multiple bank failures are simulated to measure the fragility and effectiveness of banks and peer groups. Simulation results of capital adequacy and liquidity contagion models, and network structure of the debits and credits relations among banks demonstrate the roles of banks and peer groups in the banking system. Since the effects of the global crisis in 2008 had become visible in Turkey in the early of 2009, depending on the increase in the amount of money flow among domestic banks after crisis, the number of bank failures due to the given shocks shows an increasing trend in the time span between January 2010 and October 2010. Failures of banks with higher out-degree centrality which are state-owned banks and biggest privately-owned banks lead to more bank failures and the most fragile banks belong to the peer groups with small size of share in the sector, such as fourth group of privately-owned banks and second group of development and foreign bank branches.


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Citation Formats
Ö. Özdemir, “Influence of networks on systemic risk within banking system of Turkey,” M.S. - Master of Science, Middle East Technical University, 2015.