Influence of networks on systemic risk within banking system of Turkey

Download
2015
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.

Suggestions

Analyzing the profit efficiency of the Turkish banking sector after the BRSA restructuring program in 2001: an empirical study using stochastic frontier approach between the years of 2002-2009
Hatunoğlu, Hande; Akbostancı Özkazanç, Elif; Department of Economics (2012)
This thesis analyzes the profit efficiency of the Turkish banking sector after the restructuring program by using Stochastic Frontier Approach. 28 banks are included in the analysis and the data belongs to the period 2002-2009. Profit efficiency scores of 28 banks are estimated by SFA. When the efficiency scores are analyzed according to the ownership status, profit efficiency scores of the state owned banks are found higher than other bank groups. Moreover, according to the asset size, large scale banks’ p...
A Stress testing framework for the Turkish banking sector: an augmented approach
Çakmak, Bahadır; Öcal, Nadir; Department of Economics (2014)
This thesis proposes a suite of models, which are a set of independent but complementary models, for conducting a macro stress test of credit risk for the Turkish banking sector. First model links financial stability to macroeconomic stability and estimates the relationship between macroeconomic variables and macrofinancial variables within a VAR framework. Second model employs static and dynamic panel data techniques to regress nonperforming loans to these macroeconomic and macrofinancial variables. With a...
An empirical study on early warning systems for banking sector
Boyraz, Mustafa Fatih; Gaygısız Lajunen, Esma; Department of Economics (2012)
Early Warning Systems (EWSs) for banking sectors are used to measure occurrence risks of banking crises, generally observed with a rundown of bank deposits and widespread failures of financial institutions. In countries with a small number of banks, for example Turkey with 48 banks (BDDK, 2011), every bank may be considered to have a systematic importance since the failure of any individual bank may carry a potential threat to lead to a banking crisis. Taking into account this fact the present study focuses...
International neoliberal development regime and regional development banks (African Development Bank, Asian Development Bank and Inter-American Development Bank)
Hecan, Mehmet; Tayfur, Mehmet Fatih; Department of International Relations (2017)
This thesis aims to illuminate regional development banks’ (RDBs) role in global diffusion of neoliberal policies since the early 1980’s. In this regard, it argues that along with the Bretton Woods Institutions (BWIs), the RDBs have also facilitated the spread of neoliberal policies, as these banks have practiced similar conditional/policy-based lending. In order to better explain the complementary roles of BWIs and RDBs within an analytical framework, the thesis employs the international relations (IR) con...
Effects of Dollarization on Bank Performance: Analysis for Turkey
IŞIK, SENA; Şendeniz Yüncü, İlkay (2022-03-01)
Dollarization has significant effects on the real sector, monetary policy, and financial system. In this study, the effects of dollarization on banks’ performance in Turkey for the period of 2012-2017 are investigated by using both static and dynamic panel data analyses. Our Generalized Method of Moments (GMM) results indicate the statistical significance of the negative impact of deposit dollarization on return on assets (ROA). Both the random effects regression and GMM results show a negative and signific...
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.