Determinants of non-core liabilities in the turkish banking system

Demirölmez, Beren
After the 2008 global financial crises, composition of bank liabilities has begun to draw more attention due to its important role in diagnosing financial vulnerability. According to literature, non-core liabilities are amongst the best indicators of financial crises and because of the more frequent data availability, they also provide real time signaling observation. Although there are various studies about non-core liabilities, there is only a very limited number of country specific studies. Therefore, our aim is to analyze determinants of non-core liabilities in Turkey for the period 2003Q1 and 2015Q4 by considering both bank level and macro level variables. This study also aims to show effectiveness of macroprudential policies over non-core liabilities in Turkey. 


Modeling advanced fund transfer pricing with an application of hull-white interest-rate tree in Turkish banking sector
Shakirov, Begzod; Weber, Gerhard Wilhelm; Department of Financial Mathematics (2017)
The Financial Crisis in 2008 has revealed the need for a more advanced management of liquidity risk in financial institutions. This thesis aims to introduce and implement an advanced Fund Transfer Pricing (FTP) model into banking industries of the developing countries. The methodology of the FTP model, constructed in this research, measures the cost of a product’s cash-flows by splitting them into a deterministic and a stochastic component. The cost of the deterministic part is assessed as an equivalent of ...
Deniz, Burak; Akbostancı Özkazanç, Elif; Department of Economics (2022-6-09)
As one of the most important elements of the financial system, bank loans significantly affect both the real economy and financial markets. As a result, it is crucial to analyze the determinants as well as the dynamics of bank loans through time. In this study, the determinants of total loans, corporate loans, and consumer loans in the banking sector of Turkey are examined for the period 2005Q1-2019Q4 via an Autoregressive Distributive Lag Model (ARDL). The volume of domestic currency deposits and foreign c...
Measuring cost efficiency of Turkish commercial banks : a stochastic frontier approach
Güneş, Hakan; Yıldırım Kasap, Dilem; Department of Economics (2013)
This study examines cost efficiency of Turkish commercial banks through a stochastic frontier approach where the inefficiency effects are approximated by a set of bank-specific variables. Empirical results reveal that intermediation ratio, deposits divided by liabilities and labor per branch are the main determinants of the inefficiency of Turkish commercial banks. Moreover, it is observed that cost efficiency of all commercial banks has an upward trend until 2008 and it takes 10 quarters to recover from th...
The Effects of bank specific, industry specific and macroeconomic factors on bank profitability in OECD countries between 2000-2009
Maltaş, Zeynep; Ayaydın Hacıömeroğlu, Hande; Department of Business Administration (2013)
This thesis analyzes the bank-specific, industry-specific and macroeconomic determinants of bank profitability (ROA) in 31 OECD Countries between 2000 and 2009 using a panel data. Each country‟s banking sector is treated as a single representative bank. Fixed effects model is used in the study. Deposits, capitalization, non-interest income, GDP growth are found to have a positive impact on bank profitability while non-performing loans, operating expenses and financial sector development have negative effect...
The Evolution of central banking practices in developing countries: an effectiveness analysis on the post-crisis policy mixes of selected countries
Bozkurt, Zeynep; Cömert, Hasan; Department of Economics (2015)
Implying an expansion in the central bank mandates and policy tools, the post-crisis understanding of central banking brought a challenging task for policymakers, particularly for those of developing countries. The main purpose of this study is to assess the effectiveness of some selected post-crisis policy mixes. To this end, two methodologies are used: event analysis and index analysis. The former reveals that the overall design of the policy mix requires more attention than the selection of certain tools...
Citation Formats
B. Demirölmez, “Determinants of non-core liabilities in the turkish banking system,” M.S. - Master of Science, Middle East Technical University, 2017.