Publication: Kur sapması ve cari hesap dengesizliğinin banka sisteminin performansına etkileri : kırılgan yükselen ekonomiler örneği
Abstract
Gelişmekte olan ülkelerde ekonomi serbestleşme süreci günümüze kadar sürdürülmektedir. Ancak bu süreçte bazı ülkelerde ekonomik alt yapıları hazır olmadığı nedenyile aşırı döviz kuru ve cari hesap açıkığı gibi önemli sorunlar yol açmıştır. Söz konusu bu ülkeleri kırılgan ülkeler olarak nitelendirilmektedir. Çalışmada ekonomik kırılganlığının olduğu bir ortamda bankacılık sektörünün nasıl etkilediğini incelenmiştir. Bu çerçeve de birinci amaç döviz kurlarının aşırı yükselmesi bankacılık sektörünün performansını nasıl etkilediğini ele alırken, ikinci amaç cari hesap açığı bankacılık performansı üzerindeki etkisini oluşturmuştur. Üçüncü amaç ise döviz kuru yükselişi ile cari hesap açığı bir arada bankacılık sektörü etkileşiminin değerlendirilmesidir. Araştırmada kırılgan ülkeler olarak Kolombiya, Endonezya, Güney Afrika, Meksika, Türkiye, Arjantin, Brezilya, Katar, Hindistan, Mısır, Pakistan, Rusya ve Şili dikkate alınmış ve bu ülkelerin 1996-2016 dönemini kapsayan yıllık verileri kullanılmıştır. Araştırmada Bankacılık Sektörü Aktif Kârlılık Oranı, Bankacılık Sektörü Öz Kaynak Kârlılık Oranı ve Bankacılık Sektörü Net Faiz Marjı bağımlı değişken, Net Cari Hesap, Döviz Kuru (Dolar Karşılığı) bağımsız değişkenlerdir. Tüm ülkelerin döviz kuru ve cari hesap değişkenleri Hodrick-Prescott filtresi kullanılarak uzun dönem trendinden arındırılmış ve bu yolla sapmaları hesaplanmıştır. Araştırmada panel analizi yapılmadan önce ön sınamalar yapılmış ve sonuçlar verilerin panel var modeli kullanılmasında uygun görülmüştür. Bulgular döviz kuru ile banka performansı arasında pozitif bir ilişkili olduğu; cari açık ile banka performansı arasında ise negatif bir ilişki olduğu ortaya çıkmıştır.
In developing countries, the economic liberalization process continues until today. However, in this process, important problems such as exchange rate misaglignment and current account deficits were caused due to the fact that the economic infrastructures were not ready in some countries. These countries are described as fragile countries. In the study, it was examined how the banking sector affected in an environment of economic fragility. In this framework, the first objective is to consider how the excessive increase in exchange rates affects the performance of the banking sector, while the second objective is the impact of the current account deficit on the banking performance. The third aim is to evaluate the interaction of the banking sector together with the increase in the exchange rate and the current account deficit. As fragile countries in the research, Colombia, Indonesia, South Africa, Mexico, Turkey, Argentina, Brazil, Qatar, India, Egypt, Pakistan, Russia and Chile were taken into account and the annual data of these countries covering the period 1996-2016 were used. In the research, Banking Sector Return on Assets Ratio, Banking Sector Equity Profitability Ratio and Banking Sector Net Interest Margin are dependent variables, Net Current Account, Exchange Rate (Dollar Equivalent) are independent variables. Exchange rate and current account variables of all countries were adjusted from the long-term trend using the Hodrick-Prescott filter and their deviations were calculated in this way. In the research, pre-tests were made before the panel analysis and the results were found to be suitable for using the panel-var model of the data. Findings showed that there is a positive correlation between exchange rate and bank performance; It was found that there is a negative relationship between current account deficit and bank performance.
In developing countries, the economic liberalization process continues until today. However, in this process, important problems such as exchange rate misaglignment and current account deficits were caused due to the fact that the economic infrastructures were not ready in some countries. These countries are described as fragile countries. In the study, it was examined how the banking sector affected in an environment of economic fragility. In this framework, the first objective is to consider how the excessive increase in exchange rates affects the performance of the banking sector, while the second objective is the impact of the current account deficit on the banking performance. The third aim is to evaluate the interaction of the banking sector together with the increase in the exchange rate and the current account deficit. As fragile countries in the research, Colombia, Indonesia, South Africa, Mexico, Turkey, Argentina, Brazil, Qatar, India, Egypt, Pakistan, Russia and Chile were taken into account and the annual data of these countries covering the period 1996-2016 were used. In the research, Banking Sector Return on Assets Ratio, Banking Sector Equity Profitability Ratio and Banking Sector Net Interest Margin are dependent variables, Net Current Account, Exchange Rate (Dollar Equivalent) are independent variables. Exchange rate and current account variables of all countries were adjusted from the long-term trend using the Hodrick-Prescott filter and their deviations were calculated in this way. In the research, pre-tests were made before the panel analysis and the results were found to be suitable for using the panel-var model of the data. Findings showed that there is a positive correlation between exchange rate and bank performance; It was found that there is a negative relationship between current account deficit and bank performance.