Publication: Bankacılık sektöründe risk alma davranışı : mevduat bankalarının etkinliğine yönelik Türkiye uygulaması
Abstract
Risk alma, bankaların faaliyetlerini sürdürürken bilinçli olarak üstlendikleri risk seviyesini ifade etmektedir. Bankalar stratejileri paralelinde, regülasyonların öngördüğü asgari gereklilikleri yerine getirmek kaydıyla içsel ve dışsal pek çok faktöre bağlı olarak risk alma davranışlarını yönetmektedirler. Aşırı risk alımı yalnızca bankayı değil finansal sistemin işleyişini de etkileme potansiyeline sahip olduğundan, risk alma davranışının sebep ve sonuçlarının analiz edilmesi bankaların bu konudaki tutumlarının doğru belirlenmesi açısından büyük öneme sahiptir. Bu bağlamda tezin konusu bankaların risk alma davranışları ile performanslarının önemli bir göstergesi olan etkinlik düzeyleri arasındaki ilişkilerin karşılıklı olarak incelenmesi olarak belirlenmiştir. Tezin iki aşamadan oluşan uygulamasında Türk bankacılık sektöründe faaliyet gösteren 22 mevduat bankasının 2008-2022 yılları arasındaki verileri kullanılmıştır. İlk aşamada bankaların etkinlik düzeyleri veri zarflama analizi ile ölçülmüştür. Elde edilen sonuçlar panel veri setine banka etkinliğini ifade eden bir değişken olarak eklenmiştir. Risk alma davranışı, literatürde bir bankanın iflas riskinin göstergesi olarak kullanılan Z-skor ile ifade edilmiştir. Uygulamanın ikinci aşamasında risk alma davranışı ile banka etkinliği arasındaki karşılıklı ilişkiler, sermaye düzeyinin de içsel değişken olarak yer aldığı üç denklemden oluşan eşanlı denklem sistemi ile modellenmiştir. Etkileri incelenmek üzere denklemlere ayrıca bankaya ve sektöre özgü değişkenler ile makro ekonomik koşulları yansıtan değişkenler dışsal olarak eklenmiştir. Modelin tahmininde üç aşamalı en küçük kareler yöntemi kullanılmıştır. Çalışma sonucunda elde edilen ampirik kanıtlar, Türk mevduat bankaları için ahlaki tehlike ve kötü yönetim hipotezleri ile uyumlu olarak banka riskliliği ile etkinliği arasında negatif yönlü ve karşılıklı bir ilişki bulunduğunu ve düşük sermaye oranına sahip bankaların daha riskli davranışlar sergilediklerini ortaya koymuştur.
Risk-taking refers to the level of risk that banks consciously assume while carrying out their activities. In parallel with their strategies, banks manage their risk-taking behaviour depending on many internal and external factors, provided that they meet the minimum requirements stipulated by the regulations. Since excessive risk-taking has the potential to affect not only the bank but also the functioning of the financial system, analysing the causes and consequences of risk-taking behaviour is of great importance for the accurate determination of banks' attitudes on this issue. In this context, the subject of this thesis is the mutual evaluation of the relationship between banks' risk-taking behaviour and their efficiency level, which is an important indicator of their performance. In the two-stage implementation of the thesis, the data of 22 deposit banks operating in the Turkish banking sector between 2008 and 2022 were used. In the first stage, the efficiency of banks was measured by data envelopment analysis. The results obtained are added to the panel data set as a variable expressing bank efficiency. Risk-taking behaviour is expressed by Z-score, which is used as an indicator of a bank's bankruptcy risk in the literature. In the second stage of the application, the reciprocal relationships between risk-taking behaviour and bank efficiency are modelled with a simultaneous equation system consisting of three equations in which capital level is also included as an endogenous variable. In order to examine their effects, bank and sector-specific variables and variables reflecting macroeconomic conditions are added to the equations as exogenous variables. The three-stage least squares method is used to estimate the model. The empirical evidence obtained from the thesis reveals that there is a negative and reciprocal relationship between bank riskiness and efficiency for Turkish deposit banks in line with the moral hazard and mismanagement hypotheses and that banks with low capital ratios exhibit riskier behaviours.
Risk-taking refers to the level of risk that banks consciously assume while carrying out their activities. In parallel with their strategies, banks manage their risk-taking behaviour depending on many internal and external factors, provided that they meet the minimum requirements stipulated by the regulations. Since excessive risk-taking has the potential to affect not only the bank but also the functioning of the financial system, analysing the causes and consequences of risk-taking behaviour is of great importance for the accurate determination of banks' attitudes on this issue. In this context, the subject of this thesis is the mutual evaluation of the relationship between banks' risk-taking behaviour and their efficiency level, which is an important indicator of their performance. In the two-stage implementation of the thesis, the data of 22 deposit banks operating in the Turkish banking sector between 2008 and 2022 were used. In the first stage, the efficiency of banks was measured by data envelopment analysis. The results obtained are added to the panel data set as a variable expressing bank efficiency. Risk-taking behaviour is expressed by Z-score, which is used as an indicator of a bank's bankruptcy risk in the literature. In the second stage of the application, the reciprocal relationships between risk-taking behaviour and bank efficiency are modelled with a simultaneous equation system consisting of three equations in which capital level is also included as an endogenous variable. In order to examine their effects, bank and sector-specific variables and variables reflecting macroeconomic conditions are added to the equations as exogenous variables. The three-stage least squares method is used to estimate the model. The empirical evidence obtained from the thesis reveals that there is a negative and reciprocal relationship between bank riskiness and efficiency for Turkish deposit banks in line with the moral hazard and mismanagement hypotheses and that banks with low capital ratios exhibit riskier behaviours.