Publication: Finansal istikrara yönelik merkez bankalarının kullandığı araçlar : rezerv opsiyon mekanizmasının etkinliği üzerine bir analiz
Abstract
Çalışmada, Türkiye Cumhuriyet Merkez Bankası’nın 2011 yılı sonunda uygulamaya koyduğu Rezerv Opsiyon Mekanizmasının finansal istikrara etkisini analiz etmek amaçlanmıştır. Analizde, 2011:09- 2018:04 dönemini kapsayan ve üç aylık verilerden oluşan bir veri seti ile Aracı Değişken Regresyon Analizi kullanılarak, TCMB’nin kullandığı rezerv opsiyon mekanizması ile finansal sağlamlık, finansal gelişmişlik ve finansal kırılganlık göstergelerinden oluşturulan finansal istikrar endeksi arasındaki, ayrıca göstergelerin her birinin arasındaki ilişkiler araştırılmıştır. Genişletilmiş Dickey-Fuller (ADF) ve Phillips Perron (PP) birim kök testleri yardımı ile serilerin bireysel zaman serisi özellikleri, “regresyon analizi ile de serilerin birbirlerine etkileri araştırılmıştır. Uygulama sonuçlarına göre, ele alınan dönemde, rezerv opsiyon mekanizmasının finansal istikrarı temsilen oluşturulan finansal istikrar endeksini olumlu etkilediği tespit edilmiştir. Aracı değişken olarak kullanılan on altı değişkenin beşinin anlamlı düzeyde etkide bulunduğu tespit edilmiştir. Rezerv opsiyon mekanizmasının M2’ nin GSYH’ a oranı üzerinden finansal istikrara olumlu katkıda bulunduğu, toplam nakdi kredilerin GSYH’ a oranı, kredilerin mevduatlara oranı ve bankacılık sistemi döviz pozisyonlarının yasal öz kaynaklara oranı değişkenleri aracılığıyla da finansal istikrara olumsuz etkide bulunduğu tespit edilmiştir.
In the study, it aimed to analyze the impact of Reserve Option Mechanism, that Central Bank of Republic of Turkey put into the practice, on financial stability. In the analyze, the Reserve Option Mechanism usage at 2011/ 4 – 2018/ 4 term’s effects on both 16 variables selected from Financial Fragility, Financial Development and Financial Strength indicators; and the Financial Stability Index that was generated from these 16 variables were investigated by the moderator variable regression analysis. Individual time series properties of the series were investigated with the help of Augmented Dickey-Fuller (ADF) and Phillips Perron (PP) unit root tests, the effects of the series on each other were investigated by “regression analysis. As result of the study, it was determined that the use of Reserve Option Mechanism had a positive effect on the Financial Stability Index that was created to represent financial stability. Significant effect were five of sixteen variables used as mediator variables. It was found that M2 to GDP ratio contributed positively to financial stability, the ratio of total cash loans to GDP, the ratio of loans to deposits, and the ratio of banking system foreign exchange positions to legal equities had negative effects on financial stability.
In the study, it aimed to analyze the impact of Reserve Option Mechanism, that Central Bank of Republic of Turkey put into the practice, on financial stability. In the analyze, the Reserve Option Mechanism usage at 2011/ 4 – 2018/ 4 term’s effects on both 16 variables selected from Financial Fragility, Financial Development and Financial Strength indicators; and the Financial Stability Index that was generated from these 16 variables were investigated by the moderator variable regression analysis. Individual time series properties of the series were investigated with the help of Augmented Dickey-Fuller (ADF) and Phillips Perron (PP) unit root tests, the effects of the series on each other were investigated by “regression analysis. As result of the study, it was determined that the use of Reserve Option Mechanism had a positive effect on the Financial Stability Index that was created to represent financial stability. Significant effect were five of sixteen variables used as mediator variables. It was found that M2 to GDP ratio contributed positively to financial stability, the ratio of total cash loans to GDP, the ratio of loans to deposits, and the ratio of banking system foreign exchange positions to legal equities had negative effects on financial stability.