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Browsing İktisat by Subject "Banks and banking -- Turkey."
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Item A performance analysis of commercial banks in Turkey(Thesis (M.A.) - Bogazici University. Institute for Graduate Studies in the Social Sciences, 2018., 2018.) Şenses, Hazal.; Özertan, Gökhan.; Emel, Ahme Burak.In this study, I analyze the performance of the commercial banks in Turkey using the CAMEL approach and investigate the relationship between loan growth and soundness indicators such as asset quality, profitability and capital ratios of the banks by using econometric methods. I describe and document efficiency measures for the banking sector and find a more negative position in recent years. I observe an increasing behavior in loans to deposits ratio and explain the relation between the rising trend of the ratio and the efficiency measures. My findings are robust and significant which suggest that there is a relation between loan growth and efficiency of the sector.Item Comparing systemic risk measures during a financial crash(Thesis (M.A.) - Bogazici University. Institute for Graduate Studies in the Social Sciences, 2019., 2019.) Kılıç, İnan.; Saltoğlu, Burak.This paper investigates 2000 Turkish Banking Crisis utilizing market based and network based systemic risk measures. In this investigation, MES, SRISK and ΔCoVaR are taken as market based measures whereas Degree centrality, Closeness centrality and Betweenness centrality are evaluated as financial network measures. The analyses are performed for 12 Turkish Banks and the performance of the inherently different systemic risk measures in identifying and detecting the stress of the banking sector are compared with an event study. The findings suggest that different systemic risk measures point out different systemically important financial institutions (SIFI). Empirically, we derive that (1) SRISK is capable of capturing a too-connected-to-fail bank, Demirbank, despite its market based nature and that (2) MES is the only measure providing statistically significant results for market, too connected-to-fail banks and too-big-to-fail banks together.Item Demand, competition and welfare analysis in the Turkish banking sector(Thesis (M.A.)-Bogazici University. Institute for Graduate Studies in Social Sciences, 2010., 2010.) İleri, Şebnem.; Yıldıran, Levent.This thesis investigates consumer demand, competition and welfare in the Turkish deposit and credit markets in 2002-2009 period by using banks’market shares in these markets. A discrete choice structural demand model developed by Berry (1994) is employed in the estimations. As market shares reflect consumers’ final choices, the methodology starts with constructing the utility function of consumers who purchase deposit (loan) services from a bank. This method allows us to elaborate on demand, competition and welfare in the same analysis. In the model, a market share equation is derived from the utility function and elasticities which allow to comment on competiton are calculated. Lastly, the paper concludes with a welfare analysis based on consumers’ last choices. Results of the study show that price elasticities of credit customers are much higher than those of depositors. It may yield more effective results to make price competition in credit market, whereas banks may increase their market share in deposit side by differentiating their products for depositors. There is welfare loss for depositors within 2002-2009 period, but credit customers experience an increase in their welfare in the same period.Item Essays on determinants of efficiency for commercial banks in Turkey(Thesis (M.A.)-Bogazici University. Institute for Graduate Studies in Social Sciences, 2009., 2009.) Öztürk, Seçil.; Hatipoğlu, Ozan.The main motivation of this study is to assess potential determinants of bank efficiency in commercial banks operating in Turkey for post crisis period. Post crisis period is taken only in order to catch the macro economic homogeneity. Hence banks will be able to focus on the bank specific characteristics to improve their performances. Two-step procedure is applied as the methodology in which efficiency scores calculated in the first step are regressed on certain variables to see their affect on bank performance. Recently, the banks shifted their resources to alternative ways of banking like other earning asset and off balance sheet items. Hence we attempt to understand how these changes in commercial banks’ operations affect their efficiencies. In the first part of this study interbank funds will be concentrated on as an untraditional way of banking. In the second part, the components of off balance sheet items will be assessed whether their increasing volume improves bank performance. In the last chapter, certain bank specific variables are regressed on the efficiency scores with a focus on size variables in order to see if increasing bank size contributes to scale economies.Item Essays on the internationalization of the Turkish banking sector: the reasons and the effects on performance(Thesis (M.A.)-Bogazici University. Institute for Graduate Studies in Social Sciences, 2007., 2007.) Ceyhan, Şanlı Pınar.; Aysan, Ahmet Faruk.Sound macroeconomic policies, increasing global liquidity and higher real returns in developing countries play an important role in canalizing capital towards developing markets. High growth potential backed by an increasing population, falling inflation rates and the birth of the mortgage sector make Turkey an ideal place to expand into. This thesis aims to find the effects of globalization on the performance of the Turkish banking sector. It examines the productivity change in the sector between 1990 and 2006, with an emphasis to the period after the 2001 crisis. Using DEA, the Malmquist TFP Change Index and its mutually exclusive and exhaustive components of efficiency and technological changes are found. Additionally, technical efficiency change is further decomposed into pure technical and scale efficiency changes. The productivity of the banking sector is found out to have increased and the main reason is technological improvement. An analysis with respect to the ownership status reveals that foreign banks were the most efficient group until 2001 after which state banks captured the first place. Moreover, the analysis with respect to bank size reveals that before 2000, the most efficient bank group was the medium-scale banks followed by small banks while the efficiency scores converged after 2001. Finally, this study examines the determinants of performance by conducting a panel data fixed effects regression analysis. Efficiency change is found to be 2 negatively related to the number of branches while it is positively related to bank capitalization. Moreover, a positive relationship is found between loan ratio and performance.|Keywords; Productivity, Efficiency Measurement, Performance measurements, Data envelopment analysis, Panel data analysisItem Macro stress testing on the credit risk of the banking sector in Turkey(Thesis (M.A.) - Bogazici University. Institute for Graduate Studies in the Social Sciences, 2019., 2019.) Toktabekov, Baurzhan.; Kuzubaş, Tolga Umut.In our thesis research we conduct a stress test of banking sector in Turkey. Firstly, we develop a model where we regress total and sectoral NPL rates on their lags and macroeconomic indicators. By using the results of the regression we conduct stress tests. As stress test scenarios we use 3 cases. We analyze how the NPL rates of Turkish banking sector would respond to the 2001 and 2008 crisis scenarios and we also look at baseline scenario based on the expectation of OECD on Turkish economy. Based on the results of stress test, not all of the banks in Turkey meet the capital adequacy ratio requirement and under the 2008 crisis scenario total NPL rates rise up to 6.07%. Our sectoral regressions suggest that while our macroeconomic variables are all significant in defining the total NPL rates, some sectoral NPL rates do not necessarily depend on all of them.Item Statistical measures of systemic risk :|an application for the Turkish banking system(Thesis (M.A.) - Bogazici University. Institute for Graduate Studies in the Social Sciences, 2019., 2019.) Barlas, Ali Batuhan.; Saltoğlu, Burak.In this paper, we basically apply market data based statistical methods to measure systemic risk for the Turkish banking sector. In order to have a broad perspective on systemic risk with different dimensions, we employ four widely used systemic risk measures namely, MES, SRISK, CES and ∆CoVaR. First, aggregate versions of our systemic risk measures show the relative increase in systemic risk during 2000 - 2001 and 2008 crisis periods together with a pick-up in SRISK towards 2018-end. We test for predictive accuracy of SRISK as a conditional capital shortfall forecast using four cases of realized market downturns during crisis periods and results indicate that predicted SRISK levels of individual banks seem to be an acceptable estimate for realized capital shortfalls with some positive bias in particular. Tobit panel regressions of probability of defaults (PD) of individual banks on systemic risk measures indicate that, increased level of systemic risk is significantly associated with higher levels of PD up to 3-months horizon. Additionally, we compare model results in terms of their SIFI rankings which indicates that systemic risk measures have an importance in terms of ranking financial institutions based on risk characteristics beyond what can be observed by the ordinary market risk measures like VaR. As a way of comparing the relative reliability of systemic risk measures, we calculate guilt probabilities of banks associated with MES and ΔCoVaR and conclude that overall, MES and consequently MES based systemic risk metrics are relatively more reliable in terms of detecting the possible SIFIs in the Turkish banking system, albeit with a high degree of estimation risk.