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Journals / BDDK Bankacılık ve Finansal Piyasalar Dergisi / 2026 / Cilt: 16 Sayı: 1

Behavioral Modelling of Non-Maturing and Time Deposits in Liquidity Risk Management

Likidite Riski Yönetiminde Vadesiz ve Vadeli Mevduatların Davranışsal Modellenmesi

Celal Öztürk(MARMARA ÜNİVERSİTESİ)0000-0003-2957-8175
Cemal İbiş(ALTINBAŞ ÜNİVERSİTESİ)0000-0001-9808-2347
Pages
1–26
Publication Date
2022-03-30
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

Benzer şekilde, vadeli mevduatların vadesiz mevduatlara, Türk Parası (TP) mevduatların ise Yabancı Para (YP) mevduatlara oranla daha yüksek çekirdek mevduat oranına sahip olduğu bulgularına ulaşılmıştır.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:Bu çalışmada, Jarrow-Deventer (1998) Modeli yaklaşımı üzerinden mevduat hacimleri makro ekonomik ve finansal değişkenlerle modellenmiştir.
📊
Key Findings & Data:Kalkbrener-Willing (2014) metodolojisine göre Monte Carlo simülasyon yöntemi uygulanarak gelecek beş yıllık dönem için %99 güven düzeyinde çekirdek mevduat tutarları ve davranışsal vade yapıları tahmin edilmiştir.
💡
Conclusion & Impact:Benzer şekilde, vadeli mevduatların vadesiz mevduatlara, Türk Parası (TP) mevduatların ise Yabancı Para (YP) mevduatlara oranla daha yüksek çekirdek mevduat oranına sahip olduğu bulgularına ulaşılmıştır.
🔬Design:Experimental Field Trial
📍Scope:2014 Verileri
⚙️Variables:likidite riski · çekirdek mevduat · davranışsal model

Özet

Bu çalışmada, Jarrow-Deventer (1998) Modeli yaklaşımı üzerinden mevduat hacimleri makro ekonomik ve finansal değişkenlerle modellenmiştir. Kalkbrener-Willing (2014) metodolojisine göre Monte Carlo simülasyon yöntemi uygulanarak gelecek beş yıllık dönem için %99 güven düzeyinde çekirdek mevduat tutarları ve davranışsal vade yapıları tahmin edilmiştir. Ocak 2012 – Aralık 2019 dönemi arasındaki aylık veriler kullanılmıştır. Ampirik bulgular, mevduat hacminin Amerikan Doları Türk Lirası (USD/TRY) döviz kuru ve piyasa faiz oranı değişkenleriyle istatistiksel olarak açıklandığını ve gerçek kişi mevduatların ticari kişi mevduatlara oranla çekirdek mevduat oranlarının daha yüksek olduğunu göstermektedir. Benzer şekilde, vadeli mevduatların vadesiz mevduatlara, Türk Parası (TP) mevduatların ise Yabancı Para (YP) mevduatlara oranla daha yüksek çekirdek mevduat oranına sahip olduğu bulgularına ulaşılmıştır.

🔖

Cite This Article

Öztürk, C., İbiş, C. (2022). Behavioral Modelling of Non-Maturing and Time Deposits in Liquidity Risk Management. BDDK Bankacılık ve Finansal Piyasalar Dergisi, Cilt: 16 Sayı: 1, 1–26. https://doi.org/10.46520/bddkdergisi.1095630

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