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Journals / Sosyoekonomi / 2017 / Cilt: 25 - Sayı: 33

The Effect of Sovereign Risk Premium Shock on Banking System Soundness: The Case of Turkey in the Framework of SVAR Model

Ülke Risk Primi Şokunun Bankacılık Sisteminin Sağlamlığına Etkisi: SVAR Modeli Çerçevesinde Türkiye Örneği

Serdar VARLIK
Pages
103–126
Publication Date
2017-07-31
DOI
—
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AI Summary & Key Takeaways

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

According to the results of impulse response analyses, against to one standard deviation structural shock in sovereign risk premium; (i) Turkish Lira (TL) depreciates, financial stock prices declines, interbank overnight interest rate goes up, banking system soundness index (BSI) declines and eventually credit-deposit interest rate spread increases.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:In this study covering the period of January 2004-June 2015 for Turkish economy, using structural vector autoregression (SVAR) model, the effects of sovereign risk premium shocks on banking system soundness are investigated.
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Key Findings & Data:According to the results of impulse response analyses, against to one standard deviation structural shock in sovereign risk premium; (i) Turkish Lira (TL) depreciates, financial stock prices declines, interbank overnight interest rate goes up, banking system soundness index (BSI) declines and eventually credit-deposit interest rate spread increases.
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Conclusion & Impact:The results of impulse response analysis are supported by the evidences of variance decomposition.
🔬Design:Modeling & Simulation
📍Scope:2004 Verileri
⚙️Variables:Bankacılık Sağlamlık Endeksi · Ülke Risk Primi · SVAR

Abstract

In this study covering the period of January 2004-June 2015 for Turkish economy, using structural vector autoregression (SVAR) model, the effects of sovereign risk premium shocks on banking system soundness are investigated. According to the results of impulse response analyses, against to one standard deviation structural shock in sovereign risk premium; (i) Turkish Lira (TL) depreciates, financial stock prices declines, interbank overnight interest rate goes up, banking system soundness index (BSI) declines and eventually credit-deposit interest rate spread increases. However, (ii) credit-deposit interest rate spread responses to sovereign risk premium shock longer time than other variables do. This evidence exhibits that the balance sheet structure of banking sector is strong against to sovereign risk premium shock and banking sector reflects the negative effects of shock to real economy via increasing credit-deposit interest rate spread. The results of impulse response analysis are supported by the evidences of variance decomposition.

Özet

Türkiye ekonomisi için Ocak 2004-Haziran 2015 dönemini kapsayan bu çalışmada, yapısal vektör otoregresyon (SVAR) modeli kullanılarak, ülke risk primi şoklarının bankacılık sisteminin sağlamlığı üzerindeki etkileri incelenmektir. Etki-tepki analizinin sonuçlarına göre ülke risk primindeki bir standart sapma yapısal şok karşısında (i) Türk Lirası (TL) değer kaybetmekte, finansal hisse senedi fiyatları düşmekte, bankalar arası para piyasası gecelik faiz oranı yükselmekte, bankacılık sağlamlık endeksi (BSI) düşmekte ve sonuçta kredi mevduat faiz farkı yükselmektedir. Ancak, (ii) kredi-mevduat faiz farkı ülke risk primi şokuna diğer değişkenlerden daha uzun süre tepki vermektedir. Bu bulgu bankacılık sektörünün bilânço yapısının ülke risk primi şoku karşısında güçlü olduğunu ve bankacılık sektörünün şokun olumsuz etkilerini artan kredi-mevduat faiz farkı aracılığıyla reel ekonomiye yansıttığını ortaya koymaktadır. Etki-tepki analizinin sonuçları varyans ayrıştırması bulguları tarafından desteklemektedir.

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Cite This Article

VARLIK, S. (2017). The Effect of Sovereign Risk Premium Shock on Banking System Soundness: The Case of Turkey in the Framework of SVAR Model. Sosyoekonomi, Cilt: 25 - Sayı: 33, 103–126. https://ajindex.com/articles/139404

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