Research Article
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Factors Influencing Banks’ Foreign Exchange Derivatives Usage

Year 2023, Volume: 17 Issue: 2, 165 - 183, 19.04.2024

Aynur Coşkun Ali Osman Gürbüz

https://doi.org/10.46520/bddkdergisi.1472211

Abstract

Banks are the largest users of derivative products, and examining the complex factors that
influence banks' decisions to use derivatives is crucial. However, comparative analyses of the factors
influencing the use of foreign exchange derivatives by banks in both developed and developing
countries are lacking in the current literature. To fill this gap, a study has been conducted to examine
the use of foreign exchange derivatives by banks operating in developed and developing countries.
The study analyzed banking and macroeconomic data from 104 banks in 21 developed countries and
41 banks in 12 developing countries through panel data analysis for the period of 2010-2020. Due to
limited data availability, the analysis period was confined to 2010-2020. The results indicate a positive
relationship between interest rates and bank size with the use of foreign exchange derivatives in
both developed and developing countries. In developing countries, exchange rates and loans are
positively associated with foreign exchange derivative usage. However, while an increase in deposit
size enhances foreign exchange derivative usage in developed countries, it reduces it in developing
countries. Moreover, an increase in equity reduces foreign exchange derivative usage in developed
countries, whereas an increase in the financial institutions index enhances it.

Keywords

Derivatives Foreign exchanges derivatives Panel data models

References

  • 1. Adkins, L. C. Carter, D. A. ve Simpson, W.G. (2007). Managerial Incentives and the Use of Foreign- Exchange Derivatives By Banks. The Journal of Financial Research. Vol. 30, No. 3 pp.399–413.
  • 2. Akarsu, Y. ve Alacahan, D. (2020). Türkiye’de Faaliyet Gösteren Bankaların Türev Ürün Kullanımını Etkileyen Faktörler: Doğrusal Model Uygulaması. Kesit Akademi Dergisi, 6(25), 246-258.
  • 3. Akkaynak, B. (2023). Türkiye'De Faaliyet Gösteren Bankaların Türev Ürün Kullanımını Etkileyen İçsel Faktörler. Afyon Kocatepe Üniversitesi Sosyal Bilimler Dergisi, 25(3), 945-957.
  • 4. Allen, F., & Gale, D. (2000). Financial Contagion.J ournal of Political Economy, 108(1), 1-33.
  • 5. Allen, M. P. (1997). Model specification in regression analysis. In: Understanding Regression Analysis. Chapter 35. pp 166–170. Plenum Press, New York.
  • 6. Anbar, A. ve Alper, D. (2011). Bankaların Türev Ürün Kullanım Yoğunluğunu Etkileyen Faktörlerin Belirlenmesi. Muhasebe ve Finansman Dergisi, Sayı Nisan 2011.
  • 7. Arteta, C., & Hale, G. (2008). Sovereign Debt Crises And Credit to The Private Sector. Journal of International Economics, 74(1), 53-69.
  • 8. Baltagi, B. H. (1995). Econometrics Analysis of Panel Data. Chcihester: John wiley and Sons p. 233.
  • 9. Baltagi, B. ve Wu, P. X. (1999). Unequally Spaced Panel Data Regressions With AR(1) Disturbances. Econometric Theory, (15), 814-823.
  • 10. Bartram, S. M., Burns, N., & Helwege, J. (2019). Foreign Currency Exposure And Hedging İn Multinational Companies. Journal of Corporate Finance, 56, 153-169.
  • 11. Bazih J.H. ve Vanwalleghem D. (2021). Deriving Value Or Risk? Determinants And The İmpact of Emerging Market Banks’ Derivative Usage. Research in International Business and Finance. Volume 56, April 2021.
  • 12. Bhargava, A., Franzini L. ve Narendranathan W. (1982). Serial Correlation And Fixed Effect Models, The Review Of Economic Studies, 49, 1982, s. 533-549.
  • 13. Bordo, M. D., & Murshid, A. P. (2000). Access to Capital, Capital Structure, and The Funding of The Firms. European Economic Review, 44(8), 1331-1349.
  • 14. Brown, M. B. ve Forsythe, A. B. (1974). Journal of the American Statistical Association. 69, pp. 364-367.
  • 15. Chudik, A. ve Pesaran, M. H. (2015). Large Panel Data Models with Cross-Sectional Dependence A Survey. Oxford Handbook of Panel Data, Edition 1. Editor Badi H. Baltagi.
  • 16. D’Agostino, R.B., Belanger A., ve D’Agostino, R.B.,JR. (1990). Suggestion for Using Powerful and Informative Tests of Normality. The American Statistician, 44 (4), 316-321.
  • 17. Fan, J., Liao Y. ve Yao J. (2015). Power Enhancement in High-Dimensional Cross-Sectional Tests. Econometrica (83): 1497–1541
  • 18. Feenstra, R. C., Inklaar, R. ve Timmer M. (2015). The Next Generation of the Penn World Table. American Economic Review . www.ggdc.net/pwt
  • 19. Fettahoğlu, S., İnal, M. ve Yaşar, H. (2018). Türev Ürün Kullanımının Banka Etkinliği İle İlişkisinin Belirlenmesine Yönelik Bir Çalışma. Verimlilik Dergisi, 2, 99-113.
  • 20. Granger C. ve Newbold P. (1974). Spurious regressions in econometrics. Journal of Econometrics, 2 (2), ss. 111-120.
  • 21. Gregoriou, G. N., & Gueyie, J. P. (2019). Emerging Markets and the Global Economy: A Handbook. Academic Press.
  • 22. Gunther, Jeffery W. ve Siems, Thomas F. (2002). The Likelihood and Extent of Banks’ Involvement with Interest Rate Derivatives as End-users. Research in Finance, 19, pp.125 – 142.
  • 23. Hassan, M. K. ve Khasawneh, A. (2009). The Determinants of Derivatives Activities in U.S. Commercial Banks. Working Paper, 2009-WP-10.
  • 24. Hausman J. (1979). Specification Tests in Econometrics. Econometrica, 46, no. 6, ss. 1251–1271.
  • 25. Hausman J. ve William Taylor W. (1981). Panel Data and Unobservable Individual Effects. Econometrica, 49, no. 6, ss. 1377– 1397.
  • 26. Hull, J. C. (2018). Options, Futures, and Other Derivatives. Pearson Education.
  • 27. Hundman, K. (1998). An Analysis of the Determinants of Financial Derivative Use by Commercial Banks. Honors Projects, (68).
  • 28. Jorion, P. (2009). Financial Risk Manager Handbook. John Wiley & Sons.
  • 29. Juodis, A. ve Reese, S. 2022. The Incidental Parameters Problem in Testing for Remaining Cross-section Correlation. Journal of Business Economics and Statistics. 40(3).
  • 30. Khan, I., Arif, H. ve Tahır, M. (2018). The Use and Determinants of Derivatives: Empirical Evidence from Banking Sector of Pakistan. Journal of Managerial Sciences, 12(1), 63-74.
  • 31. La Porta, R., Lopez-de-Silanes, F., & Shleifer, A. (1997). Legal Determinants of External Finance. Journal Of Finance, 52(3), 1131-1150.
  • 32. Levene, H. (1960). In Contributions to Probability and Statistics: Essays in Honor of Harold Hotelling. I. Olkin et al. eds., Stanford University Press, pp. 278-292.
  • 33. Levine, R. (2005). Finance and Growth: Theory and Evidence. Handbook of economic growth, 1, 865-934.
  • 34. Lyes, B., (2002). The Use of Interest Rate Swaps by Commercial Banks. Available at SSRN: https://ssrn.com/abstract=373482 or http://dx.doi.org/10.2139/ssrn.373482
  • 35. Maurer, B., & Holmberg, M. (2019). Understanding International Banking. Routledge.
  • 36. Menard, S. (2001). Applied Logistic Regression Analysis. 2nd edition. SAGE Publications.
  • 37. Merton, R. C. (1998). Applications of option-pricing theory: Twenty-five years later. The American Economic Review, 88(3), 323-349.
  • 38. Moh, F., Lin Y. ve Huei B. (2006). An Empirical Study of the Relationship between Derivatives Use and the Financial Characteristics of Domestic Banks in Taiwan. www.ir.lib.ntust.edu. tw:8080/.../An%20Empirical%20Study%20of%20the%20Relationship%2 0between%2 (06.01.2022)
  • 39. Naceur, S. B., & Kandil, M. (2014). The İmpact of Capital Requirements on Banks’ Cost of İntermediation And Performance: The Case of Egypt. Research in International Business and Finance, 30, 284-309.
  • 40. Oktar, S. ve Yüksel S. (2016). Bankaların Türev Ürün Kullanımını Etkileyen Faktörler: Mars Yöntemi ile Bir İnceleme. Finans Politik & Ekonomik Yorumlar, 2016 Cilt: 53 Sayı: 620
  • 41. Pala, Y. (2023). Faiz Oranı Türevlerinin Belirleyicileri: Mevduat Bankaları İle Kalkınma Ve Yatırım Bankaları Üzerine Bir Uygulama. Doğuş Üniversitesi Dergisi, 24(2), 457-477. DOI: 10.31671/doujournal.1286548.
  • 42. Pesaran, M. H. (2004).General diagnostic Test for Cross Section Depencein Panels, University of Cambridge, Faculty of Economics, Cambridge Working Papers in Economics, No. 0435.

Bankaların Döviz Türevi Kullanımını Etkileyen Faktörler

Year 2023, Volume: 17 Issue: 2, 165 - 183, 19.04.2024

Aynur Coşkun Ali Osman Gürbüz

https://doi.org/10.46520/bddkdergisi.1472211

Abstract

Bankalar, türev ürünlerin en büyük kullanıcılarıdır ve bankaların türev ürün kullanım kararlarını
etkileyen karmaşık faktörlerin incelenmesi önemlidir. Ancak mevcut literatürde gelişmiş ve gelişmekte
olan ülkelerdeki bankaların döviz türevi kullanımını etkileyen faktörlerin karşılaştırmalı analizlerine
rastlanmamıştır. Bu alandaki boşluğu doldurmak amacıyla gelişmekte olan ve gelişmiş ülkelerde
faaliyet gösteren bankaların döviz türevi kullanımını inceleyen bir çalışma yapılmıştır. Çalışmada,
21 gelişmiş ülkedeki 104 banka ve 12 gelişmekte olan ülkedeki 41 bankanın, 2010-2020 yılları
arasındaki bankacılık ve makroekonomik verileri panel veri analiziyle incelenmiştir. Analiz dönemi,
veriye ulaşımın kısıtlı olması nedeniyle 2010-2020 arasında sınırlı kalmıştır. Sonuçlar, gelişmiş ve
gelişmekte olan ülkelerde, faiz oranları ve banka büyüklüğünün döviz türevi kullanımı ile pozitif ilişkili
olduğunu göstermektedir. Gelişmekte olan ülkelerde kur ve krediler, döviz türevi kullanımıyla pozitif
ilişkilidir. Ancak, gelişmiş ülkelerde mevduat büyüklüğünün artması döviz türevi kullanımını artırırken,
gelişmekte olan ülkelerde azaltmaktadır. Öz kaynakların artması gelişmiş ülkelerde döviz türevi
kullanımını azaltırken, finansal kurumlar endeksinin yükselmesi döviz türevi kullanımını artırmaktadır.

Keywords

Bankalar Türev ürünler Döviz türevi Panel data modeli

References

  • 1. Adkins, L. C. Carter, D. A. ve Simpson, W.G. (2007). Managerial Incentives and the Use of Foreign- Exchange Derivatives By Banks. The Journal of Financial Research. Vol. 30, No. 3 pp.399–413.
  • 2. Akarsu, Y. ve Alacahan, D. (2020). Türkiye’de Faaliyet Gösteren Bankaların Türev Ürün Kullanımını Etkileyen Faktörler: Doğrusal Model Uygulaması. Kesit Akademi Dergisi, 6(25), 246-258.
  • 3. Akkaynak, B. (2023). Türkiye'De Faaliyet Gösteren Bankaların Türev Ürün Kullanımını Etkileyen İçsel Faktörler. Afyon Kocatepe Üniversitesi Sosyal Bilimler Dergisi, 25(3), 945-957.
  • 4. Allen, F., & Gale, D. (2000). Financial Contagion.J ournal of Political Economy, 108(1), 1-33.
  • 5. Allen, M. P. (1997). Model specification in regression analysis. In: Understanding Regression Analysis. Chapter 35. pp 166–170. Plenum Press, New York.
  • 6. Anbar, A. ve Alper, D. (2011). Bankaların Türev Ürün Kullanım Yoğunluğunu Etkileyen Faktörlerin Belirlenmesi. Muhasebe ve Finansman Dergisi, Sayı Nisan 2011.
  • 7. Arteta, C., & Hale, G. (2008). Sovereign Debt Crises And Credit to The Private Sector. Journal of International Economics, 74(1), 53-69.
  • 8. Baltagi, B. H. (1995). Econometrics Analysis of Panel Data. Chcihester: John wiley and Sons p. 233.
  • 9. Baltagi, B. ve Wu, P. X. (1999). Unequally Spaced Panel Data Regressions With AR(1) Disturbances. Econometric Theory, (15), 814-823.
  • 10. Bartram, S. M., Burns, N., & Helwege, J. (2019). Foreign Currency Exposure And Hedging İn Multinational Companies. Journal of Corporate Finance, 56, 153-169.
  • 11. Bazih J.H. ve Vanwalleghem D. (2021). Deriving Value Or Risk? Determinants And The İmpact of Emerging Market Banks’ Derivative Usage. Research in International Business and Finance. Volume 56, April 2021.
  • 12. Bhargava, A., Franzini L. ve Narendranathan W. (1982). Serial Correlation And Fixed Effect Models, The Review Of Economic Studies, 49, 1982, s. 533-549.
  • 13. Bordo, M. D., & Murshid, A. P. (2000). Access to Capital, Capital Structure, and The Funding of The Firms. European Economic Review, 44(8), 1331-1349.
  • 14. Brown, M. B. ve Forsythe, A. B. (1974). Journal of the American Statistical Association. 69, pp. 364-367.
  • 15. Chudik, A. ve Pesaran, M. H. (2015). Large Panel Data Models with Cross-Sectional Dependence A Survey. Oxford Handbook of Panel Data, Edition 1. Editor Badi H. Baltagi.
  • 16. D’Agostino, R.B., Belanger A., ve D’Agostino, R.B.,JR. (1990). Suggestion for Using Powerful and Informative Tests of Normality. The American Statistician, 44 (4), 316-321.
  • 17. Fan, J., Liao Y. ve Yao J. (2015). Power Enhancement in High-Dimensional Cross-Sectional Tests. Econometrica (83): 1497–1541
  • 18. Feenstra, R. C., Inklaar, R. ve Timmer M. (2015). The Next Generation of the Penn World Table. American Economic Review . www.ggdc.net/pwt
  • 19. Fettahoğlu, S., İnal, M. ve Yaşar, H. (2018). Türev Ürün Kullanımının Banka Etkinliği İle İlişkisinin Belirlenmesine Yönelik Bir Çalışma. Verimlilik Dergisi, 2, 99-113.
  • 20. Granger C. ve Newbold P. (1974). Spurious regressions in econometrics. Journal of Econometrics, 2 (2), ss. 111-120.
  • 21. Gregoriou, G. N., & Gueyie, J. P. (2019). Emerging Markets and the Global Economy: A Handbook. Academic Press.
  • 22. Gunther, Jeffery W. ve Siems, Thomas F. (2002). The Likelihood and Extent of Banks’ Involvement with Interest Rate Derivatives as End-users. Research in Finance, 19, pp.125 – 142.
  • 23. Hassan, M. K. ve Khasawneh, A. (2009). The Determinants of Derivatives Activities in U.S. Commercial Banks. Working Paper, 2009-WP-10.
  • 24. Hausman J. (1979). Specification Tests in Econometrics. Econometrica, 46, no. 6, ss. 1251–1271.
  • 25. Hausman J. ve William Taylor W. (1981). Panel Data and Unobservable Individual Effects. Econometrica, 49, no. 6, ss. 1377– 1397.
  • 26. Hull, J. C. (2018). Options, Futures, and Other Derivatives. Pearson Education.
  • 27. Hundman, K. (1998). An Analysis of the Determinants of Financial Derivative Use by Commercial Banks. Honors Projects, (68).
  • 28. Jorion, P. (2009). Financial Risk Manager Handbook. John Wiley & Sons.
  • 29. Juodis, A. ve Reese, S. 2022. The Incidental Parameters Problem in Testing for Remaining Cross-section Correlation. Journal of Business Economics and Statistics. 40(3).
  • 30. Khan, I., Arif, H. ve Tahır, M. (2018). The Use and Determinants of Derivatives: Empirical Evidence from Banking Sector of Pakistan. Journal of Managerial Sciences, 12(1), 63-74.
  • 31. La Porta, R., Lopez-de-Silanes, F., & Shleifer, A. (1997). Legal Determinants of External Finance. Journal Of Finance, 52(3), 1131-1150.
  • 32. Levene, H. (1960). In Contributions to Probability and Statistics: Essays in Honor of Harold Hotelling. I. Olkin et al. eds., Stanford University Press, pp. 278-292.
  • 33. Levine, R. (2005). Finance and Growth: Theory and Evidence. Handbook of economic growth, 1, 865-934.
  • 34. Lyes, B., (2002). The Use of Interest Rate Swaps by Commercial Banks. Available at SSRN: https://ssrn.com/abstract=373482 or http://dx.doi.org/10.2139/ssrn.373482
  • 35. Maurer, B., & Holmberg, M. (2019). Understanding International Banking. Routledge.
  • 36. Menard, S. (2001). Applied Logistic Regression Analysis. 2nd edition. SAGE Publications.
  • 37. Merton, R. C. (1998). Applications of option-pricing theory: Twenty-five years later. The American Economic Review, 88(3), 323-349.
  • 38. Moh, F., Lin Y. ve Huei B. (2006). An Empirical Study of the Relationship between Derivatives Use and the Financial Characteristics of Domestic Banks in Taiwan. www.ir.lib.ntust.edu. tw:8080/.../An%20Empirical%20Study%20of%20the%20Relationship%2 0between%2 (06.01.2022)
  • 39. Naceur, S. B., & Kandil, M. (2014). The İmpact of Capital Requirements on Banks’ Cost of İntermediation And Performance: The Case of Egypt. Research in International Business and Finance, 30, 284-309.
  • 40. Oktar, S. ve Yüksel S. (2016). Bankaların Türev Ürün Kullanımını Etkileyen Faktörler: Mars Yöntemi ile Bir İnceleme. Finans Politik & Ekonomik Yorumlar, 2016 Cilt: 53 Sayı: 620
  • 41. Pala, Y. (2023). Faiz Oranı Türevlerinin Belirleyicileri: Mevduat Bankaları İle Kalkınma Ve Yatırım Bankaları Üzerine Bir Uygulama. Doğuş Üniversitesi Dergisi, 24(2), 457-477. DOI: 10.31671/doujournal.1286548.
  • 42. Pesaran, M. H. (2004).General diagnostic Test for Cross Section Depencein Panels, University of Cambridge, Faculty of Economics, Cambridge Working Papers in Economics, No. 0435.
There are 42 citations in total.

Details

Primary Language Turkish
Subjects Banking and Insurance (Other)
Journal Section Research Articles
Authors

Aynur Coşkun 0000-0003-0020-222X

Ali Osman Gürbüz 0000-0003-0230-5839

Publication Date April 19, 2024
Submission Date March 9, 2024
Acceptance Date April 15, 2024
Published in Issue Year 2023 Volume: 17 Issue: 2

Cite

APA Coşkun, A., & Gürbüz, A. O. (2024). Bankaların Döviz Türevi Kullanımını Etkileyen Faktörler. BDDK Bankacılık Ve Finansal Piyasalar Dergisi, 17(2), 165-183. https://doi.org/10.46520/bddkdergisi.1472211
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