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Monetary Policy Decisions’ Impacts on Bank Leverage and Liquidity Ratios in Türkiye

Year 2024, Volume: 39 Issue: 2, 590 - 604

Aydın Gürbüz Emre Tatlıyer Meltem Kılıç Yücel Ayrıçay

https://doi.org/10.24988/ije.1345625

Abstract

This study explores how banks in the Turkish banking system design their asset and equity structures in return for monetary policy changes. In this context, between the periods of 2010-2020, we estimate bank leverage and liquidity with multiple monetary policy indicators and by employing two econometric models of static and dynamic panels. According to the results, banks reply to monetary expansion by picking up their leverage ratios on the liability part. On the other hand, banks reply to monetary expansion by enhancing their liquidity positions on the asset part. Also, the originality of our empirical study comes from that; this is the first attempt to evaluate the effects of monetary policy changes simultaneously on both sides of bank balance sheets’ in Türkiye.

Keywords

Monetary Policy Bank Leverage Bank Liquidity

References

  • Aboyadana, G. (2021). Monetary policy and bank risk-taking in Sub-Sahara Africa. The European Journal of Applied Economics, 18(1), 15-38. https://doi.org/10.5937/ejae18-28152
  • Adrian, T., and Shin, H.S. (2010). The changing nature of financial intermediation and the financial crisis of 2007–2009. Annual Review of Economics, 2(1), 603-618. https://www.newyorkfed.org/medialibrary/media/research/staff_reports/sr439.pdf
  • Aklan, A.N., Akay, H.K., and Çınar, M. (2014). Türkiye’de para politikalarının bankaların risk yüklenimleri üzerindeki etkileri. International Journal of Management Economics and Business, 10(11), 1-17. http://dx.doi.org/10.11122/ijmeb.2014.10.21.476
  • Akkoc, U., ve Ozgur, O. (2021). Türkiye’de para politikasının risk alma kanalı: T-FAVAR yönteminden yeni asimetrik bulgular. Business and Economics Research Journal, 12(2), 287-305. http://dx.doi.org/10.20409/berj.2021.322
  • Altunbas, Y., Gambacorta, L., and Marques-Ibanez, D. (2014). Does monetary policy affect bank risk? International Journal of Central Banking, 10(1), 95-135. https://www.ijcb.org/journal/ijcb14q1a3.pdf
  • Angeloni, I., Faia, E., Lo Duca, M. (2015), Monetary policy and risk-taking. Journal of Economic Dynamics and Control, 52, 285-307. https://doi.org/10.1016/j.jedc.2014.12.001
  • Arellano, M., and Bond, S. (1991). Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations. Review of Economic Studies, 58, 277–297. https://doi.org/10.2307/2297968
  • Baltagi, B.H. (2005). Econometric Analysis of Panel Data. Third Edition, John Wiley & Sons, LTD.
  • Baltagi, B., and li, Q. (1991). A joint test for serial correlation and random individual effects. Statistics & Probability Letters, 11(3), 277-280. https://doi.org/10.1016/0167-7152(91)90156-L
  • Bhagat, S., and Bolton, B. (2008). Corporate governance and firm performance. Journal of Corporate Finance, 14(3), 257–273. https://doi.org/10.1016/j.jcorpfin.2008.03.006
  • Blundell, R., and Bond, S. (1998). Initial conditions and moment restrictions in dynamic panel data models. Journal of Econometrics, 87(1), 115-143. https://doi.org/10.1016/S0304-4076(98)00009-8
  • Borio, C., and Zhu, H. (2012). Capital regulation, risk-taking and monetary policy: a missing link in the transmission mechanism? Journal of Financial Stability, 8(4), 236-251. https://doi.org/10.1016/j.jfs.2011.12.003
  • Bonfım, D., Soares, C. (2018). The risk-taking channel of monetary policy: Exploring all avenues. Journal of Money, Credit and Banking, Blackwell Publishing, 50(7), 1507-1541. https://doi.org/10.1111/jmcb.12500
  • Binici, M., Kara, H., and Ozlu, P. (2016). Faiz koridoru ve banka faizleri: Parasal aktarım mekanizmasına dair bazı bulgular. Central Bank Review, 16(08), 1-39.
  • Chen, M., Wu, J., Jeon, B.N., and Wang, R. (2017). Monetary policy and bank risk-taking: evidence from emerging economies. Emerging Markets Review, 31, 116-140. https://doi.org/10.1016/j.ememar.2017.04.001
  • Çoban, O. (2009). İktisada Giriş. Selçuk Üniversitesi Basımevi, Konya.
  • Dang, and Nguyen, K.Q.B. (2021). Monetary policy, bank leverage and liquidity. International Journal of Managerial Finance, 17(4), 619-639. https://doi.org/10.1108/IJMF-06-2020-0284.
  • Demirgüç-Kunt, A., Laeven, L., and Levine, R. (2003). The impact of bank regulations, concentration, and institutions on bank margins. Policy Research Working Paper, 3030, 1-64. https://doi.org/10.1596/1813-9450-3030
  • De Nicolo, G., Dell'Ariccia, G., Laeven, L.A., and Valencia, F., (2010). Monetary policy and bank risk-taking. International Monetary Fund Research Department, July.
  • De Moraes, C.O., Montes, G.C., and Antunes, J.A.P. (2016), How does capital regulation react to monetary policy? New evidence on the risk-taking channel. Economic Modelling, 56, 177-186. https://doi.org/10.1016/j.econmod.2016.03.025
  • De Moraes, C.O., and De Mendonça, H.F. (2019). Bank’s risk measures and monetary policy: evidence from a large emerging economy. North American Journal of Economics and Finance, 49, 121-132. https://doi.org/10.1016/j.najef.2019.04.002
  • De Menna, B. (2020). Monetary policy's risk-taking channel and leverage in bank-based financial systems: Evidence from the Post-GFC Euro Area. International Journal of Economics and Finance, July. http://dx.doi.org/10.2139/ssrn.3524518
  • Dell'Ariccia, G., Laeven, L., and Marquez, R. (2014). Real interest rates, leverage, and bank risk-taking. Journal of Economic Theory, 149(1), 65-99. https://doi.org/10.1016/j.jet.2013.06.002
  • Diamond, D.W., and Rajan, R.G. (2001). Liquidity risk, liquidity creation, and financial fragility: a theory of banking. Journal of Political Economy, 109(2), 287-327. http://dx.doi.org/10.2139/ssrn.112473
  • Diamond, D.W., Rajan, R.G. (2005), Liquidity shortages and banking crises. Journal of Finance, 60(2), 615-647. https://doi.org/10.1111/j.1540-6261.2005.00741.x
  • Donald W.K. Andrews. (1991). Heteroskedasticity and autocorrelation consistent covariance matrix estimation. Econometrica, 59(3), 817–858. https://doi.org/10.2307/2938229
  • Driscoll, J.C., and Kraay, A.C. (1998). Consistent covariance matrix estimation with spatially dependent panel data. The Review of Economics and Statistics, 80(4), 549-560. https://doi.org/10.1162/003465398557825
  • Gan, J. (2004), Banking market structure and financial stability: Evidence from the Texas Real Estate Crisis in the 1980s. Journal of Financial Economics, 73(3), 567-601. https://doi.org/10.1016/j.jfineco.2003.07.004
  • Gropp, R., and Heider, F. (2010). The determinants of bank capital structure. Review of Finance, 14(4), 587-622. https://doi.org/10.1093/rof/rfp030
  • Kane, E.J. (1989). The S&L insurance mess: how did it happen? The Journal of Finance, 44(5), 1444-1448.
  • Lucchetta, M. (2007), What do data say about monetary policy, bank liquidity and bank risk-taking? Economic Notes, 36(2), 189-203. https://doi.org/10.1111/j.1468-0300.2007.00180.x
  • Mankiw, N.G. (1986). The allocation of credit and financial collapse. The Quarterly Journal of Economics, 101(3), 455-470. https://doi.org/10.2307/1885692
  • Myers, S.C., and Majluf, N.S. (1984). Corporate financing and investment decisions when firms have information that investors do not have. Journal of Financial Economics, 13(2), 187-221. https://doi.org/10.1016/0304-405X(84)90023-0
  • Newey, W.K., and West, K.D. (1987). A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica, 55(3), 703–708. https://doi.org/10.2307/1913610
  • Peydro, J.L., Polo, A., and Sette, E. (2017), Monetary policy at work: Security and credit application registers evidence. Journal of Financial Economics (JFE), http://dx.doi.org/10.2139/ssrn.2958917
  • Rajan, R.G. (2006), Has finance made the world riskier? European Financial Management, 12(4), 499-533. https://doi.org/10.1111/j.1468-036X.2006.00330.x
  • Roodman, D. (2006), How to do xtabond2: An introduction to difference and system GMM in Stata. Center For Global Development Working Paper, 103, 1–44.
  • Senn, P.R. (1999). Monetary policy and the definition of Money. Journal of Economic Studies, 26(4/5), 338-382. https://doi.org/10.1108/01443589910284921
  • Shim, J. (2013). Bank capital buffer and portfolio risk: the influence of business cycle and revenue diversification. Journal of Banking and Finance, 37(3), 761-772. https://doi.org/10.1016/j.jbankfin.2012.10.002
  • Taylor, J.B. (2009). The financial crisis and the policy responses: An empirical analysis of what went wrong. SSRN Electronic Journal. https://ssrn.com/abstract=1327252
  • Valencia, F. (2014). Monetary policy, bank leverage, and financial stability. Journal of Economic Dynamics and Control, 47, 20-38. https://doi.org/10.1016/j.jedc.2014.07.010
  • Wu, J., Yan, Y., Chen, M., and Jeon, B. N. (2022). Monetary policy, economic uncertainty and bank risk: Cross-Country Evidence. Journal of International Money and Finance, 122. https://doi.org/10.1016/j.jimonfin.2021.102580

Türkiye'de Para Politikası Kararlarının Banka Kaldıraç ve Likidite Oranlarına Etkileri

Year 2024, Volume: 39 Issue: 2, 590 - 604

Aydın Gürbüz Emre Tatlıyer Meltem Kılıç Yücel Ayrıçay

https://doi.org/10.24988/ije.1345625

Abstract

Bu çalışma, Türk bankacılık sisteminin para politikası kararlarına yönelik aktif ve pasif yapılarını nasıl tasarladıklarını incelemektedir. Bu kapsamda, iki ayrı ekonometrik yaklaşım statik ve dinamik panel modellerini kullanarak, çoklu para göstergeleri ile banka kaldıracı ve likiditesini 2010-2020 dönemi için tahmin etmekteyiz. Bulgularımıza göre, parasal genişleme esnasında bankalar yükümlülük tarafında kaldıraçlarını artırarak cevap vermektedir. Öte yandan, bankalar varlık tarafında ise likiditelerini artırarak tepki göstermektedir. Ayrıca, ampirik çalışmamızın özgünlüğü Türkiye’deki para politikası değişikliklerinin banka bilançolarının aynı anda her iki tarafındaki etkilerini inceleyen ilk girişim olmasından kaynaklanmaktadır.

Keywords

Para politikası Banka kaldıracı Banka likiditesi

References

  • Aboyadana, G. (2021). Monetary policy and bank risk-taking in Sub-Sahara Africa. The European Journal of Applied Economics, 18(1), 15-38. https://doi.org/10.5937/ejae18-28152
  • Adrian, T., and Shin, H.S. (2010). The changing nature of financial intermediation and the financial crisis of 2007–2009. Annual Review of Economics, 2(1), 603-618. https://www.newyorkfed.org/medialibrary/media/research/staff_reports/sr439.pdf
  • Aklan, A.N., Akay, H.K., and Çınar, M. (2014). Türkiye’de para politikalarının bankaların risk yüklenimleri üzerindeki etkileri. International Journal of Management Economics and Business, 10(11), 1-17. http://dx.doi.org/10.11122/ijmeb.2014.10.21.476
  • Akkoc, U., ve Ozgur, O. (2021). Türkiye’de para politikasının risk alma kanalı: T-FAVAR yönteminden yeni asimetrik bulgular. Business and Economics Research Journal, 12(2), 287-305. http://dx.doi.org/10.20409/berj.2021.322
  • Altunbas, Y., Gambacorta, L., and Marques-Ibanez, D. (2014). Does monetary policy affect bank risk? International Journal of Central Banking, 10(1), 95-135. https://www.ijcb.org/journal/ijcb14q1a3.pdf
  • Angeloni, I., Faia, E., Lo Duca, M. (2015), Monetary policy and risk-taking. Journal of Economic Dynamics and Control, 52, 285-307. https://doi.org/10.1016/j.jedc.2014.12.001
  • Arellano, M., and Bond, S. (1991). Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations. Review of Economic Studies, 58, 277–297. https://doi.org/10.2307/2297968
  • Baltagi, B.H. (2005). Econometric Analysis of Panel Data. Third Edition, John Wiley & Sons, LTD.
  • Baltagi, B., and li, Q. (1991). A joint test for serial correlation and random individual effects. Statistics & Probability Letters, 11(3), 277-280. https://doi.org/10.1016/0167-7152(91)90156-L
  • Bhagat, S., and Bolton, B. (2008). Corporate governance and firm performance. Journal of Corporate Finance, 14(3), 257–273. https://doi.org/10.1016/j.jcorpfin.2008.03.006
  • Blundell, R., and Bond, S. (1998). Initial conditions and moment restrictions in dynamic panel data models. Journal of Econometrics, 87(1), 115-143. https://doi.org/10.1016/S0304-4076(98)00009-8
  • Borio, C., and Zhu, H. (2012). Capital regulation, risk-taking and monetary policy: a missing link in the transmission mechanism? Journal of Financial Stability, 8(4), 236-251. https://doi.org/10.1016/j.jfs.2011.12.003
  • Bonfım, D., Soares, C. (2018). The risk-taking channel of monetary policy: Exploring all avenues. Journal of Money, Credit and Banking, Blackwell Publishing, 50(7), 1507-1541. https://doi.org/10.1111/jmcb.12500
  • Binici, M., Kara, H., and Ozlu, P. (2016). Faiz koridoru ve banka faizleri: Parasal aktarım mekanizmasına dair bazı bulgular. Central Bank Review, 16(08), 1-39.
  • Chen, M., Wu, J., Jeon, B.N., and Wang, R. (2017). Monetary policy and bank risk-taking: evidence from emerging economies. Emerging Markets Review, 31, 116-140. https://doi.org/10.1016/j.ememar.2017.04.001
  • Çoban, O. (2009). İktisada Giriş. Selçuk Üniversitesi Basımevi, Konya.
  • Dang, and Nguyen, K.Q.B. (2021). Monetary policy, bank leverage and liquidity. International Journal of Managerial Finance, 17(4), 619-639. https://doi.org/10.1108/IJMF-06-2020-0284.
  • Demirgüç-Kunt, A., Laeven, L., and Levine, R. (2003). The impact of bank regulations, concentration, and institutions on bank margins. Policy Research Working Paper, 3030, 1-64. https://doi.org/10.1596/1813-9450-3030
  • De Nicolo, G., Dell'Ariccia, G., Laeven, L.A., and Valencia, F., (2010). Monetary policy and bank risk-taking. International Monetary Fund Research Department, July.
  • De Moraes, C.O., Montes, G.C., and Antunes, J.A.P. (2016), How does capital regulation react to monetary policy? New evidence on the risk-taking channel. Economic Modelling, 56, 177-186. https://doi.org/10.1016/j.econmod.2016.03.025
  • De Moraes, C.O., and De Mendonça, H.F. (2019). Bank’s risk measures and monetary policy: evidence from a large emerging economy. North American Journal of Economics and Finance, 49, 121-132. https://doi.org/10.1016/j.najef.2019.04.002
  • De Menna, B. (2020). Monetary policy's risk-taking channel and leverage in bank-based financial systems: Evidence from the Post-GFC Euro Area. International Journal of Economics and Finance, July. http://dx.doi.org/10.2139/ssrn.3524518
  • Dell'Ariccia, G., Laeven, L., and Marquez, R. (2014). Real interest rates, leverage, and bank risk-taking. Journal of Economic Theory, 149(1), 65-99. https://doi.org/10.1016/j.jet.2013.06.002
  • Diamond, D.W., and Rajan, R.G. (2001). Liquidity risk, liquidity creation, and financial fragility: a theory of banking. Journal of Political Economy, 109(2), 287-327. http://dx.doi.org/10.2139/ssrn.112473
  • Diamond, D.W., Rajan, R.G. (2005), Liquidity shortages and banking crises. Journal of Finance, 60(2), 615-647. https://doi.org/10.1111/j.1540-6261.2005.00741.x
  • Donald W.K. Andrews. (1991). Heteroskedasticity and autocorrelation consistent covariance matrix estimation. Econometrica, 59(3), 817–858. https://doi.org/10.2307/2938229
  • Driscoll, J.C., and Kraay, A.C. (1998). Consistent covariance matrix estimation with spatially dependent panel data. The Review of Economics and Statistics, 80(4), 549-560. https://doi.org/10.1162/003465398557825
  • Gan, J. (2004), Banking market structure and financial stability: Evidence from the Texas Real Estate Crisis in the 1980s. Journal of Financial Economics, 73(3), 567-601. https://doi.org/10.1016/j.jfineco.2003.07.004
  • Gropp, R., and Heider, F. (2010). The determinants of bank capital structure. Review of Finance, 14(4), 587-622. https://doi.org/10.1093/rof/rfp030
  • Kane, E.J. (1989). The S&L insurance mess: how did it happen? The Journal of Finance, 44(5), 1444-1448.
  • Lucchetta, M. (2007), What do data say about monetary policy, bank liquidity and bank risk-taking? Economic Notes, 36(2), 189-203. https://doi.org/10.1111/j.1468-0300.2007.00180.x
  • Mankiw, N.G. (1986). The allocation of credit and financial collapse. The Quarterly Journal of Economics, 101(3), 455-470. https://doi.org/10.2307/1885692
  • Myers, S.C., and Majluf, N.S. (1984). Corporate financing and investment decisions when firms have information that investors do not have. Journal of Financial Economics, 13(2), 187-221. https://doi.org/10.1016/0304-405X(84)90023-0
  • Newey, W.K., and West, K.D. (1987). A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica, 55(3), 703–708. https://doi.org/10.2307/1913610
  • Peydro, J.L., Polo, A., and Sette, E. (2017), Monetary policy at work: Security and credit application registers evidence. Journal of Financial Economics (JFE), http://dx.doi.org/10.2139/ssrn.2958917
  • Rajan, R.G. (2006), Has finance made the world riskier? European Financial Management, 12(4), 499-533. https://doi.org/10.1111/j.1468-036X.2006.00330.x
  • Roodman, D. (2006), How to do xtabond2: An introduction to difference and system GMM in Stata. Center For Global Development Working Paper, 103, 1–44.
  • Senn, P.R. (1999). Monetary policy and the definition of Money. Journal of Economic Studies, 26(4/5), 338-382. https://doi.org/10.1108/01443589910284921
  • Shim, J. (2013). Bank capital buffer and portfolio risk: the influence of business cycle and revenue diversification. Journal of Banking and Finance, 37(3), 761-772. https://doi.org/10.1016/j.jbankfin.2012.10.002
  • Taylor, J.B. (2009). The financial crisis and the policy responses: An empirical analysis of what went wrong. SSRN Electronic Journal. https://ssrn.com/abstract=1327252
  • Valencia, F. (2014). Monetary policy, bank leverage, and financial stability. Journal of Economic Dynamics and Control, 47, 20-38. https://doi.org/10.1016/j.jedc.2014.07.010
  • Wu, J., Yan, Y., Chen, M., and Jeon, B. N. (2022). Monetary policy, economic uncertainty and bank risk: Cross-Country Evidence. Journal of International Money and Finance, 122. https://doi.org/10.1016/j.jimonfin.2021.102580
There are 42 citations in total.

Details

Primary Language English
Subjects Monetary Policy, Monetary-Banking
Journal Section Articles
Authors

Aydın Gürbüz 0000-0002-2428-2327

Emre Tatlıyer 0000-0001-6863-2520

Meltem Kılıç 0000-0001-8978-9076

Yücel Ayrıçay 0000-0001-5148-391X

Early Pub Date April 5, 2024
Publication Date
Submission Date August 18, 2023
Acceptance Date January 27, 2024
Published in Issue Year 2024 Volume: 39 Issue: 2

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APA Gürbüz, A., Tatlıyer, E., Kılıç, M., Ayrıçay, Y. (2024). Monetary Policy Decisions’ Impacts on Bank Leverage and Liquidity Ratios in Türkiye. İzmir İktisat Dergisi, 39(2), 590-604. https://doi.org/10.24988/ije.1345625
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