Döviz Kurlarının Bankacılık Sektörünün Performansı Üzerindeki Etkisi: Türkiye Örneği (2007-2016)Asef Yelghi
Son dönemde yükselen ekonomiler arasında yer alan Türkiye’nin ekonomik büyümesinin yavaşladığı ve para biriminin aşırı değer kaybettiği görülmektedir. Bankacılık sektörünün döviz kurlarındaki oynaklığa karşı duyarlılığının yüksek olması, sektör performansını ve faaliyetlerini etkilemektedir. Kur ve bankacılık krizleri ile ilişkili yapılan analizlerde, kur dalgalanmaları ile bankacılık krizleri arasındaki ilişkiye odaklanılmakta ama banka performansı üzerindeki etkiler göz ardı edilmektedir. Bu bakımdan kur hareketlerinin banka performansına etkileri önemli ve üzerinde az durulan bir araştırma konusu olmaktadır. Çalışmada Türkiye’de döviz kurundaki oynaklığın bankacılık sektörünün performansı üzerindeki etkisi incelenecektir. 2007-2016 yıllar arası aylık kur verileri ile net faiz marjı, aktif getirisi ve öz kaynak getirisi gibi bankacılık sistemi temelli verileri kapsayan bir örneklem analiz edilmiştir. Analizlerde Pesaran ve Shin (1999) ve Pesaran v.d. (2001) önerdiği ARDL modeli kullanılmıştır. Ulaşılan bulgular; kurlar ile bankacılık sisteminin performansı arasında uzun dönemli bir ilişki olmadığını göstermiştir. Kur artışlarının bankacılık sektörünün performansını etkilemediği belirlendiğinden, sektörün kur riskine karşı dayanıklı olduğu sonucuna varılmıştır. Türk bankacılık sektörünün vadeli işlem piyasasında yoğunlaşması, kur riskine duyarlılığı olan işlemleri kısıtlayıcı düzenlemeler uygulanması ve Basel III standartlarına uyum sürecinin hızlandırılması ile daha sağlam bir altyapıya kavuşabilecektir.
The Effect of Exchange Rates on the Performance of the Banking Sector; The Case of Turkey (2007-2016)Asef Yelghi
Turkey, an emerging market economy, has undergone a slowdown in the economic growth and experienced an excessive currency depreciation during recent years. High sensitivity to exchange rate leads to volatility in the banking sector and affects the monetary system and the banking activities. The analyses of the exchange rate and the banking crises are mostly focused on the relationship between these two, and neglect the impact on the banks’ performance, while the exchange rate fluctuations are highly influential on the banks’ performance. The present study is an attempt to fill this gap in the analyses. A sample including monthly exchange rate data between 2007 to 2016 and banking system data such as net interest margin, return on assets, and return on equity are analyzed. In the analysis, Pesaran and Shin (1999) and Pesaran et al. (2001) proposed the ARDL model to be used. The findings showed that there is no long-term relationship between exchange rates and the performance of the banking system. Thus, it is concluded that the sector is resistant to exchange rates. The Turkish banking sector will be able to attain a more robust infrastructure by concentrating in the futures market, implementing restrictive regulations on transactions sensitive to exchange rate risk and accelerating the compliance process with the Basel III standards.
Turkey’s economy has recently undergone several major financial crises among which the 2000-2001 crisis seriously hit the banking sector through exchange rate fluctuations. Exchange rate shocks have become a source of risk for the banking sector. After the crisis, many banks were liquidated through the TMSF (Savings Deposit Insurance Fund), and strict supervision and surveillance measures were implemented; as a result, the sector recovered from the shock. Due to the uncompromising maintenance of these measures, the sector was not affected by the Global Financial Crisis in 2008, and proved itself to be one of the most robust banking systems among its counterparts within the framework of the Basel criteria. However, the growth of foreign capital share in the sector during the recent years and the increase of syndicated loans and foreign currency deposit accounts led to a rise in foreign exchange liabilities of Turkish banks, and hence, the vulnerability of the sector to sudden increases in exchange rates.
Major emerging economies such as Turkey have a rapid growth. However, in many of these countries, the national savings level is not sufficient to support the growth process and the savings deficit covered by foreign funds. When these funds are short-term and speculative, then, there is a problem regarding the sensitivity to exchange rate shocks.
The increase in the share of foreign capital in the Turkish banking sector is seen during the recent years. The increase in the foreign exchange liabilities of banks is due to syndicated loans and high foreign exchange deposit accounts making the sector vulnerable to sudden increases in exchange rates. It was observed that excessive volatility as well as sudden and large increases in foreign exchange rates pose a risk for banks. The findings of the studies reviewed in the literature indicate that this situation adversely affects the performance of the banking sector.
In the analyses carried out on the exchange rate and the banking crises, which are called “twin crises” due to their relation and succession, the relationship between exchange rate fluctuations and the banking crises is ignored, and the effects on the performance of the banking sector are ignored. In other words, the effects of exchange rate fluctuations on the banking sector performance is an important but neglected research topic.
This study has two objectives: first, to examine the effects of the movements in exchange rates on the performance of the Turkish banking sector using the ARDL model for the time period of 2007 to 2016; second, to make suggestions for the improvement of the banking sector performance. Apart from the exchange rates, other factors affecting the banking sector performance have not been considered in the study.
This paper consists of three parts. In the first part, the factors affecting the banking sector performance are reviewed within the framework of the literature review. The examined studies were conducted on developed and developing countries. In the second part, there are evaluations regarding the general outlook of the Turkish banking sector. In the third part, the relationship between the fluctuations in the exchange rate and the performance of the banking sector is investigated with the aid of an econometric model. In the econometric analysis, the course of the banking sector in the face of rising exchange rates is traced and an answer is sought for the question of whether there is a long-term relationship between the exchange rate fluctuations and the banking sector performance.
In the literature, indicators such as return on assets (ROA) and return on equity (ROE) are used to measure and evaluate profitability-based bank performance, and analyze the market structure. Studies on profitability-based performance in developed countries have increased since the late 1970s. In the first studies, like Short’s (1979), the relations between profitability and concentration were discussed. In other important studies, including Demirgüç-Knut and Huizinga (1999), Goddard et al. (2004), Athanasoglouv.d. (2006) and Dietrich and Wanzenried (2010), the focus was on the effects of internal and external factors on the profit or interest margin performance.
A peer integration analysis was conducted to investigate the long-term relationship between exchange rate fluctuations and the banking sector performance. As the analysis technique, the Peseranv.d. (2001), ARDL model developed by Pesaran and Shin (1999) was used. In this study, ROA, ROE and NIM variables were used as dependent variables, and Dollar and Euro exchange rates were used as independent variables.
The monthly data of 2007 to 2018 used in the analysis are derived from the official websites of the Banks Association of Turkey and the Central Bank. According to the analysis results, the Turkish banks’ profitibility performance was not affected by exchange rate fluctuations, and it could be stated that the Turkish banking system is resistant to the exchange rate shocks.
There are many methods to minimize the exchange rate risk. Many of these methods are available in the futures market. Therefore, the development of the futures market is important in terms of making the banking sector resistant to the exchange rate risk. For this purpose, the infrastructure of the sector should be strengthened by fully complying with the regulations restricting foreign exchange risk sensitive transactions, establishing and following policies that encourage banks to share their experiences in this matter, and observing international standards and criteria.