Özet:

Abstract The objective of this paper is to characterize the interaction of the banking sector risks with financial fragility by using annual data of Turkey from 1990 to 2014. The empirical work adopts a VAR (Vector Autoregressive) framework to capture the dynamic relationships among variables. In our model, there are five variables. They are, respectively, Interest Risk (IR), Liquidity Risk (LR), Exchange Risk (ER), Credit Risk (CR) and Financial Fragility Index (FFI). According to variance decompositions results, FFI is completely explained (100 percent) by its innovations in the first period, but after second periods FFI is explained by the innovations of Liquidity Risk and Exchange Risk (respectively 40%, 11%). In addition, ER and IR are explained by the innovations of FFI in the portion of approximately 30%. Impulse response functions and forecast error variance decompositions indicate that liquidity risk, credit risk and kur riski are more effective on financial fragility. The period of crisis in Turkey, liquidity risk come into prominence.

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