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21
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10
The banking sector is the largest part of the financial system in terms of both its function and size in a country's economy. The contraction or expansion that may occur in the sector due to this function it fulfills is important in terms of financial stability. The fact that sector-based vulnerabilities spread to the majority of the financial system and cause negative effects on the real sector makes it essential to make efforts to anticipate and prevent vulnerabilities. In this study, it is aimed to reveal the macroeconomic factors affecting the financial fragility of the Turkish banking sector. The Turkish banking sector “non-performing loans/total loans” ratio is taken as the indicator of financial fragility. Macroeconomic variables thought to be related to financial fragility; credit risk ratio, consumer price index, unemployment rate, BIST 100 Index and manufacturing industry production index. The study consists of monthly data between 10/2008 and 08/2022. Augmented Dickey-Fuller (ADF) and Phillips Perron (PP) unit root tests and Zivot-Andrews unit root tests with structural break have used to determine the stationarity levels of the variables. Whether or not there is causality between the variables, and if there is a causal relationship, the directions were analyzed using the "Toda-Yamamoto" method. According to the results of the Toda-Yamamoto causality test, a causal relationship was found from the manufacturing industry production index and BIST 100 index variables to the financial fragility variable at the 5% significance level. However, no causality relationship was found from country risk premium, unemployment rate and consumer price index variables to financial fragility variable. As a result of this analysis, it has been concluded that there is a relationship between financial fragility, manufacturing industry production index and BIST 100 index, that is, changes in these two indices affect financial fragility. Key Words: Banking Sector, Financial Fragility, Macroeconomic Factors JEL Classification: C22, G17, G21
The banking sector is the largest part of the financial system in the country’s economy, if it needs to perform its function in terms of its size. As a result of this function it replaces, the reduction or expansion that may occur in the sector is important in terms of financial stability. The spread of sector-related vulnerabilities to the vast majority of the financial system and the negative impact on the real part, makes it essential that efforts are made to prevent and prevent vulnerabilities. This study aims to identify macroeconomic factors affecting the financial vulnerabilities of the Turkish banking sector. As an indicator of financial vulnerability, the Turkish banking sector’s “followed loans/total loans” ratio is based. The macroeconomic variables that are considered to be related to financial vulnerability are defined as credit risk ratio, consumer price index, unemployment rate, BIST 100 index and manufacturing industry production index. The study consists of monthly data from 10/2008 to 08/2022. The stagnation levels of variables have been studied through Augmented Dickey-Fuller (ADF) and Phillips Perron (PP) unit root tests and structural broken Zivot-Andrews unit root tests. The analysis of whether there is a causality between the variables, and if there is a causality relationship, the aspects of the variables were mutually analyzed by the "Toda-Yamamoto" method to identify. According to the Toda-Yamamoto causality test results, a causality ratio from the manufacturing industry production index and the BIST 100 index variables to the financial vulnerability variable was found at the 5% significance level. However, the country has not found a causal relationship from the risk premium, unemployment rate and consumer price index variables to the financial vulnerability variable. The result of this analysis was that there was a relationship between financial vulnerability and manufacturing industry production index and BIST 100 index, which means that the changes in these two indicators have an impact on financial vulnerability. Keywords: Banking Sector, Financial Vulnerability, Macroeconomic Factors JEL Classification: C22, G17, G21
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