Theses supervised by Doç. Dr. Süheyla Özyıldırım
11 theses · İhsan Doğramacı Bilkent University
Ticarete konu olan ve olmayan krediler, il bazında büyüme ve devlet bankaları
This thesis examines the dynamic relationship between sectoral credit allocation and provincial GDP growth in Turkey, with a special focus on tradable and non-tradable credits, as well as the influence of state-owned bank lending. For this purpose, I use panel data across 81 provinces in Turkey and employ local projection methodology over five-year horizons covering the period between 2007 and 2023. The results reveal that a one standard deviation increase in three-year non-tradable credit change initially boosts GDP growth, also measured over a three-year window, by approximately 1.9%, but this effect reverses and becomes significantly negative in the medium term, with peak adverse effects of nearly ˘4.9% after four years. On the contrary, three-year tradable credit change yields moderate but consistent gains, with a one standard deviation increase associated with approximately 1.7% higher GDP growth in the medium term. The analysis restricted to state-owned bank credit allocation reveals the boom-bust dynamic in non-tradable lending. Further controlling for firm entry and credit intensity, the study finds that new firm formation—particularly in the non-tradable sector—enhances growth, whereas credit expansion alone, in the absence of new firm entry per capita variable, fails to produce durable economic gains. Overall, the results underscore the critical role of credit composition and institutional lending channels in shaping long-term provincial growth. Sectoral biased lending or politically driven credit allocation, especially when concentrated in the non-tradable sector, may deliver short-lived gains at the cost of future stability and sustainable development.
Sistemik risk ve finansal ağlar
This thesis investigates the interbank relations of Turkish banks with each other and foreign banks abroad. In the first chapter, we focus on the interbank relations between domestic banks and study the effects of bank ownership structure on the interbank network structure. During the sample period of 2003-2017, we observe that foreign and state-owned banks play dominant role in shaping the network structure. Foreign banks, in particular, have a higher coreness vector in derivative exposures through their comparative advantage in offsetting derivative transactions. Moreover, our findings indicate that when a foreign investor acquires a domestic bank, the network structure of the acquired bank changes considerably. We also present evidence that local and Basel III regulations play a significant role in the formation of the network structure through liquidity channel. In the second chapter, we focus on the interbank relations between banks in Turkey and foreign banks abroad for 2014-2018 period. Funding from foreign banks in repo, deposit and loan type is an important financing channel for domestic banks. For hedging currency risk, domestic banks are also making derivative transactions with foreign counterparties. We document several network statistics and analyze the similarities of bank rankings in these statistics. Moreover, we examine the similarities between different instrument-level networks as repo, loan, deposit and derivatives. By differentiating foreign banks as the banks having shares in domestic banks and others and the banks that work according to islamic principles and others, we investigate the evolvement of interbank relations between these groups.
Uluslararası finansta makaleler
This thesis investigates FX market characteristics of emerging markets by examining the uncovered and covered interest parity deviations, There is an extensive literature studying parity conditions in the currency markets. However, we mainly focus on the violation of the parity conditions, especially during post financial crisis period. In the first chapter, we study carry trades which is a well known violation of the so-called uncovered interest-rate parity (UIP). We show that the carry strategy matters in the emerging markets in the sense that the dollar neutral carry strategy outperforms the dollar carry strategy. We also show that carry trade is not a profitable strategy, compared to the returns from U.S. stocks and/or U.S. dollar risk-free rate. The findings indicate that risk factors explain the dollar carry strategies better than the dollar neutral strategy particularly in the post-crisis period. Because emerging markets are riskier than developed ones, investors are expected to hedge using FX options. However, the evidence suggest that hedging carry trade is not a good idea in the emerging markets because crash risk that is priced in the options seems to evaporate carry profits. In the second chapter, we study deviations from covered interest parity (CIP) for six emerging market economies: Hungary, Mexico, Poland, Russia, South Africa, Turkey, using daily data following the global financial crisis. After documenting large and persistent discrepancies between January 2010 and July 2018, cost of illiquidity and interest differentials are found to be main drivers of CIP deviations in the emerging countries. We find that the impact of credit risk on CIP deviations may take two forms. In low-carry currencies, the well-known mechanism for credit risk operates so that the increase in credit risk exacerbates CIP deviations. Conversely, in high-carry currencies, the high usage of FX swaps makes swap rates react more than domestic rates, which causes CIP to decrease.
Film popülerliği ve finansal başarı
This thesis focuses on how the popularity of a movie and related factors such as director and casting worth affect the financial success of a movie and the market value of the distribution company when there is an unexpected loss or gain. Also, the thesis attempts to examine the determinants of the stock price of a movie on the virtual stock market, the Hollywood Stock Exchange. Cross sectional analysis is exercised using data from 450 films released in 2019. The findings show that popularity is a positive and significant factor in predicting box office revenue. Director's previous success makes a significant positive impact on the financial success. Casting worth, determined by the previous financial success of the actor/actress, derives movie success financially. Unexpected revenue gained/lost is found to make no effect on cumulative abnormal returns. The stock price of a movie on the Hollywood Stock Exchange highly depends on revenue and public awareness (number of news, th eaters,popularity of a movie and number of weeks).
Essays on investor attention
This thesis investigates the impact of firm centrality and macroeconomic uncertainty on attention allocation decisions of investors. First, we examine whether investor attention towards stocks is related to firm centrality in the input-output network. Using a data set of US firms' principal customers, we find that stock prices do not promptly incorporate news about principal customers, generating return predictability which diminishes with the customer firm centrality levels. We show that this result is driven by limited investor attention. The evidence reveals that customer firms occupying more central positions in the network receive more investor attention. The results indicate that centrality effect is distinct from size effect. Our findings suggest that more central firms are associated with greater financial analyst coverage and greater institutional investor equity holdings. Second, we examine two competing theoretical models regarding the impact of macroeconomic uncertainty on investor attention to firm specific news. Kacperczyk et al. (2016) show that attention to firm-specific news decreases with the macroeconomic uncertainty, while Andrei et al. (2020) document that investor attention to firm-level news increases with the economic uncertainty. In line with the former hypothesis, we demonstrate that institutional investors raise their attention to customer news as economic uncertainty declines. However, there is no evidence of a meaningful association between retail attention to customer news and market-level uncertainty. We also find that stock prices incorporate customer news more quickly in times of low uncertainty, which is attributable to high institutional attention. During times of high uncertainty, stock prices underreact to customer news, generating return predictability which declines with an increase either in institutional attention or retail attention.
Türkiye banka ağları
This thesis analyzes the loan network and cross-border network of banks in Türkiye. The impacts of two developments during the studied period between 2007-2019 that significantly affected the credit market, the increase in Treasury-backed guarantees and the exchange rate shock, on these bank networks were also investigated. In the first study, we introduce a novel measure of bank interconnectedness. Using more than 44 million loan observations during the period of 2007–2016, we construct a projected loan network that emerges from the banks' lending to common firms. Then, we investigate the relation between banks' loan portfolio riskiness and their connectedness. Our findings suggest that highly connected banks seem to manage their overall portfolio risk better. In the ends of the first quarter of 2017, the Treasury support for the sureties given by the Credit Guarantee Fund of Türkiye (CGF) increased to 12.5-fold and affected credit market significantly. In the third chapter, We investigate whether investor reactions to the announcement of the increase in Treasury support in CGF guarantees are in line with the stated aim of the program. We find that investors perceived the increase in Treasury support to benefit both firms and financial institutions. In the fourth chapter, extending our sample period in the first study, we investigate how CGF schemes changed the bank-loan network in Türkiye. We also find that CGF schemes support the negative relation between the bank connectedness and loan portfolio riskiness. On the other hand, banks' loan portfolio riskiness increases with the schemes. Finally, considering the impact of currency shock in 2018 on the banking system, in the last chapter we study the cross-border bank network in Türkiye. We find that the currency shock negatively affects the cross-border network and its impact on cross-border borrowings changes based on lender banks' country origin, showing the importance of diversification of funding partners.
Sermaye oranları ve çevrimler: Türk bankacılık sistemi örneği
This study examines the behavior of capital ratios of Turkish banks over the business and financial cycles in the period of 1993:Q4-2014:Q3 and the sub-period 2003:Q1-2014:Q3. Capital adequacy ratio defined by Basel Committee on Banking Supervision and equity to asset ratio are used in the analyses. The capital ratios are found to behave countercyclical over the cycle, which is more pronounced in the subsample of 2003:Q1-2014:Q3. Banks' capital ratios react more to the movements in the financial cycle than business cycle. The risk based capital adequacy ratio behaves more countercyclical than equity to asset ratio. Lagged capital ratios, credit risk, size, profitability, funding structure and liquidity are found to be significant determinants of capital ratios. Capital ratios of Turkish banks are sensitive to the changes in Turkish legislation on capital adequacy. Keywords: Capital Ratios, Capital Regulation, Business Cycle, Financial Cycle, Turkish Banking Sector
Banka net faiz marjlarını etkileyen faktörler ve para politikasının rolü: Türkiye hakkında bulgular
In this thesis, we study factors affecting net interest margin (NIM) of commercial banks in Turkey. Especially, our results highlight the relation between unconventional monetary policy shocks and bank margins. To this end, first, we conduct an identification analysis about which parameters of asymmetric interest corridor framework are important in explaining variations in NIM. Using industry-level data, we show that there exists a pass through from BIST interbank overnight repo/reverse repo market rate and weighted average cost of funding (WACF) to bank loan and deposit rates. As a result of reduced-form Vector Autoregression (VAR) analysis we find the existence of a transmission mechanism from BIST rate and WACF to commercial loan rate, consumer loan rate and deposit rate. Same pass through to loan and deposit rates is also shown in individual bank level with the Panel Vector Autoregression (Panel VAR) analysis in the case of 16 commercial banks in Turkey during the period 2011Q1-2016Q1. After the identification analysis, we examine the relationship between NIM and policy rates through System Generalized Method of Moments techniques by controlling bank specific, industry related and macroeconomic factors. We find that a change in the monetary policy rate has significant and positive impact on NIM. Among bank-specific factors, equity ratio and operating expenses are found to be significantly affecting NIM during the sample period. Our empirical findings also stress the significance of lag values of NIM. Estimations conducted with standardized variables indicate that economic significance of lag values and bank specific variables are larger than that of policy. Keywords: Monetary Policy, Net Interest Margin, Panel Data Analysis, Pass-Through,Time Series Analysis
Bankacılık sektöründe yabancı kontrolü artışının bankaların kredi faiz oranları üzerinde etkisi var mı? Türkiye örneği
Foreign bank presence has been a growing trend in Turkey since 2000. Considering the fact that almost all of the entries are through acquisition of small-sized banks in the industry, we argue that this kind of a foreign entry to the Turkish banking sector may have little impact on the productivity or efficiency of the banking sector. We hypothesize that these banks have exercised very aggressive pricing strategies to benefit from growing loan demand for commercial loans, personal loans, vehicle and housing loans. Thus, in the thesis, we study the association between foreign bank presence and loan prices in the Turkish banking sector during the time period between December 2002 and September 2016. Different than previous studies, we use unique data, i.e., weighted average loan interest rates for commercial, personal, vehicle and housing loans of 19 deposit banks that was collected by Central Bank of the Republic of Turkey. Empirical results indicate that the foreign presence has a significant impact on the lending rates of Turkish banking sector regardless of the loan type. The impact is seen to be higher for large banks compared to small banks. We also find that the direction of the relation is varying among loan types. Particularly, there exist a negative relation between foreign presence and lending rates of commercial loans and a positive relation with vehicle and housing loans. Beyond a certain level of foreign presence, a competitive pricing in the credit market is found to reverse its direction suggesting regulatory agencies to monitor new foreign entries in Turkey. Keywords: Bank Loan Rates, Foreign Bank Presence, Loan Types, Panel Data Analysis
Türkiye?deki yeni denetleme ortamında kredi büyüme hassasiyeti ve banka kredi kanalının varlığı
Theoretical framework for monetary transmission mechanism and hence for bank lending channel provides straightforward impacts of monetary policy on aggregate output, however there is a problem of identification for these impacts with aggregate data. Using a two-staged approach, the thesis studies the loan growth sensitivities of banks in the new regulatory system in Turkey and tries to identify a relationship between loan growth sensitivity and monetary tightening. There are six alternative sensitivities tested in the thesis: (1) Liquidity sensitivity of bank loan growth, (2) Income sensitivity of bank loan growth, (3) Liquidity sensitivity of bank loan growth with ownership type of banks controlled, (4) Liquidity sensitivity of large banks? loan growth, (5) Liquidity sensitivity of small banks? loan growth and (6) Liquidity sensitivity of bank loan growth with foreign affiliation of banks controlled. Results confirm that there exists a positive relationship between liquidity sensitivity of loan growth of Turkish banks and monetary policy shocks. Results also show that small banks are more liquidity dependent during contradictionary monetary policy periods than large banks. Besides the results parallel to empirical findings in the literature, characteristics of Turkish banking sector are included in the discussion such as the influence of BRSA on banks and the impacts of its regulations. Robustness of the tests are checked with additional econometric models. Hence, the findings suggest that there are evidences on bank lending channel in Turkey for the period 1998-2009.
Türk bankalarının fiyat dışı stratejilerinin finansal aracılık faaliyetlerine etkileri
This thesis aims to explore the eects of the availability of network brancheson the intermediation performance of deposit banks in Turkey. Banks' intermediationperformance was measured by their ability to attract loans anddeposits. The variations of non-pricing behavior among large scaled versussmall scaled banks and public versus private banks were also analyzed. Panelgeneralized method of moment was used with quarterly panel data betweenthe years 2003 and 2008. Empirical ndings reveal that there exist a positiveand signicant relationship between all deposit banks' intermediation performanceand their branch network decisions. Results also conrmed that byhaving larger branch networks especially for large scaled, small scaled andprivate deposit banks signicantly increase their deposits ans loans duringthe sample period. However, we couldn't nd any association between thenancial intermediation performance and branch network size of the publicbanks. Overall, the ndings suggest that branch network decisions play acritical role for deposit banks' performance. Considering recent competitionamong banks in Turkey, we expect that branching strategies and other nonpricingstrategies of the banks will matter more in the future.