The soundness of the banking sector and macroeconomi̇c ri̇sk

A stable banking system is one of the indispensable conditions for the development and growth of the economy. In order for banks to fulfill this task in the most efficient way, they must operate in an economic environment that creates trust. However, banks are exposed to many risks. Especially in times of increased uncertainty such as the crisis, these risks intensify in the context of the conditions brought by globalization. The main purpose of the research is to determine the relationships between selected risk indicators and the soundness of the banking system. For this purpose, inflation, real effective exchange rate, CDS premiums, VIX and economic policy uncertainty indices were used as macroeconomic indicators, while capital adequacy ratio, non-performing loans ratio and return on assets ratio were used as indicators of the banking system. The Granger causality test and the Hatemi-J asymmetric causality test were applied using quarterly data for the period 2009Q1-2021Q3 to determine the existence and direction of the relationships. In the results of the study, significant causality relationships were found between the soundness indicators of the banking system and among the risk indicators at the national economy and global level. In addition, it was concluded that the results of the Hatemi-J method were more effective in explaining these relations compared to the Granger method.