The impact of domestic and global factors on individual public, domestic and foreign bank performances in Türkiye

IF 2 Q2 ECONOMICS Central Bank Review Pub Date : 2023-12-17 DOI:10.1016/j.cbrev.2023.100139
Serkan Çiçek, Aynur Yıldırım
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Abstract

The Turkish economy has encountered significant shocks in interest rates and foreign exchange along with global risks in recent years. These shocks had an impact not only on the real sector but also on the banking sector's returns, depending on the ownership structure. This study examines the sensitivity of banking sector stock returns to the exchange rate, interest rate, and VIX index using data from January 4, 2005 to March 28, 2023. Using multivariate diagonal BEKK-GARCH methodology, the study found that (i) half of private banks experienced a mean spillover from the interest rate to their returns, but not from the exchange rate and VIX index, (ii) the returns of public banks, on the other hand, did not respond to any variable in the mean equations, (iii) the explanatory power of exchange rate and interest rate risks is higher than the power of the changes in these variables, (iv) the spillover of global risk in covariance equations is higher compared to exchange and interest rate risks, (v) the mean equations do not have an asymmetric structure, but the covariance equations exhibit structural breaks. These findings suggest that in the last decade, the interest rate policy has become the main variable affecting the stock returns in Türkiye, foreign exchange has become a safe haven due to this policy, and the relationship between the exchange rate and stocks that existed in the past has been disrupted.

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国内和全球因素对土耳其个别上市银行、国内银行和外国银行业绩的影响
近年来,土耳其经济遇到了利率和外汇方面的重大冲击以及全球风险。这些冲击不仅影响了实体经济,也影响了银行业的收益,具体取决于所有权结构。本研究使用 2005 年 1 月 4 日至 2023 年 3 月 28 日的数据,研究了银行业股票回报率对汇率、利率和 VIX 指数的敏感性。通过使用多变量对角 BEKK-GARCH 方法,研究发现:(i) 半数私人银行的收益率会受到利率的均值溢出影响,但不会受到汇率和 VIX 指数的影响;(ii) 另一方面,公共银行的收益率不会对均值方程中的任何变量做出反应、(iii) 汇率和利率风险的解释力高于这些变量变化的解释力,(iv) 与汇率和利率风险相比,协方差方程中全球风险的溢出效应更高,(v) 均值方程没有非对称结构,但协方差方程显示出结构断裂。这些研究结果表明,在过去十年中,利率政策已成为影响土耳其股票收益的主要变量,外汇也因这一政策而成为避风港,过去存在的汇率与股票之间的关系已被打破。
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来源期刊
Central Bank Review
Central Bank Review ECONOMICS-
CiteScore
5.10
自引率
0.00%
发文量
9
审稿时长
69 days
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