Analysis of the relationship between countercyclical capital buffer and performance and risk indicators of the banking sector

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2021-09-01 DOI:10.18559/ebr.2021.3.7

F. Yıldırım

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引用次数: 1

Abstract

Abstract This study aims to explain the association between the quarterly data obtained over the period 2007: Q2–2020: Q3 for Turkey and the countercyclical capital buffer (CCyB) proposed within the framework of Basel III with banking performance and risk indicators. For this purpose the association among the variables was analyzed using the ARDL model and by performing the Toda Yamamoto (T-Y) causality test. According to the analysis results, it was determined that the CCyB has a statistically significant and positive relationship with the capital adequacy indicators of the banks in the long-run, however, it has a statistically significant and negative relationship with the asset quality risk and currency risk indicators. In the short-run it was determined that the CCyB has a statistically significant and positive relationship with the capital adequacy, profitability and liquidity indicators and similar to the long-term relationship, it has a statistically significant and negative relationship with the asset quality risk and exchange rate risk indicators. According to the causality test results, a statistically significant and unilateral causality running from the indicators of capital adequacy, asset quality and exchange rate risk to the CCyB was detected. The obtained estimation results indicate that the CCyB can be increased by policymakers during the periods when the performance indicators of the banking sector rise, whereas can be decreased by policymakers during the periods when the risk indicators of the sector rise. Furthermore, the results of the study asserted that the CCyB was an appropriate instrument for mitigating the macroeconomic and systemic risks for Turkey.

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逆周期资本缓冲与银行业绩效及风险指标的关系分析

本研究旨在解释土耳其2007年第二季度至2020年第三季度期间获得的季度数据与巴塞尔协议III框架内提出的银行绩效和风险指标的逆周期资本缓冲(CCyB)之间的关联。为此，使用ARDL模型和执行Toda Yamamoto (T-Y)因果检验来分析变量之间的关联。根据分析结果，确定CCyB与银行资本充足率指标长期呈统计学显著正相关，而与资产质量风险和货币风险指标呈统计学显著负相关。在短期内，我们确定CCyB与资本充足率、盈利能力和流动性指标具有统计显著的正相关关系，与长期关系类似，它与资产质量风险和汇率风险指标具有统计显著的负相关关系。根据因果检验结果，从资本充足率指标、资产质量指标和汇率风险指标对CCyB存在统计显著的单边因果关系。所得估计结果表明，在银行业绩效指标上升期间，政策制定者可以增加CCyB，而在银行业风险指标上升期间，政策制定者可以降低CCyB。此外，研究结果表明，CCyB是减轻土耳其宏观经济和系统风险的适当工具。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.