Cilt 8 Sayı 1 (2020): Business & Management Studies: An International Journal
Makaleler

RİSK GÖSTERGELERİNİN SENDİKASYON KREDİLERİNE ETKİLERİ: ASİMETRİ VE FREKANS BOYUTUNDA ANALİZ

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  • Melik KAMIŞLI
Melik KAMIŞLI
Dr. Öğr. Üyesi, Bilecik Şeyh Edebali Üniversitesi
DOI: https://doi.org/10.15295/bmij.v8i1.1364

Yayınlanmış 2020-03-25

Anahtar Kelimeler

  • Syndicated Loans, Risk Indicators, Asymmetric Causality, Asymmetric Frequency Domain Causality
  • Sendikasyon Kredisi, Risk Göstergeleri, Asimetrik Nedensellik, Asimetrik Frekansta Nedensellik

Nasıl Atıf Yapılır

KAMIŞLI, M. (2020). RİSK GÖSTERGELERİNİN SENDİKASYON KREDİLERİNE ETKİLERİ: ASİMETRİ VE FREKANS BOYUTUNDA ANALİZ. Business & Management Studies: An International Journal, 8(1), 181–195. https://doi.org/10.15295/bmij.v8i1.1364

Özet

Çalışmada Türk bankacılık sektörü tarafından alınan sendikasyon kredileri ile küresel ve yerel risk göstergeleri arasındaki ilişkilerinin asimetri ve frekans boyutunda belirlenmesi amaçlanmıştır. Bu amaç doğrultusunda 2008 Kasım -2019 Temmuz tarihleri arasında Türk bankacılık sektörü tarafından alınan toplam sendikasyon kredileri ile global ekonomik belirsizlik endeksi, VIX endeksi, Libor, Türkiye 5 yıllık CDS primi, Türkiye jeopolitik risk endeksi ve BIST Bankacılık sektörü endeks oynaklığı arasındaki ilişkiler geleneksel, asimetrik ve asimetrik frekans nedensellik testleri ile analiz edilmiştir. Uygulanan testler sonucunda sendikasyon kredileri ile ele alınan tüm risk göstergeleri arasında nedensellik ilişkisi tespit edilmiştir. Sonuçlar, tespit edilen ilişkilerin hem farklı frekanslarda hem de farklı asimetrik boyutlarda olduğunu göstermektedir.

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