Author/Authors :
VARLIK, Nimet Kırıkkale Üniversitesi - İktisadi ve İdari Bilimler Fakültesi - İktisat Bölümü, Turkey , VARLIK, Serdar Hitit Üniversitesi - İktisadi ve İdari Bilimler Fakültesi - İktisat Bölümü, Turkey
Title Of Article :
The Effects of Risk Perception on Banking Sector in Turkey: An Assessment with Banking System Soundness Index
Abstract :
In this study, covering the period of January 2004-June 2015 for Turkish economy, the effects of risk perception towards to Turkey on banking soundness index (BSI), which is constituted with Principal Component Analysis (PCA) method are investigated by using Vector Autoregression (VAR) model. According to the findings of impulse-response analyses, when is given one standard deviation positive shock to global risk appetite, sovereign risk premium, global risk premium and Turkish lira reference interest rate, BSI responses by declining. Furthermore, BSI responses to one standard deviation positive shock in stock market performance index by increasing. Variance decomposition of BSI shows that changes in banking sector soundness are substantially explained by sovereign risk premium except itself. Our findings put forward that increase in risk perception related with external dominance affects the balance sheet structure of banking system in a negative way. Moreover, findings indicate that increase in financial asset prices expands the balance sheet of banking system
NaturalLanguageKeyword :
Banking Soundness Index , External Dominance , Risk Perception
JournalTitle :
Journal Of Management and Economics
