INFLUENCING FACTORS OF CURRENCY RISK OF DEPOSIT BANKS IN TURKEY BY USING PROBIT METHOD


Yüksel S., Özsarı M., Canöz İ.

International Journal of Commerce and Finance, cilt.2, ss.85-95, 2016 (Hakemli Üniversite Dergisi)

  • Cilt numarası: 2 Konu: 2
  • Basım Tarihi: 2016
  • Dergi Adı: International Journal of Commerce and Finance
  • Sayfa Sayıları: ss.85-95

Özet

In this paper, we aimed to analyze the factors that affect currency risk of the banks. Within this scope, annual data of 23 deposit banks for the periods between 2005 and 2015 was evaluated. In addition to this situation, panel probit model was used in order to achieve this objective. Regarding the subject of the currency risk, this model was firstly used in this study. According to the results of the analysis, it was determined that 3 independent variables affect the currency risk of deposit banks in Turkey. Firstly, it was identified that there is a positive relationship between total assets and currency risk. This situation explains that when the size of the banks increases, they tend to take more currency risk. In addition to this variable, it was also defined that there is a direct relationship between economic growth and currency risk of the banks. This result refers that in case of an increment in the market stability; banks think that the market is safer and they increase their currency risk. Moreover, it was also concluded that there is a negative relationship between interest rate and currency risk of the banks. This aspect shows that when interest rate decreases, it will lower uncertainty in the market. Thus, banks would take higher currency risk in such markets.