Identifying systemically important financial institutions in Turkey

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dc.authorid0000-0002-8155-1597
dc.authorid0000-0002-8155-1597
dc.authorid0000-0002-3865-5868
dc.authorwosidCevik, Emrah/AAE-7169-2022
dc.authorwosidCevik, Emrah/K-1967-2019
dc.authorwosidKırcı Çevik, Nüket/AFM-7310-2022
dc.contributor.authorÇalışkan, Hande
dc.contributor.authorÇevik, Emrah İsmail
dc.contributor.authorKırcı Çevik, Nuket
dc.contributor.authorDibooğlu, Sel
dc.date.accessioned2022-05-11T14:02:48Z
dc.date.available2022-05-11T14:02:48Z
dc.date.issued2021
dc.departmentFakülteler, İktisadi ve İdari Bilimler Fakültesi, Maliye Bölümü
dc.departmentFakülteler, İktisadi ve İdari Bilimler Fakültesi, İktisat Bölümü
dc.description.abstractThis paper examines the systemic risk of financial firms in Turkey. Using Component Expected Shortfall, we provide estimates of systemic risk in Turkey using daily data from 2005 to 2018 and a comprehensive data set encompassing 54 financial firms. Empirical results show that the preponderance of systemic risk in the sample in Turkey is due to large commercial banks. Top ten systemically important financial institutions dominate systemic risk measures in Turkey and account for more than 90 % of total risk over the sample. Consequently, the risk in the Turkish financial system is concentrated in specific financial institutions and makes close monitoring of the top firms essential. Historical incidence of systemic risk in the sample shows elevated levels of systemic risk correspond to well-known external events. Finally, a bivariate VAR model shows that systemic risk is correlated with measures of global financial risks and has significant negative effects on the real economy particularly on industrial production. This is important from a financial stability point of view in that close monitoring of the systemic risk is important in maintaining a healthy financial system and a well- functioning market economy.
dc.identifier.doi10.1016/j.ribaf.2020.101374
dc.identifier.issn0275-5319
dc.identifier.issn1878-3384
dc.identifier.urihttps://doi.org/10.1016/j.ribaf.2020.101374
dc.identifier.urihttps://hdl.handle.net/20.500.11776/4491
dc.identifier.volume56
dc.identifier.wosWOS:000635384400007
dc.identifier.wosqualityQ1
dc.indekslendigikaynakWeb of Science
dc.institutionauthorÇalışkan, Hande
dc.institutionauthorÇevik, Emrah İsmail
dc.institutionauthorKırcı Çevik, Nuket
dc.language.isoen
dc.publisherElsevier
dc.relation.ispartofResearch In International Business And Finance
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccess
dc.subjectSystemic risk
dc.subjectFinancial system
dc.subjectComponent expected shortfall
dc.subjectTurkish economy
dc.subjectCapital Shortfall
dc.subjectRisk
dc.subjectReturn
dc.subjectUs
dc.titleIdentifying systemically important financial institutions in Turkey
dc.typeArticle

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