Analysis of Factors Affecting off-Balance Sheet Risk in Turkish Banking Sector

Abstract

Purpose – Off-balance sheet risks in the banking sector have negative consequences on all banks. Based on this, it is important to understand which factors are effective on obs risk in the banking sector. The article, which is one of the first studies in this field in Turkey, aims to determine the factors affecting obs risk in the banking sector. Design/methodology/approach – In the banking sector, there are bank-specific variables and macro variables that affect obs transactions. Based on the literature, various parameters selected from micro and macro variables were analyzed with the Hendry Econometric Method from General to Specific, and it was determined which variables were effective in what direction on obs risk. Findings – Model results are generally compatible with model predictions. The findings of the study are consistent with the results of similar studies in the literature. However, the findings regarding the required reserve ratio, foreign trade, equities and deposits do not match the model predictions and the literature. Discussion – This study is one of the first studies to determine the factors affecting the off-balance sheet risk of the Turkish banking sector. The study examined the effects of many variables on off-balance sheet risk for both short and long term. It applied an econometric model different from the studies in the literature. In this respect, it is thought that the study will contribute to the literature.