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Non-core Liabilities as an Indicator of Systemic Risk and a Liquidity Stress Test Application on Turkish Banking System

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  • Kurmaş AKDOĞAN

    (TCMB)

  • Burcu Deniz YILDIRIM

    (TCMB)

Abstract

We provide a detailed classification of core and non-core liabilities for the Turkish banking system à laShin and Shin (2010). We further carry out a two-stage liquidity stress test similar to Van Den End (2010) where we simulate inflow and outflow factors as well as the network topology of mutual liabilities between financial institutions. Our results indicate that Turkish banking system with relatively low level of non-core liabilities is to a great extent robust to liquidity shocks. Nevertheless, the level of non-core liabilities should be monitored closely as a systemic risk indicator, considering its pro-cyclical behaviour over the business cycle and its strong correlation with credit growth.

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Bibliographic Info

Article provided by Bilgesel Yayincilik in its journal İktisat İşletme ve Finans.

Volume (Year): 29 (2014)
Issue (Month): 338 ()
Pages: 39-66

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Handle: RePEc:iif:iifjrn:v:29:y:2014:i:338:p:39-66

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Web page: http://iif.com.tr

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Keywords: Financial Stability; Non-core Liabilities; Liquidity Stress Test; Network Topology;

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  1. Markus K. Brunnermeier & Gary Gorton & Arvind Krishnamurthy, 2012. "Risk Topography," NBER Macroeconomics Annual, University of Chicago Press, vol. 26(1), pages 149 - 176.
    • Markus K. Brunnermeier & Gary Gorton & Arvind Krishnamurthy, 2011. "Risk Topography," NBER Chapters, in: NBER Macroeconomics Annual 2011, Volume 26, pages 149-176 National Bureau of Economic Research, Inc.
  2. Zubeyir Kilinc & Hatice Gokce Karasoy & Eray Yucel, 2013. "Non-core Liabilities and Credit Growth," Working Papers 1324, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  3. Xavier Freixas & Bruno M. Parigi & Jean-Charles Rochet, 2000. "Systemic risk, interbank relations, and liquidity provision by the central bank," Proceedings, Federal Reserve Bank of Cleveland, pages 611-640.
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  6. Etkin Ozen & Cem Sahin & Ibrahim Unalmis, 2013. "External Financial Stress and External Financing Vulnerability in Turkey : Some Policy Implications for Financial Stability," Working Papers 1317, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  7. Clemens Bonner & Sylvester Eijffinger, 2012. "The Impact of the LCR on the Interbank Money Market," DNB Working Papers 364, Netherlands Central Bank, Research Department.
  8. Dietrich Domanski & Ingo Fender & Patrick McGuire, 2011. "Assessing global liquidity," BIS Quarterly Review, Bank for International Settlements, December.
  9. Gai, Prasanna & Haldane, Andrew & Kapadia, Sujit, 2011. "Complexity, concentration and contagion," Journal of Monetary Economics, Elsevier, vol. 58(5), pages 453-470.
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