Non-core Liabilities as an Indicator of Systemic Risk and a Liquidity Stress Test Application on Turkish Banking System
AbstractWe 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 InfoArticle provided by Bilgesel Yayincilik in its journal İktisat İşletme ve Finans.
Volume (Year): 29 (2014)
Issue (Month): 338 ()
Contact details of provider:
Web page: http://iif.com.tr
Financial Stability; Non-core Liabilities; Liquidity Stress Test; Network Topology;
Other versions of this item:
- Kurmas Akdogan & Burcu Deniz Yildirim, 2014. "Non-core Liabilities as an Indicator of Systemic Risk and a Liquidity Stress Test Application on Turkish Banking System," Working Papers 1412, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
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