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Banking Sector’s External Debt Rollover Under Different Risk States

Author

Listed:
  • Sulhan Yildirim
  • Ahmet Emre Yilmaz

Abstract

[EN] The Turkish banking sector has a significant share of access to Türkiye’s external funding. The purpose of this study is to identify the impact of different risk states on the Turkish banking sector’s external debt rollover ratio, which indicates how efficiently banks have access to external funding. In this context, the relationship between the credit default swap premium and long-term rollover ratio for the period December 2012-December 2024 is examined through Markov Switching Dynamic Regression model. The estimation results show two significant risk states along with low transition probabilities between both states. The findings imply that an increase by 100 basis points in the credit default swap premium leads to a decrease by 26.1 and 8.3 percentage points in long-term rollover ratio in low- and high-risk states, respectively. [TR] Turkiye’nin dis finansmana erisiminde Turk bankacilik sektoru onemli bir paya sahiptir. Bu calismanin amaci bankalarin dis finansmana ne kadar etkin bir sekilde erisebildigini gosteren Turk bankacilik sektorunun dis borc cevirme orani uzerinde farkli risk donemlerinin etkisini tespit etmektir. Bu kapsamda, Aralik 2012-Aralik 2024 donemi icin kredi temerrut takasi primi seviyesi ile uzun vadeli dis borc yenileme orani arasindaki iliski Markov Degisen Rejimli Dinamik Regresyon Modeli kullanilarak incelenmistir. Tahmin sonuclari iki anlamli risk doneminin yani sira her iki donem arasindaki gecis olasiliklarinin dusuk oldugunu gostermektedir. Bulgular, kredi temerrut takasi primindeki 100 baz puanlik artisin dusuk ve yuksek risk donemlerinde dis borc yenileme oranini sirasiyla 26,1 ve 8,3 yuzde puan azalttigini ima etmektedir.

Suggested Citation

  • Sulhan Yildirim & Ahmet Emre Yilmaz, 2025. "Banking Sector’s External Debt Rollover Under Different Risk States," CBT Research Notes in Economics 2522, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    • Handle: RePEc:tcb:econot:2522
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    References listed on IDEAS

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