IDEAS home Printed from https://ideas.repec.org/p/tcb/econot/2522.html

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
    as

    Download full text from publisher

    File URL: https://www.tcmb.gov.tr/wps/wcm/connect/ae1097f5-48fe-4c3b-a862-02f171b6c68c/en202522.pdf?MOD=AJPERES&CACHEID=ROOTWORKSPACE-ae1097f5-48fe-4c3b-a862-02f171b6c68c-pJG0SOC
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Douglas W. Diamond & Zhiguo He, 2014. "A Theory of Debt Maturity: The Long and Short of Debt Overhang," Journal of Finance, American Finance Association, vol. 69(2), pages 719-762, April.
    2. Nicola Gennaioli & Alberto Martin & Stefano Rossi, 2014. "Sovereign Default, Domestic Banks, and Financial Institutions," Journal of Finance, American Finance Association, vol. 69(2), pages 819-866, April.
    3. Goldfeld, Stephen M. & Quandt, Richard E., 1973. "A Markov model for switching regressions," Journal of Econometrics, Elsevier, vol. 1(1), pages 3-15, March.
    4. Stephen Morris & Hyun Song Shin, 2016. "Illiquidity Component Of Credit Risk," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 57, pages 1135-1148, November.
    5. Newey, Whitney K & West, Kenneth D, 1987. "Hypothesis Testing with Efficient Method of Moments Estimation," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 28(3), pages 777-787, October.
    6. Iván M. Rodríguez & Krishnan Dandapani & Edward R. Lawrence, 2019. "Measuring Sovereign Risk: Are CDS Spreads Better than Sovereign Credit Ratings?," Financial Management, Financial Management Association International, vol. 48(1), pages 229-256, March.
    7. Augustin, Patrick & Subrahmanyam, Marti G. & Tang, Dragon Yongjun & Wang, Sarah Qian, 2014. "Credit Default Swaps: A Survey," Foundations and Trends(R) in Finance, now publishers, vol. 9(1-2), pages 1-196, December.
    8. Miguel A. Segoviano & Carlos Caceres & Vincenzo Guzzo, 2010. "Sovereign Spreads: Global Risk Aversion, Contagion or Fundamentals?," IMF Working Papers 2010/120, International Monetary Fund.
    9. Philippe Aghion & Peter Howitt & David Mayer-Foulkes, 2005. "The Effect of Financial Development on Convergence: Theory and Evidence," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 120(1), pages 173-222.
    10. Stephen Morris & Hyun Song Shin, 2016. "Illiquidity Component Of Credit Risk – The 2015 Lawrence R. Klein Lecture," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 57(4), pages 1135-1148, November.
    11. Arvind Krishnamurthy, 2010. "How Debt Markets Have Malfunctioned in the Crisis," Journal of Economic Perspectives, American Economic Association, vol. 24(1), pages 3-28, Winter.
    12. Viral V. Acharya & Douglas Gale & Tanju Yorulmazer, 2011. "Rollover Risk and Market Freezes," Journal of Finance, American Finance Association, vol. 66(4), pages 1177-1209, August.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Toni Ahnert & David Martinez-Miera, 2021. "Bank Runs, Bank Competition and Opacity," Staff Working Papers 21-30, Bank of Canada.
    2. Rana Yassir Hussain Xuezhou Wen Rehan Sohail Butt Haroon Hussain Sikandar Ali Qalati Irfan Abbas, 2020. "Are Growth Led Financing Decisions Causing Insolvency in Listed Firms of Pakistan?," Zagreb International Review of Economics and Business, Faculty of Economics and Business, University of Zagreb, vol. 23(2), pages 89-115, November.
    3. Javadi, Siamak & Mollagholamali, Mohsen, 2018. "Debt market illiquidity and correlated default risk," Finance Research Letters, Elsevier, vol. 26(C), pages 266-273.
    4. Polat, Tandogan, 2016. "Essays on banking sector’s dynamics, expectations, preferences and impact," Other publications TiSEM d064f029-f91e-47bc-b6d3-0, Tilburg University, School of Economics and Management.
    5. Fu, Xudong & Huang, Minjie & Tang, Tian, 2022. "Duration of executive compensation and maturity structure of corporate debt," Journal of Corporate Finance, Elsevier, vol. 73(C).
    6. Choi, Jaewon & Hackbarth, Dirk & Zechner, Josef, 2018. "Corporate debt maturity profiles," Journal of Financial Economics, Elsevier, vol. 130(3), pages 484-502.
    7. Kyunghun Kim & Ju Hyun Pyun & Jiyoun An, 2017. "Does Credit Market Integration Amplify the Transmission of Real Business Cycle During Financial Crisis?," 2017 Meeting Papers 1236, Society for Economic Dynamics.
    8. Fong, Tom Pak Wing & Li, Ka-Fai & Fu, John, 2018. "Accounting for sovereign tail risk in emerging economies: The role of global and domestic risk factors," Emerging Markets Review, Elsevier, vol. 34(C), pages 98-110.
    9. Anatoli Segura & Javier Suarez, 2017. "How Excessive Is Banks’ Maturity Transformation?," The Review of Financial Studies, Society for Financial Studies, vol. 30(10), pages 3538-3580.
    10. Chen, Zongnan & Zhou, Maoyuan & Wan, Chuang & Chen, Tingzhu, 2025. "The impact of digital finance development on corporate debt maturity structure," Finance Research Letters, Elsevier, vol. 84(C).
    11. repec:ptu:bdpart:r201807 is not listed on IDEAS
    12. Rosario Crinò & Laura Ogliari, 2015. "Financial Frictions, Product Quality, and International Trade," DISCE - Working Papers del Dipartimento di Economia e Finanza def030, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
    13. Nikolaos A. Kyriazis, 2021. "A Survey on Volatility Fluctuations in the Decentralized Cryptocurrency Financial Assets," JRFM, MDPI, vol. 14(7), pages 1-46, June.
    14. Bachmann, Manuel, 2018. "Market Illiquidity, Credit Freezes and Endogenous Funding Constraints," Department of Economics Working Paper Series 255, WU Vienna University of Economics and Business.
    15. McKeown, Robert, 2017. "How vulnerable is the Canadian banking system to fire-sales?," Queen's Economics Department Working Papers 274707, Queen's University - Department of Economics.
    16. Kashefi Pour, Eilnaz & Lasfer, Meziane, 2019. "Taxes, governance, and debt maturity structure: International evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 58(C), pages 136-161.
    17. Patrick Augustin & Hamid Boustanifar & Johannes Breckenfelder & Jan Schnitzler, 2018. "Sovereign to Corporate Risk Spillovers," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(5), pages 857-891, August.
    18. Mardi Dungey & Thomas Flavin & Lisa Sheenan, 2025. "Banks and sovereigns: did adversity bring them closer?," The European Journal of Finance, Taylor & Francis Journals, vol. 31(9), pages 1089-1114, June.
    19. Kräussl, Roman & Lehnert, Thorsten & Stefanova, Denitsa, 2016. "The European sovereign debt crisis: What have we learned?," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 363-373.
    20. Gersbach, Hans & Haller, Hans & Zelzner, Sebastian, 2026. "Enough liquidity with enough capital—and vice versa?," Journal of Financial Stability, Elsevier, vol. 83(C).
    21. Hong Qu, 2013. "How Do Market Prices and Cheap Talk Affect Coordination?," Journal of Accounting Research, John Wiley & Sons, Ltd., vol. 51(5), pages 1221-1260, December.

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:tcb:econot:2522. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: the person in charge or the person in charge (email available below). General contact details of provider: https://edirc.repec.org/data/tcmgvtr.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.