Non-core Liabilities as an Indicator of Systemic Risk and a Liquidity Stress Test Application on Turkish Banking System
We provide a detailed classification of core and non-core liabilities for the Turkish banking system à la Shin 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 considering its pro-cyclical behaviour over the business cycle and its strong correlation with credit growth
|Date of creation:||2014|
|Contact details of provider:|| Postal: Head Office, Istiklal Cad. 10 Ulus, 06100 Ankara|
Phone: (90 312) 507 5000
Fax: (90 312) 507 5640
Web page: http://www.tcmb.gov.tr
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- Clemens Bonner & Sylvester Eijffinger, 2012.
"The Impact of the LCR on the Interbank Money Market,"
DNB Working Papers
364, Netherlands Central Bank, Research Department.
- Bonner, C. & Eijffinger, S.C.W., 2012. "The Impact of the LCR on the Interbank Money Market," Discussion Paper 2012-075, Tilburg University, Center for Economic Research.
- Freixas, Xavier & Parigi, Bruno M & Rochet, Jean-Charles, 2000. "Systemic Risk, Interbank Relations, and Liquidity Provision by the Central Bank," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 32(3), pages 611-638, August.
- Xavier Freixas & Bruno 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.
- Xavier Freixas & Bruno Parigi & Jean Charles Rochet, 1998. "Systemic risk, interbank relations and liquidity provision by the Central Bank," Economics Working Papers 440, Department of Economics and Business, Universitat Pompeu Fabra, revised Sep 1999.
- Freixas, Xavier & Parigi, Bruno & Rochet, Jean-Charles, 1999. "Systemic Risk, Interbank Relations and Liquidity Provision by the Central Bank," CEPR Discussion Papers 2325, C.E.P.R. Discussion Papers.
- X. Freixas & B. Parigi & J-C. Rochet, 2000. "Systemic Risk, Interbank Relations and Liquidity Provision by theCentral Bank," DNB Staff Reports (discontinued) 47, Netherlands Central Bank.
- repec:dgr:kubcen:2012075 is not listed on IDEAS
- Mistrulli, Paolo Emilio, 2011. "Assessing financial contagion in the interbank market: Maximum entropy versus observed interbank lending patterns," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1114-1127, May.
- Paolo Emilio Mistrulli, 2007. "Assessing financial contagion in the interbank market: Maximum entropy versus observed interbank lending patterns," Temi di discussione (Economic working papers) 641, Bank of Italy, Economic Research and International Relations Area.
- Clemens Bonner & Sylvester C. W. Eijffinger, 2016. "The Impact of Liquidity Regulation on Bank Intermediation," Review of Finance, European Finance Association, vol. 20(5), pages 1945-1979.
- Gai, Prasanna & Haldane, Andrew & Kapadia, Sujit, 2011. "Complexity, concentration and contagion," Journal of Monetary Economics, Elsevier, vol. 58(5), pages 453-470.
- 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.
- Masazumi Hattori & Hyun Song Shin & Wataru Takahashi, 2009. "A Financial System Perspective on Japan's Experience in the Late 1980s," IMES Discussion Paper Series 09-E-19, Institute for Monetary and Economic Studies, Bank of Japan.
- Etkin Ozen & Cem Sahin & Ibrahim Unalmis, 2013. "External Financial Stress and External Financing Vulnerability in Turkey : Some Policy Implications for Financial Stability," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 13(Special I), pages 65-74.
- 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.
- Dietrich Domanski & Ingo Fender & Patrick McGuire, 2011. "Assessing global liquidity," BIS Quarterly Review, Bank for International Settlements, December.
- Mahmood Pradhan & Ravi Balakrishnan & Reza Baqir & Geoffrey M Heenan & Sylwia Nowak & Ceyda Oner & Sanjaya P Panth, 2011. "Policy Responses to Capital Flows in Emerging Markets," IMF Staff Discussion Notes 11/10, International Monetary Fund.
- Nier, Erlend & Yang, Jing & Yorulmazer, Tanju & Alentorn, Amadeo, 2007. "Network models and financial stability," Journal of Economic Dynamics and Control, Elsevier, vol. 31(6), pages 2033-2060, June.
- Nier, Erlend & Yang, Jing & Yorulmazer, Tanju & Alentorn, Amadeo, 2008. "Network models and financial stability," Bank of England working papers 346, Bank of England.
- Sachs, Angelika, 2010. "Completeness, interconnectedness and distribution of interbank exposures: A parameterized analysis of the stability of financial networks," Discussion Paper Series 2: Banking and Financial Studies 2010,08, Deutsche Bundesbank, Research Centre. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:tcb:wpaper:1412. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ozlem Ekmekciler Ramalho Rocha)or (Ilker Cakar)
If references are entirely missing, you can add them using this form.