Capital ratios over the cycle : evidence from the Turkish banking sector
Author
Aydoğan, Ayşe
Advisor
Özyıldırım, Süheyla
Date
2015Publisher
Bilkent University
Language
English
Type
ThesisItem Usage Stats
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Abstract
This study examines the behavior of capital ratios of Turkish banks
over the business and financial cycles in the period of 1993:Q4-2014:Q3 and
the sub-period 2003:Q1-2014:Q3. Capital adequacy ratio defined by Basel
Committee on Banking Supervision and equity to asset ratio are used in the
analyses. The capital ratios are found to behave countercyclical over the
cycle, which is more pronounced in the subsample of 2003:Q1-2014:Q3.
Banks‟ capital ratios react more to the movements in the financial cycle than
business cycle. The risk based capital adequacy ratio behaves more
countercyclical than equity to asset ratio. Lagged capital ratios, credit risk,
size, profitability, funding structure and liquidity are found to be significant
determinants of capital ratios. Capital ratios of Turkish banks are sensitive to
the changes in Turkish legislation on capital adequacy.