Factors impacting bank net interest margin and the role of monetary policy: evidence from Turkey

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buir.advisorÖzyıldırım, Süheyla
dc.contributor.authorYılmaz, Muhammed Hasan
dc.date.accessioned2017-02-08T13:14:01Z
dc.date.available2017-02-08T13:14:01Z
dc.date.copyright2017-01
dc.date.issued2017-01
dc.date.submitted2017-02-07
dc.departmentDepartment of Managementen_US
dc.descriptionCataloged from PDF version of article.en_US
dc.descriptionThesis (M.S.): Bilkent University, Department of Management, İhsan Doğramacı Bilkent University, 2017.en_US
dc.descriptionIncludes bibliographical references (leaves 85-90).en_US
dc.description.abstractIn this thesis, we study factors affecting net interest margin (NIM) of commercial banks in Turkey. Especially, our results highlight the relation between unconventional monetary policy shocks and bank margins. To this end, first, we conduct an identification analysis about which parameters of asymmetric interest corridor framework are important in explaining variations in NIM. Using industry-level data, we show that there exists a pass through from BIST interbank overnight repo/reverse repo market rate and weighted average cost of funding (WACF) to bank loan and deposit rates. As a result of reducedform Vector Autoregression (VAR) analysis we find the existence of a transmission mechanism from BIST rate and WACF to commercial loan rate, consumer loan rate and deposit rate. Same pass through to loan and deposit rates is also shown in individual bank level with the Panel Vector Autoregression (Panel VAR) analysis in the case of 16 commercial banks in Turkey during the period 2011Q1-2016Q1. After the identification analysis, we examine the relationship between NIM and policy rates through System Generalized Method of Moments techniques by controlling bank specific, industry related and macroeconomic factors. We find that a change in the monetary policy rate has significant and positive impact on NIM. Among bank-specific factors, equity ratio and operating expenses are found to be significantly affecting NIM during the sample period. Our empirical findings also stress the significance of lag values of NIM. Estimations conducted with standardized variables indicate that economic significance of lag values and bank specific variables are larger than that of policy.en_US
dc.description.degreeM.B.Aen_US
dc.description.statementofresponsibilityby Yılmaz, Muhammed Hasan.en_US
dc.format.extentxiv, 99 leaves : illustrations (some color), charts, tables.en_US
dc.identifier.itemidB155151
dc.identifier.urihttp://hdl.handle.net/11693/32663
dc.language.isoEnglishen_US
dc.publisherBilkent Universityen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectMonetary Policyen_US
dc.subjectNet Interest Marginen_US
dc.subjectPanel Data Analysisen_US
dc.subjectPass-Throughen_US
dc.subjectTime Series Analysisen_US
dc.titleFactors impacting bank net interest margin and the role of monetary policy: evidence from Turkeyen_US
dc.title.alternativeBanka net faiz marjlarını etkileyen faktörler ve para politikasının rolü: Türkiye hakkında bulgularen_US
dc.typeThesisen_US

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