 Are Capital Ratios Procyclical? Evidence from Turkish Banking DataNeslihan Topbaş Turguttopbas
Journal of Central Banking Theory and Practice, 2018, vol. 7, issue 3, 159-180 Abstract: This paper contributes to the literature by providing recent empirical evidence about the positioning of the capital adequacy ratios (Basel II capital adequacy ratio and leverage ratio as proposed by Basel III) of Turkish banks and the business cycle. As in many emerging countries, the Turkish real sector is highly dependent on the banking loans for financing, and consequently, the macroeconomic system is vulnerable to the supply of bank loans. The results reveal that the Basel II capital adequacy ratio of Turkish banks is procyclical at a statistical significance in normal and crisis times. The results of cyclicality tests of the leverage ratio are mixed: if nominal GDP growth is taken as a business cycle indicator, it is procyclical; however, the credit-to-GDP gap signals countercyclical leverage ratios in normal times. In crisis times, the leverage ratio of the Turkish banking system is determined to be countercyclical. Keywords: Capital; capital adequacy ratio; leverage rate. (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:cbk:journl:v:7:y:2018:i:3:p:159-180 Access Statistics for this article More articles in Journal of Central Banking Theory and Practice from Central bank of Montenegro Contact information at EDIRC. |
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