Non-core Liabilities as an Indicator of Systemic Risk and a Liquidity Stress Test Application on Turkish Banking System
Kurmaş Akdoğan and
Burcu Deniz Yildirim
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Burcu Deniz Yildirim: TCMB
Iktisat Isletme ve Finans, 2014, vol. 29, issue 338, 39-66
We provide a detailed classification of core and non-core liabilities for the Turkish banking system à laShin 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 as a systemic risk indicator, considering its pro-cyclical behaviour over the business cycle and its strong correlation with credit growth.
Keywords: Financial Stability; Non-core Liabilities; Liquidity Stress Test; Network Topology (search for similar items in EconPapers)
JEL-codes: C15 E44 G21 (search for similar items in EconPapers)
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Working Paper: Non-core Liabilities as an Indicator of Systemic Risk and a Liquidity Stress Test Application on Turkish Banking System (2014)
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