EconPapers    
Economics at your fingertips  
 

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
Additional contact information
Burcu Deniz Yildirim: TCMB

Iktisat Isletme ve Finans, 2014, vol. 29, issue 338, 39-66

Abstract: 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)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5) Track citations by RSS feed

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Working Paper: Non-core Liabilities as an Indicator of Systemic Risk and a Liquidity Stress Test Application on Turkish Banking System (2014) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:iif:iifjrn:v:29:y:2014:i:338:p:39-66

Ordering information: This journal article can be ordered from
http://www.iif.com.t ... ew/iif.2014.338.4027

Access Statistics for this article

Iktisat Isletme ve Finans is currently edited by Ali Bilge

More articles in Iktisat Isletme ve Finans from Bilgesel Yayincilik
Bibliographic data for series maintained by Ali Bilge ().

 
Page updated 2021-06-13
Handle: RePEc:iif:iifjrn:v:29:y:2014:i:338:p:39-66