Banking Sector’s External Debt Rollover Under Different Risk States

Sulhan Yildirim and Ahmet Emre Yilmaz

CBT Research Notes in Economics from Research and Monetary Policy Department, Central Bank of the Republic of Turkey

Abstract: [EN] The Turkish banking sector has a significant share of access to Türkiye’s external funding. The purpose of this study is to identify the impact of different risk states on the Turkish banking sector’s external debt rollover ratio, which indicates how efficiently banks have access to external funding. In this context, the relationship between the credit default swap premium and long-term rollover ratio for the period December 2012-December 2024 is examined through Markov Switching Dynamic Regression model. The estimation results show two significant risk states along with low transition probabilities between both states. The findings imply that an increase by 100 basis points in the credit default swap premium leads to a decrease by 26.1 and 8.3 percentage points in long-term rollover ratio in low- and high-risk states, respectively. [TR] Turkiye’nin dis finansmana erisiminde Turk bankacilik sektoru onemli bir paya sahiptir. Bu calismanin amaci bankalarin dis finansmana ne kadar etkin bir sekilde erisebildigini gosteren Turk bankacilik sektorunun dis borc cevirme orani uzerinde farkli risk donemlerinin etkisini tespit etmektir. Bu kapsamda, Aralik 2012-Aralik 2024 donemi icin kredi temerrut takasi primi seviyesi ile uzun vadeli dis borc yenileme orani arasindaki iliski Markov Degisen Rejimli Dinamik Regresyon Modeli kullanilarak incelenmistir. Tahmin sonuclari iki anlamli risk doneminin yani sira her iki donem arasindaki gecis olasiliklarinin dusuk oldugunu gostermektedir. Bulgular, kredi temerrut takasi primindeki 100 baz puanlik artisin dusuk ve yuksek risk donemlerinde dis borc yenileme oranini sirasiyla 26,1 ve 8,3 yuzde puan azalttigini ima etmektedir.

Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.tcmb.gov.tr/wps/wcm/connect/ae1097f5-4 ... 02f171b6c68c-pJG0SOC (application/pdf)

Related works:
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:tcb:econot:2522

Access Statistics for this paper

More papers in CBT Research Notes in Economics from Research and Monetary Policy Department, Central Bank of the Republic of Turkey Contact information at EDIRC.
Bibliographic data for series maintained by () and ().