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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

Working Papers from Research and Monetary Policy Department, Central Bank of the Republic of Turkey

Abstract: We provide a detailed classification of core and non-core liabilities for the Turkish banking system � la Shin 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 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 G28 G32 (search for similar items in EconPapers)
Date: 2014
New Economics Papers: this item is included in nep-ara, nep-ban, nep-cwa, nep-mac and nep-rmg
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Journal Article: Non-core Liabilities as an Indicator of Systemic Risk and a Liquidity Stress Test Application on Turkish Banking System (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:tcb:wpaper:1412

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