Please use this identifier to cite or link to this item: https://hdl.handle.net/20.500.11851/9797
Title: Non-core Liabilities as an Indicator of Systemic Risk and a Liquidity Stress Test Application on Turkish Banking System
Authors: Akdogan, Kurmas
Yıldırım, Burcu Deniz
Keywords: Financial Stability
Non-core Liabilities
Liquidity Stress Test
Network Topology
Contagion
Issue Date: 2014
Publisher: Bilgesel Yayincilik San & Tic Ltd
Abstract: We provide a detailed classification of core and non-core liabilities for the Turkish banking system a 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.
URI: https://doi.org/10.3848/iif.2014.338.4027
https://hdl.handle.net/20.500.11851/9797
ISSN: 1300-610X
1308-4658
Appears in Collections:WoS İndeksli Yayınlar Koleksiyonu / WoS Indexed Publications Collection

Show full item record

CORE Recommender

Page view(s)

2
checked on Feb 6, 2023

Google ScholarTM

Check

Altmetric


Items in GCRIS Repository are protected by copyright, with all rights reserved, unless otherwise indicated.