Enflasyon ve banka hisse senedi getirileri
Başlık çevirisi mevcut değil.
- Tez No: 94497
- Danışmanlar: PROF.DR. NAZIM EKREN
- Tez Türü: Doktora
- Konular: Bankacılık, Ekonomi, Banking, Economics
- Anahtar Kelimeler: Belirtilmemiş.
- Yıl: 1999
- Dil: Türkçe
- Üniversite: Marmara Üniversitesi
- Enstitü: Bankacılık ve Sigortacılık Enstitüsü
- Ana Bilim Dalı: Belirtilmemiş.
- Bilim Dalı: Belirtilmemiş.
- Sayfa Sayısı: 156
Özet
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Özet (Çeviri)
a short sighted perspective and meanwhile all the economic activities could be locked in a very short term period. Banks, while doing their businesses in the financial markets, perform three important roles in economy;1 these are (1) risk intermediation, (2) liquidity intermediation and (3) maturity intermediation. While performing their maturity intermediation roles, traditionally, banks borrow short term funds and advance them to the investors on a relatively long term basis. This activity expose banks to“interest rate risk”which refers to a mismatch between the maturities of their assets and liabilities. If it is assumed that the traditional maturity intermediation of banks is true, than the average maturity of banks' liabilities will be shorter than the average maturity of their assets. This means that on average banks' liabilities will be re-priced before their assets. Therefore, a rise in interest rates will damage banks' earnings because they will be borrowing new funds due to the matured short term liabilities at higher rates to finance their existed assets which will still be earning the same interest rate determined when rates were lower. On the other hand a fall in rates will be in favour of banks of the same balance sheet structure which refers to a“negative gap”in banking jargon. However, despite their traditional intermediation role, ifa bank holds a balance sheet in which assets have a relatively shorter average maturity than liabilities, this bank has a so called“positive gap”in banking jargon. A third type of gap, that a bank can have, iş a“neutral gap”which refers to that assets and liabilities have the same maturity structure In economies where inflation and accordingly interest rates are relatively low and stable, banks are able to perform their maturity intermediation role. By doing this, they encounter only a very small level of interest rate risk which is ?t ??'manageable with a little effort. On the other hand, in high inflationary economies like Turkey, where uncertainty weighs more relative to the low inflationary countries, if a bank continues maturity intermediation, the risk arising from the rate movements may cause that bank to face unbearably high losses. Preventing this, the average maturity of banks' assets and liabilities may get locked in a very short term maturity, as the maturity intermediation is terminated. Economic theory2 states that inflation has no real effect on firms' market values. Based on Fisher Hypothesis which outlines that nominal interest rate is a sum of real interest rate and expected inflation. Therefore, if inflation goes up by 1 percentage point, then the nominal interest rate will also rise by the same magnitude as leaving the real interest rate unchanged. Applying this hypothesis to common stocks, in economic theory3, it is said that a rise in inflation will push up the nominal return on common stocks as the real return on common stocks will remain unchanged. There is a large body of literature, which is reviewed on a chronological basis in chapter three of this thesis, researching the relationship between inflation (both expected and unexpected inflation) and real and nominal stock returns. In contradiction with the economic theory, almost in all of the research articles, it was found that there was a negative relationship between both expected and unexpected inflation and real and nominal stock returns. Although it is still largely unexplained, this contradiction is related to (1) tax, (2) money illusion, (3) wealth transfer and (4) nominal contracting hypothesis. 1 See Sinkey (1989) p.35. 2 See Bodie (1976) p. 471-72 111These researches mainly carry out results for industrial firms. For banks and other financial institutions there are a few articles researching the relationship between inflation and their stock returns. This area seems to be less researched in the economic literature. In this thesis it is targeted to research how inflation affects banks' stock returns and if a relationship is found, the causes will be researched under the rules of nominal contracting hypothesis. Nominal contracting hypothesis states that4 firms hold not only real assets and liabilities but they also hold assets and liabilities in nominal terms too. Therefore, when inflation moves in any directions, its effect on the market value of firms will be dependent on the size of nominal assets hold by firms relative to the size of their nominal liabilities. As it is a fact, almost all assets and liabilities of banks are in nominal terms, it is assumed that nominal contracting hypothesis has enough explanatory power on the proposed relationship between inflation and banks' stock returns. In banking jargon nominal contracting hypothesis is known as interest rate risk or gap which refers to the difference between average maturity and/or duration of banks' assets and liabilities. Since banks can have a negative, a positive and a neutral gap position they will be affected by changes in inflation reflected in rate movements5. Therefore, one cannot test Fisher Hypothesis by using banks' stock returns. That is to say that Fisher Hypothesis does not hold for banks. 3 See Bodie (1976) p.460 and Nelson (1976) p.472. 4 See French, Ruback and Schwert (1983). 5 Fama (June 1973) shows that the correlation between short term interest rates and inflation is almost equal to one. IVIn this thesis, based on the nominal contracting hypothesis, it is expected that for each bank the relationship between inflation and its stock returns will be dependent on the size and the sign of gap (interest rate risk) it carry on its balance sheet. Therefore, this relationship between a bank's stock returns and inflation can be negative ( in case of a negative gap), positive (in case of a positive gap) and neutral (in case of a neutral or zero gap). To test this hypothesis, in this thesis, a three stage econometric model6 is employed. At the first stage of the three-stage econometric model, by using a single index regression equation, it is searched whether a relationship between inflation and banks' nominal stock returns is existed or not. Using data from January 1988 to December 1997, this single index model was run for 10 banks whose stocks were traded on Istanbul Stock Exchange Market. The results were mixed. For two banks inflation had positive effects and for other eight banks the inflation effect was negative. This, according to nominal contracting hypothesis, implies that, on average, banks' assets have longer maturity relative to their liabilities. In other words in average banks have a negative gap. The statistical results were very weak that inflation had a very small affect on banks' stock returns. The average beta was -0.0083 implying that a 1% increase would reduce stock returns by 0.83% with very small R2 which were ranged between 0.15% and 8.2%. However null hypothesis could not be rejected for two banks at 10% level and at 25% level for other eight banks. As it is known that a bank's interest rate risk can be calculated by using either the maturity of its assets and liabilities or the duration of its balance sheet items. In the literature on interest rate risk management, it is proved that 6 See chapter three. 7 See table 4.duration, as a measure of interest rate risk, has many strengths over maturity. Therefore, in this thesis duration is used as the true measure of interest rate risk at banks. To measure the interest rate risk of each bank, at the second stage of the three-stage econometric model, firstly, by using a partial adjustment model developed by Flannery in 1981,9 the speed of adjustment of assets, liabilities and net current operating earnings were estimated10 for each bank being analysed. Quarterly balance sheet and profit and loss accounts from January 1991 to December 1997, attained from the Istanbul Stock Exchange Market, were used to make these estimations. Then, the estimated speed of adjustments were converted into their duration equivalents which were then used as proxies of the true average duration of each bank's assets and liabilities11. The average forecasted duration of assets and liabilities were 0.5053 years and 0.2558 years respectively. After that, the average duration of each bank's liabilities was subtracted from its assets' average duration and the finding was used as a proxy of its true DGnw (Duration Gap of Net Worth) which is a banks' long term interest rate risk measurement largely containing the price risk component of interest rate risk. The average DGnw of all banks was 0.2495 years. The estimated duration of net current operating earnings, on the other hand, were used as proxies for DGnh (Duration Gap of Net Interest Income) which stands for the short term measurement of banks' interest rate risk containing the 8 See Toevs (1983) and (1986), Kaufinann (1984) and Bierwag (1991). 9SeeFlaneny(1981). 10 See table 5, 6 and 7. 11 See table 8. VIincome risk component of interest rate risk12. The average DGnii of all banks was 1. 1 783 years. The interest rate risk of banks (DGnw and DGnii), estimated at this second stage, were in line with the results (negative relationship between inflation and stock returns), attained at the first stage of the three-stage econometric model, which, based on nominal contracting hypothesis, implied that, on average, the duration of assets should be longer than that of liabilities. The average short term interest rate risk (DGnii) of all banks was positive meaning that, on average, banks' total short term assets were larger than their short term liabilities. That means a rise in rates would be in favour of banks in terms of NIL The long term interest rate risk (the difference between the average duration of banks' assets and liabilities or DGnw) estimated for each bank, on average, was also positive (its modified version is negative13) implying that an upward movement in inflation would increase the market value of the banks. At the final stage of the three-stage econometric model, it was analysed whether interest rate risk that a bank carry on its balance sheet had any explanatory power on the relationship between inflation and its stock returns. To see this, three cross-sectional analyses were performed as using the results (the relationship between inflation and stock returns of each bank) of the first section as dependent variable and the results (the estimated DGnii and DGnw of each bank) of the second stage as the independent variables. It was expected that the sign of independent variables of both DGnii and DGnw to be (-) and (+) 12 For a detailed review of interest rate risk measurement and management in banks and the use of duration see for example; Toevs (1983) and (1986), Kaufmann (1984), Wetmore (1989) and Herman (1991). Mlrespectively. Since DGnh implies a positive gap, when rates go up (down) the Nil will rise (fall) and since the relationship between inflation and stock returns is negative, when the size of DGnh increases (decreases) it will decrease the negative effects of inflation on stock returns. Therefore its expected sign will be (-) at the cross-sectional analysis. On the other hand, since DGnw has a positive sign (and its modified version has a negative sign), if rates increase (decrease) the market value of banks will fall (rise). Therefore, as an independent variable DGnw will be expected to have a (+) sign in the cross- sectional analysis, because of the fact that the larger DGnw the larger negative effects of inflation on banks' market value. The last expectation about the results of the cross-sectional analysis is that, since the average duration of Turkish banks' balance sheet items is very short it is expected that short term interest rate risk measures (DGnii) to have more explanatory power than long term interest rate risk measures (DGnw)- At this stage three regression models were run. At the first and second DGnw and DGnh were used as independent variables respectively. It was seen that14 DGnh had more explanatory power than DGnw in line with the expectations. The expected signs were also found (-) and (+) for DGnh and DGnw respectively. In the first two regressions, the betas of DGnw and DGnh were 0.0005 and -0.0025 and their R2 were 0.0012 and 0.2802 respectively. A third regression was run to observe their joint explanatory power15. The findings were different than those of the first to regressions. The findings of this regression showed that the joint explanatory power of the two 13 For the relationship between duration and modified duration see Kaufmann (1984), Toevs (1986) and Hempel, Coleman and Simonson (1990), Chapter 14. 14 See tables 9 and 10.,s See table 11. ^ : % VUlindependent variables was increased as the statistical meaning of the regression declined. The betas were 0.0026 and -0.0027 respectively and the joint R2 was 0.3078. As mentioned earlier, although the results were not as strong as expected, the signs and the findings with regard to the short and long term interest rate risks, supported the view of nominal contracting hypothesis that interest rate risk explains the relationship between inflation and stock returns in case of banks' stocks. In conclusion, this weak findings can be resulted from: (1) The Turkish banks might be managing their interest rate exposures properly and accordingly, this risk does not affect their profitability and/or market values by a large magnitude. (2) Due to the fact that Turkish banks hold a large amount of assets and liabilities denominated in foreign currencies, exchange rate risk becomes more viable than interest rate risk. Therefore, this risk might have a more explanatory power than interest rate risk. lx tCYÛKSKÖ?RCnMHOBinU DOKÜMANTASYON HMUOÜ
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