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- Title
A Note on Bank Capital Buffer, Portfolio Risk and Business Cycle.
- Authors
KONTBAY BUSUN, Sine; KASMAN, Adnan
- Abstract
This paper examines the impact of business cycle on bank capital buffer and portfolio risk using quarterly data for commercial banks operating in the Turkish banking industry for the period 2002Q1-2012Q2. The results indicate that the business cycle and capital buffer are negatively related, suggesting that banks' capital buffers increase (decrease) as economic conditions worsen (improve). The results also indicate that banks default risk has a positive and significant impact on capital buffer, while capital buffer has a negative and significant impact on default risk. The results further suggest that banks do not benefit from revenue diversification and larger banks hold less capital buffer. Finally, banks that earn higher profit hold more capital buffer and banks that make more profit are exposed to less risk.
- Subjects
TURKEY; BANKING industry; CAPITAL investments; CAPITAL assets pricing model; MARGINAL efficiency of investment; FINANCIAL economics; BUSINESS cycle management
- Publication
Ege Academic Review, 2015, Vol 15, Issue 1, p1
- ISSN
1303-099X
- Publication type
Article