رفتار چرخه ای حاشیه قیمت ـ هزینه در صنعت بانکداری ترکیه

Using a dynamic panel data framework, the cyclical behavior of the banks' price–cost margins in Turkey over the period 2002Q1–2008Q2 is analyzed. The findings provide evidence towards countercyclical behavior of the margins. This is important for the Turkish economy since the countercyclicality of banks' margins may deepen the contraction by constraining the credit opportunities over economic downturn periods. Furthermore, the control variables, monetary policy, market structure and financial deepening of the economy indicate significant effect on the price–cost margins of the banks. The findings also serve as evidence towards the “financial accelerator” mechanism in Turkish economy over the sample period.

The banking industry is a crucial link between the financial and real sectors. In many of the developed and developing economies, banks play an important intermediation role in transforming savings into productive investments. The banking industry is also an important channel in the implication of the monetary policy through banking loans. Supply of bank loans affects the investment and production decisions of the firms since many firms, particularly the small and medium sized ones, are credit dependent. The role of the banking industry becomes more significant during the economic fluctuation periods. Particularly, when the economy is contracting, the ability of the banking industry to synchronize with the changing conditions affects economic stability. During hard times, if the banking industry can play a balancing role in economy through supply of loans, then recovery may be faster and easier. However, the supply of loans are related to the price–cost margins of the banks. Hence, during the economic fluctuation periods, the response of the price–cost margins stem as one of the major determinants of the supply of banking loans. If, during economic downturn periods, margins stay high behaving countercyclically, credit becomes more expensive. Firms may delay their production and investment decisions, which in turn deepens the economic contraction. Bernanke et al., 1996 and Bernanke et al., 1998 call this mechanism as “financial accelerator”. In the modern economy, where the financial system has gained a significant influence on the real economy, this mechanism can be used to explain the persistence and magnitude of cyclical fluctuations. Hence, analyzing the cyclical behavior of banks' price–cost margins can provide useful information about the possible effect of the financial system on the real economy. The cyclical variations in the price–cost margins have been analyzed in various studies in the industrial organization literature. However, these studies provide mixed results. Some find that price–cost margins behave procyclically while some find evidence towards countercyclical margins. Green and Porter (1984) and Rotemberg and Saloner (1986) are the pioneering studies modelling this relationship. Of these studies, Green and Porter (1984) predict procyclical behavior while Rotemberg and Saloner (1986) predict countercyclical behavior for the margins. Many empricial studies followed these contributions to find evidence on the behavior of price–cost margins. Domowitz et al., 1986a and Domowitz et al., 1986b examine the changing patterns of the price–cost margins in 284 U.S. manufacturing industries during the fluctuations in the demand for their products. They find that margins behave procyclically and state that this is obvious particularly in more concentrated industries. Prince and Thurik (1992) focus on the cyclical behavior of price–cost margins and its relation with concentration in 66 Dutch manufacturing industries over the period 1974–1986. They find that the procyclical behavior of the margins depends on business cycle measure used. Machin and Van Reenen (1993) investigate the behavior of profit margins of 709 large UK manufacturing firms over the period 1972–1986. Their findings indicate significant procyclical behavior. Chand and Sen (2000) analyze the beahvior of mark-ups in 15 Indian manufacturing industries over the period 1973–1988. They find that mark-ups are countercyclical, particularly in the concentrated industries. In a more recent study, Lima and Resende (2004) focus on the relationship between profit margins and business cycle in the Brazilian manufacturing industry over the 1992–1998 period following a conjectural variations framework. They use two measures of business cycle, one representing the aggregate cycle and another for sector-specific cycle. The results indicate existence of procyclical behavior of profit margins for the aggregate business cycle but the evidence is less clear for the sector-specific cycle. To date, almost all of the studies investigating the cyclical behavior of the price–cost margins focus on the manufacturing industry. The empirical evidence on the cyclical behavior of bank price–cost margins is lacking. There is only one study by Aliaga-Diaz and Olivero (2006) analyzing the cyclical behavior of price–cost margins in the U.S. banking industry. They focus on the 1979–2005 period. The results indicate the countercyclicality of the margins and they try to give possible explanations for this behavior. Despite its importance for the economy, there are no studies on the banks' price–cost margins over the economic fluctuation periods for the developing countries. Hence, this study aims to contribute the existing literature in two ways. First, it examines the cyclical behavior of banks' price–cost margins in Turkey over the period 2002Q1–2008Q2. Turkey is a developing economy where the credit channels and behavior of the supply of loans are extremely important for the macroeconomic development and stability. Second, the analyses rest on a dynamic panel data framework to provide broader information on the behavior of bank price–cost margins and and its determinants. The rest of the paper is organized as follows: the methodological issues are provided in Section 2. Data set and empirical results are explained in Section 3. The last section is devoted to conclusions.

The behavior of banks' price–cost margins during the economic fluctuation periods is an important issue for an economy seeking macroeconomic stability and development. Turkey, as a developing economy, is mostly dependent on the banking industry as a channel providing funds for firms. The countercylclical behavior of the margins may lead to scarcity of the funds during the economic downturns and deepen the contraction, while the procyclical behavior may help the recovery of the economy. In this study, three different definitions of price–cost margins and three business cycle indicators, real total loans, real GDP and real GDP per capita, are used. Following Aliaga-Diaz and Olivero (2006), total loans are particularly preferred as a business cycle indicator since they may reflect the investment and production behavior of the firms closer than the GDP. We also controlled for various transmission channels of economic fluctuations towards the price–cost margins of the banks. To this end, monetary policy indicator, Treasury Bill rate, market structure indicator Herfindahl–Hirschman index, financial deepening of the economy, and share of the biggest banks in the Turkish banking industry are used. Moreover, seasonal dummies, a dummy to control for the regulation in November 2005, the new banking law and a dummy representing the existence of state-owned banksa are included in the model. We used a dynamic panel data approach and followed the Arellano and Bond (1991) procedure. To the author's best knowledge, this is the first study that examines the cyclical behavior of the banks' price–cost margins in Turkey. The findings of this study may contribute to the relevant literature as evidence for a developing country and may serve as a model for similar economies. The results indicate that, for most of the price–cost margin measures and business cycle definitions, the price–cost margins of the Turkish banks behave countercylically with the economic fluctuations over the sample period, 2002Q1:2008Q2. This finding also conforms with the “financial accelaretor” concept developed by Bernanke et al., 1996 and Bernanke et al., 1998. The policy makers should consider this possible reaction of the banks' margins and should implement policies to offset the deepening effect of this countercyclical behavior and ensure macroeconomic stability. When the control variables are considered, monetary policy, market structure and financial deepening of the economy indicate a significant effect on the price–cost margins. The remaining variables do not seem to have an important effect in the transmission channel of economic fluctuations into the banks' margins. Overall, this study indicates the importance of the behavior of Turkish banks during economic fluctuations. Since we found greater evidence on the countercyclical behavior of the margins, the role of the banks become more critical for the economic recovery after contractionary periods. However, the banking industry has the largest share in the Turkish financial sector. To overcome the disadvantages of the countercyclical behavior of the banks' margins, the financial instruments should be differentiated further and their use should be encouraged by the authorities. In this way, the macroeconomic stability and economic recovery may be achieved in a less dependent way on the banking industry. The results of this study may hopefully present an idea on the behavior of the price–cost margins of the banks in the similar developing economies over the fluctuation periods. A future study comprising a cross-country analysis may provide a broader idea on the behavior of the margins in the developing economies.