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    Factors that affect the net interest margins in the banking industry: Analysis of Turkish banks
    (Bilgesel Yayincilik San & Tic Ltd, 2010-07) Özdinçer, Begümhan; Özyıldırım, Cenktan
    IIn this paper the macro and bank level factors such as interest rate risk, size and the structure of assets and liabilities that affect the net interest margins of banks operating in Turkey are examined. This study differs from similar studies in that it examines the TL and foreign currency denominated net interest margins separately and uses dynamic panel data. The foreign currency and Turkish Lira results show some differences with respect to certain macro and bank level factors. Overall, volatility and maturity mismatch are important criterias in determining the net interest margins. One important finding is the power of deposits in determining the net interest margins. Another important finding is that unlike foreign net interest margins, TL net interest margins are not sensitive to the market interest rates.
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    Market Timing Analysis of Turkish Pension Funds Using Smooth Transition Models
    (Bilgesel Yayincilik San & Tic Ltd, 2013-09) Özdinçer, Begümhan; Özyıldırım, Cenktan
    This article investigates by applying the smooth transition autoregressive model whether pension fund managers can implement successfully market timing strategy to earn abnormal returns and analyze their risk return performances. Unlike the classical market timing models used extensively in the literature this regime switching model allows for a continuum of regimes without making restrictive assumptions as in the classical market timing models. The methodology allows for a better approximation of the pension fund managers' investment behavior The results show that funds that show non-linearity in their asset allocation cannot apply successful market timing strategies. Therefore it is not justifiable for pension fund investors to invest in these riskier funds to generate excess returns and pay higher management fees.