%0 Journal Article
%T Examining the Impact of the Global Financial Crisis on the Deposit Banks¡¯ Level of Systematic Risk: Evidence from AR(p)-DCC-FIGARCH (p,d,q) and Asymmetric AR(p)-DBEKK-GARCH (p, q) Models
%A £¿nder B¨¹BERK£¿K¨¹
%J -
%D 2018
%X This study examines the impact of the 2007¨C2008 global financial crisis on the time-varying conditional systematic risk level of nine deposit banks using AR(p)-DCC-FIGARCH (p,d,q) and asymmetric AR(p)-DBEKK-GARCH (p,q) models under the assumption of a multivariate Student¡¯s t distribution. Results show that the systematic risk level of two large-scale banks, in particular, significantly increased during the crisis period. The systematic risk level of two small- and medium-sized banks also significantly increased during the crisis period. Additionally, one-break unit root tests applied to all banks¡¯ systematic risk coefficients show that all these series are stationary at their level form
%K K¨¹resel Finans Krizi
%K Sistematik Risk
%K Bankalar
%K BEKK-GARCH
%K DCC-FIGARCH
%U http://dergipark.org.tr/deuiibfd/issue/42620/513730