Page 326 - Special Topic Session (STS) - Volume 1

STS441 Burcu Zühal İ.E. et al.

Linking micro data sets for firms’ FX risk
monitoring database
Burcu Zühal İman Er, Özgül Atılgan Ayanoğlu
Central Bank of the Republic of Turkey, Ankara, Turkey

Abstract
The purpose of this paper is to present the experiences of the Central Bank of
the Republic of Turkey (CBRT) in establishing a data hub which provides a
comprehensive data set for FX risk monitoring of non-financial corporations
(NFCs). The increasing net FX open position of NFCs, coupling with
depreciating TRY, has arisen the need to compile micro level data on the FX
positions of real sector companies. CBRT established the Systemic Risk Data
Monitoring System to collect liabilities and assets information from NFCs
which have high FX bank loans. In order to be able to have a comprehensive
understanding of the situations of NFCs, CBRT initiated the Real Sector Data
Hub project where company level data from various sources are compiled and
linked to the data collected from companies. Credit database from the Banks
Association of Turkey, financial tables from Revenue Administration,
employment information from Social Security Institution, export and import
data from Ministry of Trade are among the many sources which are planned
to be integrated in the data hub. We believe that this project will enable
decision makers to rely on solid micro level analysis while taking policy actions.

Keywords
FX risk, Systemic Risk Data Monitoring System, Real Sector Data Hub

1. Introduction
The problems in the American mortgage market triggered the most severe
financial crisis in the United States in 2007 and led to the “Global Financial
Crisis”. Several developments led to the construction of this crisis process,
including the complex securities and unstandardized derivative contracts, high
leverage and inadequate risk management. These factors together created
systemic risk which can be defined as the risk associated with the collapse or
failure of a company, industry, financial institution or an entire economy. One
of the most important features of systemic risk is that the risk spreads from
unhealthy institutions to healthy ones through a transmission mechanism. It is
an endogenous factor in a market system and therefore, it is deemed
unavoidable. Emerging markets experienced particularly aggravating effects
through contagion arising from the interconnectedness of economies (BIS,
2016).

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