THE RELATIONSHIP BETWEEN NON-PERFORMING LOANS AND MACROECONOMIC FACTORS IN TURKEY
JOURNAL OF MEHMET AKIF ERSOY UNIVERSITY ECONOMICS AND ADMINISTRATIVE SCIENCES FACULTY, cilt.8, sa.2, ss.609-629, 2021 (ESCI, TRDizin)
- Yayın Türü: Makale / Tam Makale
- Cilt numarası: 8 Sayı: 2
- Basım Tarihi: 2021
- Doi Numarası: 10.30798/makuiibf.691534
- Dergi Adı: JOURNAL OF MEHMET AKIF ERSOY UNIVERSITY ECONOMICS AND ADMINISTRATIVE SCIENCES FACULTY
- Derginin Tarandığı İndeksler: Emerging Sources Citation Index (ESCI), TR DİZİN (ULAKBİM)
- Sayfa Sayıları: ss.609-629
- Anahtar Kelimeler: Non-Performing Loans, Growth, Inflation, Unemployment, Exchange Rate, ARDL, Toda-Yamamoto, CREDIT RISK, DETERMINANTS, CRASH, MODEL
- Anadolu Üniversitesi Adresli: Evet
Özet
Non-performing loans are expressed as the first warning of a possible break in the financial system; it is expressed as an early signal of a possible financial or economic crisis. At the same time, changes in macroeconomic indicators as a result of developments in the economy also affect the payments of loan holders; impact the non-performing loan ratio (NPL). The main purpose of this study is to investigate how macroeconomic factors affect the non-performing loan ratio. According to the estimation results of the ARDL Model estimated with quarterly data covering the period 2005Q1-2019Q3, economic growth and inflation decreased the NPL ratio; It was determined that unemployment and exchange rate increased the non-performing loan ratio. According to Toda-Yamamoto causality test findings, there is a causality relationship from all variables to non-performing loans; The existence of a bi-directional causality relationship with unemployment rate has been determined.