Factors Affecting Non-Performing Loans: A Study on Countries with Different Levels of Development

Year 2023, Volume: 17 Issue: 2, 131 - 152, 19.04.2024

Nur Esra Bekereci , Mustafa Kısakürek , Yücel Ayrıçay

https://doi.org/10.46520/bddkdergisi.1472164

Abstract

The amount of non-performing loans poses a risk for the healthy balance sheet structure of banks. These
loans reduce the profitability of banks, consume their capital base, negatively affect liquidity, disrupt the assetliability
balance, and may cause many other negativities. In this sense, effective monitoring and evaluation of
credit risk is very important, especially for the financial soundness of banks and the stability of the economy. It
is observed in the literature that the factors affecting these loans consist mostly of macroeconomic and sectorspecific
factors. From this perspective, the main purpose of the study is to investigate the factors affecting
problem loans. The aim of the study is to examine the relationship between non-performing loans and their
determinants in terms of 59 countries at different development levels. In addition to evaluating whether the
determinants in question vary according to the income levels of countries, it was investigated how the 2008
global crisis affected problem loans. In this context, 20-year data covering the years 2001–2020 of the group
of high, upper-middle, and lower-middle-income countries was used. In the study, in which the Generalized
Method of Moments (GMM) estimator, one of the dynamic panel data methods, was used, it was determined
that macroeconomic factors were more effective in deteriorating asset quality in terms of country groups than
sector-specific factors. Gross domestic product (GDP), the global crisis, and the persistence of non-performing
loans have been the most effective predictors of non-performing loans overall in high-end, upper-middle, and
lower-middle economies. In this sense, it has been noted that the persistence of non-performing loans in all
country groups is higher in low-income countries, as expected. In addition, during crisis periods, non-performing
loans pose a problem in low-income countries compared to high-income countries, It has been observed that
growth is the main driving force in reducing non-performing loans compared to other macroeconomic variables
in high-income countries. In short, it has been discovered that macroeconomic and sector-specific factors
affecting credit risk in economies at different development levels vary according to the level of welfare.

Keywords

Non-Performing Loans, Macroeconomic Factor, Microeconomic Factors, Panel Data Analysis, GMM

Sorunlu Kredilere Etki Eden Faktörler: Farklı Gelişmişlik Düzeyindeki Ülkeler Üzerine Bir Araştırma

Abstract

Sorunlu kredilerin tutarı bankaların sağlıklı bilanço yapısı için risk oluşturlar. Söz konusu krediler bankaların
kârlılığını düşürür, sermaye tabanlarını tüketir, likiditeyi negatif etkiler, aktif-pasif dengesini bozar bunun gibi
daha birçok olumsuzluğa sebep olabilir. Bu anlamda kredi riskinin etkin şekilde izlenmesi ve değerlendirilmesi
başta bankaların finansal sağlamlığı ve ekonominin istikrarı açısından oldukça önemlidir. Alan yazında söz
konusu kredileri etkileyen unsurların daha çok makroekonomik ve sektöre özgü faktörlerden meydana geldiği
gözlemlenmektedir. Bu perspektifle sorunlu kredileri etkileyen unsurların araştırılması çalışmanın temel gayesini
oluşturmaktadır. Çalışmada sorunlu krediler ile belirleyicileri arasındaki ilişkinin farklı gelişmişlik düzeyindeki 59
ülke açısından incelenmesi amaçlanmıştır. Söz konusu belirleyicilerin ülkelerin gelir seviyelerine göre değişip
değişmediğinin değerlendirmesi dışında 2008 küresel krizinin sorunlu kredileri nasıl etkilediği araştırılmıştır.
Bu bağlamda yüksek, üst-orta ve alt-orta gelirli ülkeler grubunun 2001-2020 yıllarını kapsayan 20 yıllık verileri
kullanılmıştır. Dinamik panel veri yöntemlerinden Genelleştirilmiş Momentler Metodu (GMM) tahmincisinin
kullanıldığı çalışmada makroekonomik faktörlerin sektöre özgü faktörlere göre ülke grupları açısından aktif
kalitesini bozmada daha etkili olduğu saptanmıştır. Gayri safi yurtiçi hâsıla (GSYİH), küresel kriz ve sorunlu
kredilerin kalıcılığı, yüksek, üst-orta ve alt-orta ekonomilerde genel anlamda takipteki kredilerin en etkili tahmin
edicileri olmuştur. Bu anlamda tüm ülke gruplarında kalıcılık gösteren sorunlu krediler oranının beklenildiği
gibi düşük gelirli ülkelerde daha yüksek bulunduğu kaydedilmiştir. Ayrıca kriz dönemlerinde sorunlu kredilerin,
yüksek gelirli ülkelere nispeten gelir düzeyi düşük ülkelerde problem teşkil ettiği, büyümenin ise gelir grubu
yüksek ülkelerde diğer makroekonomik değişkenlerle karşılaştırıldığında sorunlu kredileri azaltmada temel
itici güç olduğu gözlemlenmiştir. Kısaca farklı gelişmişlik düzeyindeki ekonomilerde kredi riskini etkileyen
makroekonomik ve sektöre özgü faktörlerin refah seviyesine göre farklılık gösterdiği keşfedilmiştir.

Keywords

Sorunlu krediler, Makroekonomik faktörler, Sektöre özgü faktörler, Panel veri analizi, GMM

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