Katılım Bankalarının Kredi Kalitesini Etkileyen Bankaya Özgü ve Makro Ekonomik Faktörler: Pandemi Dönemini İçeren Türkiye Örneği

Abstract

Finansal sektörün en önemli yapı taşlarından birisi olan bankalarının mali yapılarının güçlü olması ülke ekonomileri için son derece önemlidir. Mevcut bankacılık sistemi içerisinde farklı finansman modelleri ile bankacılık sisteminin tamamlayıcısı konumunda olan katılım bankaları, bu farklı finansman modelleri ile kullandırmış oldukları fonları gününde tahsil etmeyi önceliklemektedir. Ancak kullandırılan fonlar her zaman geri ödenmemekte ve takibe düşmektedir. Bu durumda da bankalar kredi riski ile karşı karşıya kalabilmektedir. Bankaların maruz kaldığı önemli riskler arasında kredi riski yer almakta olup, kullandırılan kredilerin kalitesi banka içi ve banka dışı çeşitli faktörlerden etkilenebilmektedir. Bu çalışmada Türk Bankacılık Sisteminde yer alan katılım bankalarının 2011 yılı 1. çeyrek ve 2023 yılı 4. çeyrek arası çeyrek dönemlik verileri ve yine çeyrek dönemlik makro ekonomik veriler kullanılarak, Covid-19 dönemini de kapsayacak şekilde katılım bankalarının kredi kalitesini etkileyen bankaya özgü ve makro ekonomik faktörler panel veri analiziyle belirlenmeye çalışılmıştır. Covid-19 dönemini de kapsayacak şekilde yapılan Panel ARDL analizi sonucunda bankaya özgü oranlardan, LKD ve ROA ile kredi kalitesini simgeleyen NPL arasında negatif yönlü bir ilişki tespit edilmiştir. Makro ekonomik değişkenlerden GSMH ile NPL arasında negatif, faiz ve Covid-19 dönemi arasında ise pozitif yönlü bir ilişki tespit edilmiş olup, bulgular literatürde yer alan çalışmalarla uyum göstermektedir.

Keywords

• Bankacılık
• Kredi Riski
• İslami Finans
• Katılım Bankacılığı
• Panel Veri
• Covid-19

Ethical Statement

Etik kurul izni ve/veya yasal/özel izin alınmasına gerek olmayan bu çalışmada araştırma ve yayın etiğine uyulmuştur.

Bank-Specific and Macroeconomic Factors Affecting the Credit Quality of Participation Banks: The Case of Türkiye During the Pandemic Period

Abstract

The strong financial structures of banks, one of the most important cornerstones of the financial sector, are extremely important for national economies. Participation banks, which are complementary to the banking system with different financing models within the existing banking system, prioritize collecting the funds they have made available through these different financing models on time. However, the funds disbursed are not always repaid and are subject to follow-up. In this case, banks may face credit risk. Credit risk is one of the most important risks that banks are exposed to, and the quality of the loans extended can be affected by various internal and external factors. In this study, by using quarterly data of participation banks in the Turkish Banking System between the 1st quarter of 2011 and the 4th quarter of 2023 and quarterly macroeconomic data, bank-specific and macroeconomic factors affecting the credit quality of participation banks, including the Covid-19 period, were tried to be determined by panel data analysis. As a result of the Panel ARDL analysis, including the Covid-19 period, a negative relationship was found between LKD and ROA, which are bank-specific ratios, and NPL, which symbolizes credit quality. Among the macroeconomic variables, there is a negative relationship between GNP and NPL and a positive relationship between interest rate and the Covid-19 period, and the findings are consistent with the studies in the literature.

Keywords

• Banking
• Credit Risk
• Islamic Finance
• Participation Banking
• Panel Data
• Covid-19

References

1. Ahmad, N.H. and Ariff, M. (2008). Multi-country study of bank credit risk determinants. International Journal of Banking and Finance, 5(1), 135-152. Retrieved from https://e-journal.uum.edu.my/
2. Ahmed, H. and T. Khan. (2007). Risk management in Islamic banking. M.K. Hassan and M.K. Lewis (Eds.), Handbook of Islamic banking (pp. 144-158). Cheltenham, UK: Edward Elgar.
3. Al-Wesabi, H.A. and Ahmad, N.H. (2013). Credit risk of Islamic banks in GCC countries. International Journal of Banking and Finance, 10(2), 95-112. Retrieved from https://e-journal.uum.edu.my/
4. Amuakwa–Mensah, F. and Boakye–Adjei, A. (2015). Determinants of non–performing loans in Ghana banking industry. International Journal of Computational Economics and Econometrics, 5(1), 35-54. https://doi.org/10.1504/IJCEE.2015.066207
5. Amuakwa-Mensah, F., Marbuah, G. and Ani-Asamoah Marbuah, D. (2017). Re-examining the determinants of non-performing loans in Ghana’s banking industry: Role of the 2007–2009 financial crisis. Journal of African Business, 18(3), 357-379. https://doi.org/10.1080/15228916.2017.1308199
6. Angbazo, L. (1997). Commercial bank net interest margins, default risk, interest-rate risk, and off-balance sheet banking. Journal of Banking & Finance, 21(1), 55-87. https://doi.org/10.1016/S0378-4266(96)00025-8
7. Ayaydın, H., Pilatin, A. ve Barut, A. (2021). Takipteki kredilerin bankaya özgü, finansal ve makroekonomik belirleyicileri: Türkiye örneği. Uluslararası İktisadi ve İdari İncelemeler Dergisi, 33, 169-186. https://doi.org/10.18092/ulikidince.1013685.
8. Baboucek, I. and Jancar, M. (2005). Effects of macroeconomic shocks to the quality of the aggregate loan portfolio (Czech National Bank Working Paper Series No. 1). Retrieved from https://core.ac.uk/download/pdf/7362418.pdf

9. Bai, J. and Ng, S. (2004). A PANIC attack on unit roots and cointegration. Econometrica, 72(4), 1127-1177. https://doi.org/10.1111/j.1468-0262.2004.00528.x
10. Beck, R., Jakubik, P. and Piloiu, A. (2015). Key determinants of non-performing loans: New evidence from a global sample. Open Economies Review, 26(3), 525-550. doi:10.1007/s11079-015- 9358-8
11. Bekereci, N.E., Kısakürek, M. ve Ayrıçay, Y. (2023). Sorunlu kredilere etki eden faktörler: Farklı gelişmişlik düzeyindeki ülkeler üzerine bir araştırma. BDDK Bankacılık Ve Finansal Piyasalar Dergisi, 17(2), 31-152. https://doi.org/10.46520/bddkdergisi.1472164
12. Berger, A.N. and DeYoung, R. (1997). Problem loans and cost efficiency in commercial banks. Journal of Banking & Finance, 21(6), 849-870. https://doi.org/10.1016/S0378-4266(97)00003-4
13. BIS. (2008). Principles for sound liquidity risk management and supervision. Retrieved from https://www.bis.org/publ/bcbs 138.pdf
14. Boudriga, A., Taktak, N.B. and Jellouli, S. (2010). Bank specific, business and institutional environment determinants of banks nonperforming loans: Evidence from MENA countries (Economic Research Forum Working Paper Series No. 547). Retrieved from https://erf.org.eg/app/uploads/2014/08/547.pdf
15. Breusch, T.S. and Pagan, A.R. (1980). The Lagrange multiplier test and its application to model specification in econometrics. Review of Economic Studies, 47, 239-253. https://doi.org/10.2307/2297111
16. Cebenoyan, A.S. and P.E. Strahan. (2004). Risk management, capital structure and lending at banks. Journal of Banking and Finance, 28(1), 19-43. https://doi.org/10.1016/S0378-4266(02)00391-6
17. Chudik, A., Mohaddes, K., Pesaran, M.K., Raissi, M. and Rebucci, A. (2020). Economic consequences of Covid-19: A counterfactual multi-country analysis. Retrieved from https://voxeu.org/article/economicconsequences-covid-19-multi-country-analysis
18. Ćurak, M., Pepur, S. and Poposki, K. (2013). Determinants of non-Performing loans–evidence from Southeastern Banking Systems. Banks & Bank System, 8(1), 45–54. Retrieved from https://eprints.uklo.edu.mk/
19. Das, A. and Ghosh, S. (2007). Determinants of credit risk in Indian state-owned banks: An empirical investigation. Economic Issues Journal Articles, 12(2), 27-46. Retrieved from https://mpra.ub.uni-muenchen.de/17301/
20. Dash, M.K. and Kabra, G. (2010). The determinants of non-performing asssets in Indian Commercial Bank: An econometric study. Middle Eastern Finance and Economics, 7(2), 94–106. Retrieved from https://www.scirp.org/
21. De Lis, F.S., Pagés, J.M. and Saurina, J. (2001). Credit growth, problem loans and credit risk provisioning in Spain. BIS Papers, 1, 331-353. Retrieved from https://citeseerx.ist.psu.edu/
22. Dimitrios, A., Helen, L. and Mike, T. (2016). Determinants of non-performing loans: Evidence from Euro-area countries. Finance Research Letters, 18, 116-119. https://doi.org/10.1016/j.frl.2016.04.008
23. Erdoğan, B. (2024). Bankaların takipteki kredilerini etkileyen faktörlerin panel veri modelleri ile analizi. Uluslararası Ekonomi Siyaset İnsan ve Toplum Bilimleri Dergisi, 7(3), 41-152. https://doi.org/10.59445/ijephss.1460608
24. Fofack, H. (2005). Non-performing loans in Sub-Saharan Africa: Causal analysis and macroeconomic implications (World Bank Working Paper Series No. 3769). Retrieved from https://documents1.worldbank.org/curated/en/446961468104639856/pdf/wps3769.pdf
25. Gezu, G. (2014). Determinants of nonperforming loans: Empirical study in case of commercial banks in Ethiopia (Unpublished doctoral dissertation). Jimma, Jimma University.
26. Ghosh, A. (2015). Banking-industry specific and regional economic determinants of non-performing loans: Evidence from US states. Journal of Financial Stability, 20, 93–104. doi:10.1016/J.JFS.2015.08.004
27. Güler, E. (2016). Türk bankacılık sisteminde mevduat faizi değişimlerinin katılma fonları üzerindeki etkisi ve likidite riski yönetimi. Finansal Araştırmalar ve Çalışmalar Dergisi, 8(15), 385-412 https://doi.org/10.14784/marufacd.266072
28. Ha, D.T. and Hang, H.T.T. (2016). Determinants of non-performing loans: The case of Vietnam. Journal of Business and Economics, 7(7), 125-1136. doi:10.15341/jbe(2155-7950)/07.07.2016/008.
29. Jakubik, P. and Kadioglu, E. (2022). Factors affecting bank loan quality: A panel analysis of emerging markets. International Economics and Economic Policy, 19(3), 437-458. doi:10.1007/s10368- 021- 00520-7.
30. Kabataş, Y. ve Karamustafa, C. (2019). Tüketici kredilerinde takipteki kredi oranlarının makroekonomik ve bankalara özgü belirleyicileri: Türkiye örneği. Marmara Sosyal Araştırmalar Dergisi, 15. Erişim adresi: https://dergipark.org.tr/en/pub/marusad
31. Kabir, M.N., Worthington, A. and Gupta, R. (2015). Comparative credit risk in Islamic and conventional bank. Pacific-Basin Finance Journal, 34, 327-353. https://doi.org/10.1016/j.pacfin.2015.06.001
32. Kao, C. (1999). Spurious regression and residual-based tests for cointegration in panel data. Journal of Econometrics, 90, 1-44. https://doi.org/10.1016/S0304-4076(98)00023-2
33. Karadima, M. and Louri, H. (2020). Non-performing loans in the euro area: Does Bank market power matter? International Review of Financial Analysis, 72, 101593. doi:10.1016/j.irfa.2020.101593.
34. Khan, T. and H. Ahmed. (2001). Risk management: An analysis of issues in Islamic financial industry (Occasional Papers No. 5). Retrieved from https://www.iefpedia.com/english/wp-content/uploads/2009/10/Risk-Management-An-Analysis-of-Issues-in-Islamic-Financial-Industry-by-Tariqullah-Khan-Habib-Ahmed.pdf
35. Khemraj, T. and Pasha, S. (2009). The determinants of non-performing loans: An econometric case study of Guyana (MPRA Paper No. 53128). Retrieved from https://mpra.ub.uni-muenchen.de/53128/1/MPRA_paper_53128.pdf
36. Klein, N. (2013). Non-performing loans in CESEE: Determinants and impact on macroeconomic performance (IMF Working Paper No. 13/72). Retrieved from https://www.imf.org/external/pubs/ft/wp/2013/wp1372.pdf
37. Koç, P., Şahbaz, K.İ., Kalaycı, R. ve T, İnce. (2021). Covid-19 salgının Türk bankacılık sektörü üzerindeki etkilerinin analizi. Ankara: Iksad yayinevi
38. Konstantakis, K.N., Michaelides, P.G. and Vouldis, A.T. (2016). Non performing loans (NPLs) in a crisis economy: Long-run equilibrium analysis with a real time VEC model for Greece (2001–2015). Physica A: Statistical Mechanics and its Applications, 451, 149-161. doi:10.1016/J.PHYSA.2015.12.163.
39. Lee, J. and Rosenkranz, P. (2020). Nonperforming loans in Asia: Determinants and macrofinancial linkages. In B.N. Jeon and J. Wu (Eds.), Emerging market finance: New challenges and opportunities (pp. 33-53). Leeds, UK: Emerald Publishing Limited.
40. Macit, F. ve Keçeli, B. (2012). Takipteki kredi oranını etkileyen faktörler: Türkiye’de katılım bankaları örneği. Avrasya İncelemeleri Dergisi, 1, 151-161. Erişim adresi: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2661236
41. Makri, V., Tsagkanos, A. and Bellas, A. (2014). Determinants of non-performing loans: The case of Eurozone. Panoeconomicus, 61(2), 193–206. doi:10.2298/PAN1402193M.
42. Masood, O., Al Suwaidi, H. and Darshini Pun Thapa, P. (2012). Credit risk management: A case differentiating Islamic and non‐Islamic banks in UAE. Qualitative Research in Financial Markets, 4(2/3), 197-205. https://doi.org/10.1108/17554171211252529
43. Messai, A.S. and Jouini, F. (2013). Micro and macro determinants of non-performing loans. International Journal of Economics and Financial Issues, 3(4), 852-860. Retrieved from https://dergipark.org.tr/en/pub/ijefi/
44. Misman, F.N., Lou, W. and Bhatti, I. (2013). The determinants of credit risk of Islamic banks in Malaysia: A panel study. Paper presented at the International Conference on Accounting and Finance (AT). Bangkok, Thailand. Retrieved from proquest.com
45. Nkusu, M. (2011). Nonperforming loans and macrofinancial vulnerabilities in advanced economies (IMF Working Paper No. 11/161). Retrieved from https://www.imf.org/external/pubs/ft/wp/2011/wp11161.pdf
46. Özel, Ö. (2022). Türkiye bankacılık sektöründe takipteki kredileri etkileyen faktörlerin analizi. İşletme Araştırmaları Dergisi, 14(2), 1148-1163. Erişim adresi: https://www.ceeol.com/
47. Özulucan, A. ve Deran, A. (2009). Katılım bankacılığı ile geleneksel bankaların bankacılık hizmetleri ve muhasebe uygulamaları açısından karşılaştırılması. Mustafa Kemal Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 6(11), 85-108. Erişim adresi: https://dergipark.org.tr/en/pub/mkusbed/
48. Pesaran, M., Hashem, Shin, Y.R. and Smith, P. (1999). Pooled mean group estimation of dynamic heterogeneous panels. Journal of the American Statistical Association, 94(446), 621-634. Retrieved from https://www.tandfonline.com/
49. Pesaran, M.H. (2004). General diagnostic tests for cross section dependence in panels. Cambridge Working Papers in Economics, 1240(1), 1-40. Retrieved from https://cir.nii.ac.jp/crid/1370002214340987648
50. Quagliariello, M. (2003). Are macro-economic indicators useful in predicting bank loan quality:Evidence from Italy. Banca d’Italia. Roma, Italy.
51. Radivojevic, N. and Jovovic, J. (2017). Examining of determinants of non-performing loans. Prague Economic Papers, 26(3), 300–316. Retrieved from https://www.ceeol.com/
52. Rahmah, A.Z. and Armina, S.H. (2020). Macro and micro determinants of the non-performing finance: The case of Indonesian Islamic bank. Jurnal Ekonomi & Keuangan Islam, 6(1), 34-41. https://doi.org/10.20885/JEKI.vol6.iss1.art4
53. Rajha, K.S. (2016). Determinants of non-performing loans: Evidence from the Jordanian banking sector. Journal of Finance and Bank Management, 4(1), 125–136. https://doi.org/10.15640/jfbm.v4n1a9
54. Salas, V. and Saurina J. (2002). Credit risk in two institutional regimes: Spanish commercial and savings banks. Journal of Financial Services Research, 22(3), 203-224, http://dx.doi. org/10.1023/a:1019781109676
55. Saurina, J. and Jimenez, G. (2006). Credit cycles, credit risk, and prudential regulation. International Journal of Central Banking, 2, 65-98. Retrieved from https://mpra.ub.uni- muenchen.de/718/
56. Sevinç, D. (2021). Türkiye’de takipteki banka kredileri ile makroekonomik faktörler arasındaki ilişki. Mehmet Akif Ersoy Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 8(2), 609-629. https://doi.org/10.30798/makuiibf.691534
57. Shu, C. (2002). The impact of macroeconomic environment on the asset quality of Hong Kong’s banking sector (HKMA Working Paper No. 2002). Retrieved from https://www.hkma.gov.hk/media/eng/publication-and-research/research/working-papers/pre2007/RM20-2002.pdf
58. Škarica, B. (2014). Determinants of non-performing loans in Central and Eastern European countries. Financial Theory and Practice, 38(1), 37-59. https://doi.org/10.3326/fintp.38.1.2
59. Suryanto, S. (2015). Non performing loans on regional development bank in Indonesia and factors that influence, Mediterranean Journal of Social Sciences, 6(4), 280-287. Retrieved from https://www.richtmann.org/
60. Szarowska, I. (2018). Effect of macroeconomic determinants on non-performing loans in Central and Eastern European countries. International Journal of Monetary Economics and Finance, 11(1), 20-35. https://doi.org/10.1504/IJMEF.2018.090564
61. Tanasković, S. and Jandrić, M. (2015). Macroeconomic and institutional determinants of non- performing loans. Journal of Central Banking Theory and Practice, 4(1), 47-62. doi:10.1515/jcbtp-2015-0004.
62. Telçeken, N. ve Kadıoğlu, E., (2022). Bankalarda kredi kalitesini etkileyen reel sektör faktörlerinin analizi. Journal of Business and Trade, 3(1), 48-64. Erişim adresi: https://dergipark.org.tr/en/pub/joinbat/
63. TKBB. (2024). Türkiye katılım bankaları birliği. Erişim adresi: https://tkbb.org.tr/sektor_raporlari
64. Torun, M. ve Altay, E. (2019). Ticari bankacılık sektöründe sorunlu kredileri etkileyen faktörlerin analizi. Journal of Management and Economics Research, 17(1), 179-200. https://doi.org/10.11611/yead.524106
65. Us, V. (2016). A dynamic approach to analysing the effect of the global crisis on nonperforming loans: Evidence from the Turkish banking sector. Applied Economics Letters, 24(3), 186-192. doi:10.1080/13504851.2016.1176106
66. Us, V. (2017). Dynamics of non-performing loans in the Turkish banking sector by an ownership breakdown: The impact of the global crisis. Finance Research Letters, 20, 109-117. doi:10.1016/j.frl.2016.09.016.
67. Vakıfbank. (2022). Entegre faaliyet raporu. Erişim adresi: https://vbassets.vakifbank.com.tr/interaktif_faaliyet_raporu/2023/tr/index.html
68. Wiryono, S. and Effendi, K. (2018). Islamic bank credit risk: Macroeconomic and bank specific factors. European Research Studies Journal, 21(3), 53-62. Retrieved from https://www.um.edu.mt/
69. Yağcılar, G.G. ve Demir, S. (2015). Türk bankacılık sektöründe takipteki kredi oranları üzerinde etkili olan faktörlerin belirlenmesi. Uluslararası Alanya İşletme Fakültesi Dergisi, 7(1), 221–229. Erişim adresi: https://dergipark.org.tr/en/pub/uaifd/
70. Yalpar, A. (2014). İslami finans. İstanbul: Scala Yayıncılık.
71. Zhen, X.H., Mawoko, T.M. and Benjamin, T. (2020). Non-performing loans and its impact on lending rate in the banking sector of Ghana. International Journal of Information, Business and Management, 12(2), 115–139. Retrieved from http://irep.iium.edu.my/
72. Zheng, C., Bhowmik, P.K. and Sarker, N. (2019). Industry-specific and macroeconomic determinants of non-performing loans: A comparative analysis of ARDL and VECM. Sustainability, 12(1), 325. https://doi.org/10.3390/su12010325