Year 2019, Volume 6 , Issue 2, Pages 370 - 392 2019-08-29

MAKROEKONOMİK DEĞİŞKENLER TAKİPTEKİ KREDİLER ÜZERİNDE SİMETRİK VEYA ASİMETRİK BİR ETKİ YARATIR MI? TÜRKİYE ÖRNEĞİ
DO MACROECONOMIC VARIABLES HAVE A SYMMETRIC OR ASYMMETRIC EFFECT ON NON-PERFORMING LOANS? EVIDENCE FROM TURKEY

Mehmet ERDAŞ [1]


Bu çalışmada, Türk bankacılık sektörünün Ocak 2005 ile Ağustos 2018 dönemine ait aylık verileri için takipteki krediler ile makroekonomik değişkenler arasındaki ilişkinin varlığı Johansen eşbütünleşme (1991), VECM Granger nedensellik (1988) ve Hatemi-J (2012) asimetrik nedensellik testleri kullanılarak analiz edilmiştir. Johansen eşbütünleşme sonuçları, anlamlı eşbütünleşme ilişkilerinin değişkenler arasındaki uzun dönemde var olduğunu göstermiştir. VECM’e dayalı Granger nedensellik testine göre, takipteki krediler, piyasa kapitalizasyonu, döviz kuru, sanayi üretim endeksi ve dış ticaret açığı arasında tek yönlü nedensellik ilişkisi olduğu tespit edilmiştir. Bu nedenselllik ilişkisinin piyasa kapitalizasyonu hariç makroekonomik değişkenlerden takipteki kredilere doğru olduğu belirlenmiştir. Hatemi-J asimetrik nedensellik testine göre, bulgular tüketici fiyat endeksi hariç takipteki krediler ile diğer makroekonomik değişkenler arasında asimetrik nedensellik ilişkisi olduğunu ortaya koymuştur. Analiz sonuçları değişkenler arasında nedensellik ilişkilerinin farklılaştığını ve makroekonomik koşullar değiştikçe takipteki kredilerin etkilendiğini kanıtlar niteliktedir. Bulgular ayrıca Türk bankacılık sistemindeki takipteki kredilerin son küresel finansal kriz öncesi ve sonrası dönemde farklılaştığını ortaya koymuştur.

In this study, the existence of the relationships between non-performing loans and macroeconomic variables for the monthly data of the Turkish banking sector between January 2005 and August 2018 were analysed through the Johansen cointegration test (1991), VECM Granger causality test (1988) and Hatemi-J asymmetric causality test (2012). The results of the Johansen cointegration test indicated that there are significant cointegration relationships between the variables in long-run. According to Granger causality test based on VECM, unidirectional causalities exists between non-performing loans, market capitalisation, exchange rate, industrial production index and foreign trade deficit. Except for market capitalization, those causality relationships were determined to be directed from the macroeconomic variables to NPLs. Under Hatemi-J (2012) asymmetric causality test, the results revealed that there exists asymmetric causality relation between NPLs and other macroeconomic variables excluding the consumer price index. It is possible to verify as a result of the analysis that the causality relationships between the variables differ and NPLs are affected as long as the macroeconomic conditions change. The results also revealed that the NPLs in the Turkish banking sector are different before and after the recent global financial crisis.

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Primary Language en
Subjects Social
Journal Section Research Articles
Authors

Orcid: 0000-0001-6594-4262
Author: Mehmet ERDAŞ (Primary Author)
Institution: AKDENİZ ÜNİVERSİTESİ
Country: Turkey


Dates

Publication Date : August 29, 2019

APA ERDAŞ, M . (2019). DO MACROECONOMIC VARIABLES HAVE A SYMMETRIC OR ASYMMETRIC EFFECT ON NON-PERFORMING LOANS? EVIDENCE FROM TURKEY. Mehmet Akif Ersoy Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi , 6 (2) , 370-392 . DOI: 10.30798/makuiibf.518076