Real Sector Factors Affecting the Loan Qualıty of Banking

Öz

In this study, the factors from real sector affecting the loan quality or non-performing loans of banks has been investigated for the Turkish banking sector. For this purpose, the ratios calculated over the consolidated financial statements of the real sector or a consolidated data of the real sector and the ratio of non-performing loans (non-performing loans to total loans) between 2010 and 2019 are utilised in the analysis. We used the least squares Prais-Winsten transformation and the Theil-Nagar transformation for small samples in our analysis. As a result, a negative relationship was found between the capacity utilization rate, stock turnover rate and return on asset of real sector firms and non-performing loans, and a positive relationship between real sector firms' current ratio, short-term foreign currency assets, housing sales and non-performing loans.

Anahtar Kelimeler

• Asset Quality
• Loan Quality
• Non-performing Loans
• Reel Sector
• NPL

Bankalarda Kredi Kalitesini Etkileyen Reel Sektör Faktörleri

Öz

Bu çalışmada; reel sektöre ait faktörlerin Türk bankacılık sektöründeki kredi kalitesi veya takipteki kredilere olan etkisi araştırılmıştır. Bu amaca yönelik olarak 2010-2019 yılları arasında reel sektörün konsolide mali tabloları üzerinden hesaplanmış oranlar veya reel sektöre ait bazı konsolide veriler ile takipteki kredilerin toplam kredilere olan oranı analizlere dahil edilmiştir. Analizlerimiz için en küçük kareler Prais-Winsten dönüşümü ve küçük örnekler için Theil-Nagar dönüşümü yöntemi kullanılmıştır. Yapılan analizler sonucunda, reel sektör firmalarının kapasite kullanım oranı, stok devir hızı ve aktif karlılığı ile takipteki krediler arasında negatif, reel sektör firmalarının cari oranı, kısa vadeli yabancı para cinsinden varlıkları ve konut satışları ile takipteki krediler arasında pozitif ilişki tespit edilmiştir.

Anahtar Kelimeler

• Aktif Kalitesi
• Sorunlu Krediler
• Tahsili Gecikmiş Alacaklar
• Reel Sektör
• NPL
• Takipteki Krediler

Kaynakça

1. Abid, L., Ouertani, M. N., & Zouari-Ghorbel, S. (2014). Macroeconomic ve Bank-Specific Determinants of Household's Non-Performing Loans in Tunisia: A Dynamic Panel Data. Procedia Economics and Finance, 13, 58-68. doi:10.1016/S2212-5671(14)00430-4
2. Ahmed, S., Majeed, M. E., Thalassinos, E., & Thalassinos, Y. (2021). The Impact of Bank Specific and Macro-Economic Factors on Non-Performing Loans in the Banking Sector: Evidence from an Emerging Economy. Journal of Risk and Financial Management, 14(5), 217. doi:10.3390/jrfm14050217
3. Alp, O. S., Babuscu, S., Sunal, O., & Hazar, A. (2016). The Effects of Sales of the Non-Performing Loans to Asset Management Companies on Bank Efficiency. Journal of Economics, Finance and Accounting, 3(4), 345-345. doi:10.17261/pressacademia.2016.348
4. Altunbas, Y., Liu, M.-H., Molyneux, P., & Seth, R. (2000). Efficiency and Risk in Japanese Banking. Journal of Banking & Finance, 24(10), 1605-1628. doi:10.1016/S0378-4266(99)00095-3
5. Amuakwa-Mensah, F., & Boakye-Adjei, A. (2015). Determinants of Non-Performing Loans in Ghana Banking Industry. Int. J. Computational Economics and Econometrics, 5(1), 35-54. doi:10.1504/IJCEE.2015.066207
6. Apan, M., & İslamoğlu, M. (2019). Determining the Relationship between Non-Performing Loans, Economic Growth, and Asset Size: An Application in Turkish Participation Banking Sector. Afro Eurasian Studies, 8(1), 106-123. doi:10.33722/afes.494510
7. Ayhan, F., & Kartal, M. T. (2021). The Macro Economic Drivers of Non-Performing Loans (Npl): Evidence from Selected Countries with Heterogeneous Panel Analysis. MANAS Sosyal Araştırmalar Dergisi, 986-999. doi:10.33206/mjss.800648
8. Baboucek, I., & Jancar, M. (2005). Effects of Macroeconomic Shocks to the Quality of the Aggregate Loan Portfolio. Working Paper. Czech National Bank. Prague, Chech Republic.

9. Barr, R. S., & Siems, T. F. (1994). Predicting Bank Failure Using DEA to Quantify Management Quality. Working Papers. Federal Reserve Bank of Dallas. Dallas, USA.
10. Beck, R., Jakubik, P., & 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. Berger, A. N., & DeYoung, R. (1997). Problem Loans and Cost Efficiency in Commercial Banks. Journal of Banking & Finance, 21(6), 849–870. doi:10.1016/s0378-4266(97)00003-4
12. Bernanke, B. S., Gertler, M., & Gilchrist, S. (1999). The Financial Accelerator in a Quantitative Business Cycle Framework. Handbook of Macroeconomics, 1, 1341-1393.
13. Bernanke, B. S., Lown, C. S., & Friedman, B. M. (1991). The Credit Crunch. Brookings Papers on Economic Activity, 1991(2), 205–247. doi:10.2307/2534592
14. Breuer, J. B. (2006). Problem Bank Loans, Conflicts of Interest, and Institutions. Journal of Financial Stability, 2(3), 266-285. doi:10.1016/j.jfs.2006.07.001
15. Breusch, T. S. (1978). Testing for Autocorrelation in Dynamic Linear Models. Australian Economic Papers, 17(31), 334-355. doi:10.1111/j.1467-8454.1978.tb00635.x
16. Breusch, T. S., & Pagan, A. R. (1979). A Simple Test for Heteroscedasticity and Random Coefficient Variation. Econometrica, 47(5), 1287. doi:10.2307/1911963
17. Cook, R. D., & Weisberg, S. (1983). Diagnostics for Heteroscedasticity in Regression. 70(1), 1. doi:10.2307/2335938
18. Ćurak, M., Pepur, S., & Poposki, K. (2013). Determinants of Non-Performing Loans–Evidence from Southeastern Banking Systems. Banks & Bank System, 8(1), 45–54.
19. Dash, M. K., & Kabra, G. (2010). The Determinants of Non-Performing Assets in Indian Commercial Bank:An Econometric Study. Middle Eastern Finance and Economics, 7(2), 94–106.
20. Demirguc-Kunt, A. (1989). Deposit-Institution Failures: A Review of Empirical Literature. Economic Review-Federal Reserve Bank of Cleveland, 25(4), 2–18.
21. Espinoza, R. A., & Prasad, A. (2010). Nonperforming Loans in the GCC Banking System and Their Macroeconomic Effects. International Monetary Fund. Fan, L., & Shaffer, S. (2004). Efficiency Versus Risk in Large Domestic US Banks. Managerial Finance, 30(9), 1-19. doi:10.1108/03074350410769245
22. Fiordelisi, F., Marques-Ibanez, D., & Molyneux, P. (2011). Efficiency and Risk in European Banking. Journal of Banking & Finance, 35(5), 1315-1326. doi:10.1016/j.jbankfin.2010.10.005
23. Fofack, H. (2005). Nonperforming Loans in Sub-Saharan Africa:Causal Analysis and Macroeconomic Implications. Policy Research Working Paper. Worldbank. USA.
24. Gambera, M. (2000). Simple Forecasts of Bank Loan Quality in the Business Cycle. Emerging Issues. Federal Reserve Bank of Chicago. Chicago, USA.
25. García-Marco, T., & Robles-Fernández, M. D. (2008). Risk-taking behaviour and ownership in the banking industry: The Spanish evidence. Journal of Economics and Business, 60(4), 332-354.
26. Girardone, C., Molyneux, P., & Gardener, E. P. (2004). Analysing the Determinants of Bank Efficiency: The Case of Italian Banks. Applied Economics, 36(3), 215-227. doi:10.1080/0003684042000175334
27. Godfrey, L. G. (1978). Testing against General Autoregressive and Moving Average Error Models When the Regressors Include Lagged Dependent Variables. Econometrica, 46(6), 1293-1301. doi:10.2307/1913829
28. Goldstein, M., & Turner, P. (1996). Banking Crises in Emerging Economies: Origins and Policy Options. Trade Currencies and Finance, 301-363. doi:10.1142/9789814749589_0008
29. Ha, D. T., & 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
30. Isik, O., & Bolat, S. (2016). Determinants of Non-Performing Loans of Deposit Banks in Turkey. Journal of Business, Economics and Finance, 5(4), 341-350. doi:10.17261/pressacademia.2017.356
31. Jakubik, P., & Kadioglu, E. (2021). Factors Affecting Bank Loan Quality: A Panel Analysis of Emerging Markets. International Economics and Economic Policy. doi:10.1007/s10368-021-00520-7
32. Kadioglu, E., Telceken, N., & Ocal, N. (2017). Effect of the Asset Quality on the Bank Profitability. International Journal of Economics and Finance, 9(7), 60-69. doi:10.5539/ijef.v9n7p60
33. Kadıoğlu, E., & Telçeken, N. (2017). Bankalarda Aktif Kalitesini Belirleyen Makro Faktörler. 21. Finans Sempozyumu, Balıkesir/Türkiye.
34. Kaminsky, G. L., & Reinhart, C. M. (1999). The Twin Crises: The Causes of Banking and Balance-of-Payments Problems. American Economic Review, 89(3), 473-500. doi:10.1257/aer.89.3.473
35. Karadima, M., & 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
36. Kartal, M. T., Kirikkaleli, D., & Ayhan, F. (2021). Nexus between Non-Performing Loans and Economic Growth in Emerging Countries: Evidence from Turkey with Wavelet Coherence Approach. International Journal of Finance & Economics, n/a(n/a). doi:10.1002/ijfe.2474
37. Kartikasary, M., Marsintauli, F., Serlawati, E., & Laurens, S. (2020). Factors Affecting the Non-Performing Loans in Indonesia. Accounting, 97-106. doi:10.5267/j.ac.2019.12.003
38. Khemraj, T., & Pasha, S. (2009). The Determinants of Non-Performing Loans: An Econometric Case Study of Guyana. Munich Personal RePEc Archive. Munich, Germany.
39. Klein, N. (2013). Non-Performing Loans in CESEE: Determinants and Impact on Macroeconomic Performance. Working Paper. IMF. USA. Doi:10.5089/9781484318522.001
40. Lee, J., & Rosenkranz, P. (2020). Nonperforming Loans in Asia: Determinants and Macrofinancial Linkages. In B. N. Jeon & J. Wu (Eds.), Emerging Market Finance: New Challenges and Opportunities (Vol. 21, pp. 33-53): Emerald Publishing Limited.
41. Li, H., Rozelle, S., & Zhou, L. A. (2007). Incentive Contracts and Bank Performance. Economics of Transition, 15(1), 109-124. doi:10.1111/j.1468-0351.2007.00273.x
42. Louzis, D. P., Vouldis, A. T., & Metaxas, V. L. (2012). Macroeconomic and Bank-Specific Determinants of Non-Performing Loans in Greece: A Comparative Study of Mortgage, Business and Consumer Loan Portfolios. Journal of Banking & Finance, 36(4), 1012-1027. doi:10.1016/j.jbankfin.2011.10.012
43. Makri, V., Tsagkanos, A., & Bellas, A. (2014). Determinants of Non-Performing Loans: The Case of Eurozone. Panoeconomicus, 61(2), 193–206. doi:10.2298/PAN1402193M
44. McNulty, J. E., Akhigbe, A. O., & Verbrugge, J. A. (2001). Small Bank Loan Quality in a Deregulated Environment: The Information Advantage Hypothesis. Journal of Economics and Business, 53(2-3), 325-339. doi:10.1016/S0148-6195(00)00050-3
45. Messai, A. S., & Jouini, F. (2013). Micro and Macro Determinants of Non-Performing Loans. International Journal of Economics and Financial Issues, 3(4), 852–860.
46. Nkusu, M. (2011). Nonperforming Loans and Macrofinancial Vulnerabilities in Advanced Economies. IMF Working Paper. International Monetary Fund. USA. Doi:10.5089/9781455297740.001
47. Pastory, D. (2021). The Determinants of Non-Performing Loans in Commercial Banks. In Sustainable Education and Development (pp. 394-409): Springer International Publishing.
48. Pirgaip, B., & Uysal, A. (2021). Does the Trading Volume of Asset Management Companies’ Bonds Contain Information on Non-Performing Loans? Borsa Istanbul Review. doi:10.1016/j.bir.2021.06.009
49. Podpiera, J., & Weill, L. (2008). Bad Luck or Bad Management? Emerging Banking Market Experience. Journal of Financial Stability, 4(2), 135-148. doi:10.1016/j.jfs.2008.01.005
50. Prais, S.J. & Winsten, C.B. (1954) Trend Estimates and Serial Correlation. Cowles Commission Discussion Paper, Stat. No. 383, University of Chicago, Chicago.
51. Quagliariello, M. (2003). Are Macro-Economic Indicators Useful in Predicting Bank Loan Quality:Evidence from Italy. Working Paper. Banca d’Italia. Roma, Italy.
52. Radivojevic, N., & Jovovic, J. (2017). Examining of Determinants of Non-Performing Loans. Prague Economic Papers, 26(3), 300–316. doi:10.18267/j.pep.615
53. Saba, I., Kouser, R., & Azeem, M. (2012). Determinants of Non Performing Loans: Case of US Banking Sector. The Romanian Economic Journal, 44(6), 125–136.
54. Salas, V., & Saurina, J. (2002). Credit Risk in Two Institutional Regimes: Spanish Commercial and Savings Banks. Journal of Financial Services Research, 22(3), 203-224.
55. Saurina, J., & Jimenez, G. (2006). Credit Cycles, Credit Risk, and Prudential Regulation. International Journal of Central Banking, 2(2), 65-98.
56. Shu, C. (2002). The Impact of Macroeconomic Environment on the Asset Quality of Hong Kong’s Banking Sector. Hong Kong Monetary Authority Research Memorandums, 1-26.
57. Škarica, B. (2014). Determinants of Non-Performing Loans in Central and Eastern European Countries. Financial Theory and Practice, 38(1), 37–59. doi:10.3326/fintp.38.1.2
58. Tanasković, S., & 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
59. Tatoğlu, F. Y. (2020). Ekonometri: Stata Uygulamalı. İstanbul: Beta Yayınevi.
60. Theil, H., & Nagar, A. L. (1961). Testing the Independence of Regression Disturbances. Journal of the American Statistical Association, 56(296), 793-806.
61. Tsai, D., & Huang, F. (1999). Management Quality and Bank Efficiency: Empirical Evidence for Taiwanese Banks. Management Review, 18(3), 35-55.
62. 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
63. 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
64. Whalen, G. (1991). A Proportional Hazards Model of Bank Failure: An Examination of Its Usefulness as an Early Warning Tool. Economic Review-Federal Reserve Bank of Cleveland, 27(1), 21–31.
65. Williamson, S. (1987). Financial Intermediation, Business Failures, and Real Business Cycles. Journal of Political Economy, 95(6), 1196-1216. doi:10.1086/261511
66. Zheng, C., Bhowmik, P. K., & Sarker, N. (2019). Industry-Specific and Macroeconomic Determinants of Non-Performing Loans: A Comparative Analysis of ARDL and VECM. Sustainability, 12(1), 325. doi:10.3390/su12010325