THE RELATIONSHIP BETWEEN NON-PERFORMING LOANS AND MACROECONOMIC FACTORS IN TURKEY

Yıl 2021, Cilt: 8 Sayı: 2, 609 - 629, 27.07.2021

Deniz Sevinç

https://doi.org/10.30798/makuiibf.691534

Cited By: 2

Öz

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.

Anahtar Kelimeler

Non-Performing Loans, Growth, Inflation, Unemployment, Exchange Rate, ARDL, Toda-Yamamoto

TÜRKİYE'DE TAKİPTEKİ BANKA KREDİLERİ İLE MAKROEKONOMİK FAKTÖRLER ARASINDAKİ İLİŞKİ

Öz

Takipteki banka kredileri, finansal sistemde yaşanabilecek bir kırılmanın ilk uyarıcısı; olası bir finansal veya ekonomik krizin erken sinyali olarak ifade edilmektedir. Aynı zamanda ekonomide yaşanan gelişmeler neticesinde makroekonomik göstergelerde meydana gelen değişmeler de kredi sahiplerinin ödemelerini etkilemekte; takipteki kredi oranını etkilemektedir. Bu çalışmanın temel amacı, makroekonomik faktörlerin takipteki kredi oranını nasıl etkilediğini araştırmaktır. 2005Q1-2019Q3 dönemini kapsayan çeyreklik verilerle tahmin edilen ARDL Modeli tahmin sonuçlarına göre ekonomik büyüme ve enflasyonun takibe düşen kredi oranı azalttığı; işsizlik ve döviz kurunun ise takipteki kredi oranını artırdığı belirlenmiştir. Toda-Yamamoto nedensellik testi bulgularına göre, tüm değişkenlerden takipteki kredilere doğru bir nedensellik ilişkisi olduğu; işsizlik oranı ile çift yönlü nedensellik ilişkisinin varlığı tespit edilmiştir.

Anahtar Kelimeler

takipteki krediler, ekonomik büyüme, enflasyon, işsizlik, döviz kuru, ARDL, Toda-Yamamoto

Kaynakça

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