CYCLICAL INTERACTS OF CREDIT RISK AND CREDIT-TO-GDP GAP IN EMERGING MARKET ECONOMIES

Yıl 2018, Cilt: 5 Sayı: 2, 31 - 46, 01.07.2018

Kaşif Batu Tunay , Necla Tunay , Akhisar İlyas

Öz

In the study, how the
non-performing bank loans and the credit-to-GDP gap affected the economic and
financial cycles in the emerging market economies were investigated. Especially
the interactions of the non-performing loans and the credit-to-GDP gap with the
variables reflecting the economic activity volume is emphasized. A panel data
set compiled from 20 emerging market economies and consisting of annual data
covering the period 1999-2014 has been analyzed. The panel VAR method developed
by Cagala and Glogowsky (2012) is used as the analysis method. Findings confirm
that bank loans have profound effects on economic activity volume and financial
asset prices. On the other hand, it is also determined that this interaction is
reciprocal. According to the findings, non-performing loans are severely
affected by possible financial and real shocks. Likewise, the likelihood that
credit shocks will cause serious fluctuations in both the real and financial
economy has been determined. The credit-to-GDP gap, which is seen as a leading
indicator of systemic bank crises, is also sensitive to real and financial
shocks.

Anahtar Kelimeler

Credit risk, credit-to-GDP gap, cyclicality, panel VAR models

YÜKSELEN PİYASA EKONOMİLERİNDE ŞÜPHELİ BANKA KREDİLERİ VE KREDİ AÇIĞININ DÖNGÜSEL ETKİLEŞİMLERİ

Öz

Çalışmada yükselen
piyasa ekonomilerinde şüpheli banka kredileri ve kredi açığının ekonomik ve
finansal döngülerden nasıl etkilendiği araştırılmıştır. Bu çerçevede şüpheli
krediler ile kredi açığının ekonomik faaliyet hacmini yansıtan değişkenlerle
karşılıklı etkileşimleri üzerinde durulmuştur. 20 yükselen ekonomiden derlenen
1999-2014 dönemi yıllık verilerinden meydana gelen bir panel veri seti analiz
edilmiştir. Analiz yöntemi olarak Cagala ve Glogowsky’nin (2012)
geliştirdikleri panel VAR yöntemi kullanılmıştır. Elde edilen bulgular, banka
kredilerinin ekonomik faaliyet hacmi ve finansal varlık fiyatları üzerindeki
derin etkileri olduğu görüşünü doğrular niteliktedir. Öte yandan bu etkileşim
tek yönlü değil, karşılıklıdır. Şüpheli kredilerin olası finansal ve reel
şoklardan şiddetli bir şekilde olumsuz etkilendiği saptanmıştır. Benzer şekilde
bu değişkende gözlenebilecek şokların hem reel hem de finansal ekonomide ciddi
dalgalanmalara neden olması olasılığı belirlenmiştir. Sistemik banka
krizlerinin öncü bir göstergesi olarak gösterilen kredi açığı da reel ve
finansal şoklara duyarlıdır. 

Anahtar Kelimeler

Kredi riski, kredi açığı, döngüsellik, panel VAR modelleri

Kaynakça

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