DO MACROECONOMIC VARIABLES HAVE A SYMMETRIC OR ASYMMETRIC EFFECT ON NON-PERFORMING LOANS? EVIDENCE FROM TURKEY

Year 2019, Volume: 6 Issue: 2, 370 - 392, 29.08.2019

Mehmet Erdaş

https://doi.org/10.30798/makuiibf.518076

Cited By: 7

Abstract

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.

Keywords

Credit Risk, Non-Performing Loans, Macrooecnomic Factors, Johansen Cointegration Analysis

MAKROEKONOMİK DEĞİŞKENLER TAKİPTEKİ KREDİLER ÜZERİNDE SİMETRİK VEYA ASİMETRİK BİR ETKİ YARATIR MI? TÜRKİYE ÖRNEĞİ

Abstract

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.

Keywords

Kredi Riski, Takipteki Krediler, Makroekonomik Faktörler, Johansen Eşbütünleşme Analizi, Simetrik ve Asimetrik Nedensellik Testi

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