Yıl: 2021 Cilt: 6 Sayı: 16 Sayfa Aralığı: 335 - 347 Metin Dili: İngilizce DOI: 10.25204/iktisad.901062 İndeks Tarihi: 30-12-2021

The Effect of Macroeconomic Factors on Non-Performing Loans: A Time Series Analysis for Turkey

Öz:
With the 2008 Global Crisis, Non-performing loans (NPLs) has dramatically increased in both developed and developing countries. The excessive and uncontrolled increase in NPLs caused serious deterioration in the banking system. Particularly, in the countries, such as Turkey, where the banking system has a quite significant place in financial system, the deterioration in the banking system affects not only financial markets but also the economy in a negative way. In this research paper, the association between exchange rate, interest rate, total loan volume and production (output), which are macroeconomic variables expressed as external factors in the literature, and NPLs is investigated for 2008:01-2017:12 period in Turkey. Unrestricted error correction model (UECM) and boundary test approach with the scope of ARDL analysis developed by Pesaran et al. (2001) is applied as an analysis method. Based on the analysis results, it is found that these macroeconomic variables and NPLs are cointegrated. Moreover, there is an economical and statistically significant relationship between interest rate and total loan volume and NPLs in both long and short term. In other words, it is determined that if interest rate and total loan volume increases, NPLs also move in the same direction.
Anahtar Kelime:

Makroekonomik Faktörlerin Sorunlu Krediler Üzerindeki Etkisi: Türkiye İçin Bir Zaman Serisi Analizi

Öz:
2008 Küresel Krizi ile takipteki krediler hem gelişmiş hem de gelişmekte olan ülkelerde önemli ölçüde artmıştır. Sorunlu kredilerdeki aşırı ve kontrolsüz artış, bankacılık sisteminde ciddi bir bozulmaya neden olmuştur. Bankacılık siteminin önemli olduğu Türkiye gibi ülkelerde sistemdeki bozulma sadece finansal piyasaları değil, ekonomiyi bir bütün olarak olumsuz yönde etkilemektedir. Bu çalışmada, literatürde dışsal faktörler olarak ifade edilen makroekonomik değişkenlerden döviz kuru, faiz oranı, toplam kredi hacmi ve üretim ile sorunlu krediler arasındaki ilişki 2008:01-2017:12 dönemi Türkiye için incelenmiştir. Analiz yöntemi olarak Pesaran vd. tarafından geliştirilen ARDL analizi kapsamında sınırsız hata düzeltme modeli (UECM) ve sınır testi yaklaşımı (2001) uygulanmıştır. Analiz sonuçları değerlendirildiğinde, ele alınan makroekonomik değişkenlerin ve sorunlu kredilerin eşbütünleşik olduğu bulunmuştur. Ayrıca, faiz oranı ile toplam kredi hacmi ve sorunlu krediler arasında hem uzun hem de kısa vadede ekonomik ve istatistiksel olarak anlamlı bir ilişki olduğu sonucuna ulaşılmıştır. Yani faiz oranı ve toplam kredi hacmi artarsa sorunlu kredilerin de aynı yönde hareket ettiği tespit edilmiştir.
Anahtar Kelime:

Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık
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APA Baş G, kara m (2021). The Effect of Macroeconomic Factors on Non-Performing Loans: A Time Series Analysis for Turkey. , 335 - 347. 10.25204/iktisad.901062
Chicago Baş Gizem,kara mehmet The Effect of Macroeconomic Factors on Non-Performing Loans: A Time Series Analysis for Turkey. (2021): 335 - 347. 10.25204/iktisad.901062
MLA Baş Gizem,kara mehmet The Effect of Macroeconomic Factors on Non-Performing Loans: A Time Series Analysis for Turkey. , 2021, ss.335 - 347. 10.25204/iktisad.901062
AMA Baş G,kara m The Effect of Macroeconomic Factors on Non-Performing Loans: A Time Series Analysis for Turkey. . 2021; 335 - 347. 10.25204/iktisad.901062
Vancouver Baş G,kara m The Effect of Macroeconomic Factors on Non-Performing Loans: A Time Series Analysis for Turkey. . 2021; 335 - 347. 10.25204/iktisad.901062
IEEE Baş G,kara m "The Effect of Macroeconomic Factors on Non-Performing Loans: A Time Series Analysis for Turkey." , ss.335 - 347, 2021. 10.25204/iktisad.901062
ISNAD Baş, Gizem - kara, mehmet. "The Effect of Macroeconomic Factors on Non-Performing Loans: A Time Series Analysis for Turkey". (2021), 335-347. https://doi.org/10.25204/iktisad.901062
APA Baş G, kara m (2021). The Effect of Macroeconomic Factors on Non-Performing Loans: A Time Series Analysis for Turkey. İktisadi İdari ve Siyasal Araştırmalar Dergisi, 6(16), 335 - 347. 10.25204/iktisad.901062
Chicago Baş Gizem,kara mehmet The Effect of Macroeconomic Factors on Non-Performing Loans: A Time Series Analysis for Turkey. İktisadi İdari ve Siyasal Araştırmalar Dergisi 6, no.16 (2021): 335 - 347. 10.25204/iktisad.901062
MLA Baş Gizem,kara mehmet The Effect of Macroeconomic Factors on Non-Performing Loans: A Time Series Analysis for Turkey. İktisadi İdari ve Siyasal Araştırmalar Dergisi, vol.6, no.16, 2021, ss.335 - 347. 10.25204/iktisad.901062
AMA Baş G,kara m The Effect of Macroeconomic Factors on Non-Performing Loans: A Time Series Analysis for Turkey. İktisadi İdari ve Siyasal Araştırmalar Dergisi. 2021; 6(16): 335 - 347. 10.25204/iktisad.901062
Vancouver Baş G,kara m The Effect of Macroeconomic Factors on Non-Performing Loans: A Time Series Analysis for Turkey. İktisadi İdari ve Siyasal Araştırmalar Dergisi. 2021; 6(16): 335 - 347. 10.25204/iktisad.901062
IEEE Baş G,kara m "The Effect of Macroeconomic Factors on Non-Performing Loans: A Time Series Analysis for Turkey." İktisadi İdari ve Siyasal Araştırmalar Dergisi, 6, ss.335 - 347, 2021. 10.25204/iktisad.901062
ISNAD Baş, Gizem - kara, mehmet. "The Effect of Macroeconomic Factors on Non-Performing Loans: A Time Series Analysis for Turkey". İktisadi İdari ve Siyasal Araştırmalar Dergisi 6/16 (2021), 335-347. https://doi.org/10.25204/iktisad.901062