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Journals / Ege Akademik Bakış / 2015 / Cilt: 15 - Sayı: 3

Takipteki Krediler, Makroekonomik ve Banka Özellikli Faktörler Arasındaki Uzun ve Kısa Dönemli İlişkiler: Türkiye için Ampirik bir Analiz

Short Term and Long Term Linkages among Nonperforming Loans, Macroeconomic and BankSpecific Factors: An Empirical Analysis for Turkey

İsmail Cem ÖZGÜLER
Gülin VARDAR
Pages
313–325
Publication Date
2022-10-12
DOI
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

The results show that there exists consistent and strong long-run relationship among the nonperforming loans, macroeconomic variables and bank-specific factors.

📌 3 Key Takeaways

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Objective & Hypothesis:This paper investigates the linkages among the nonperforming loans and different macroeconomic and bank-specific factors in the Turkish banking sector over the period 2007-2013.
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Key Findings & Data:The long run relationship among the non-performing loans and these variables is analyzed by using Johansen-Juselius (1990) cointegration tests; short-run dynamics is tested through Granger Causality test, and the direction of the causality, through the Vector Error Correction Model (VECM).
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Conclusion & Impact:The results show that there exists consistent and strong long-run relationship among the nonperforming loans, macroeconomic variables and bank-specific factors.
🔬Design:Modeling & Simulation
📍Scope:2007-2013 Verileri
⚙️Variables:Domain Parameters

Abstract

This paper investigates the linkages among the nonperforming loans and different macroeconomic and bank-specific factors in the Turkish banking sector over the period 2007-2013. The study is motivated by the hypothesis that both different macroeconomic and bank-specific variables have an effect on the quality of the loans. The long run relationship among the non-performing loans and these variables is analyzed by using Johansen-Juselius (1990) cointegration tests; short-run dynamics is tested through Granger Causality test, and the direction of the causality, through the Vector Error Correction Model (VECM). The results show that there exists consistent and strong long-run relationship among the nonperforming loans, macroeconomic variables and bank-specific factors. However, the short-term causal relationships are considerably limited, and, where they exist, especially unidirectional.

Özet

Türk Bankacılık sektöründe 2007-2013 yılları itibariyle takipteki krediler ile takipteki kredilerin belirleyicileri arasındaki ilişkiyi araştırmayı amaçlayan bu çalışma, hem makroekonomik hem de banka-özellikli değişkenlerin kredilerin kalitesi üzerinde etkisi olduğu hipotezi üzerine kurgulanmıştır. Takipteki kredileri etkileyen banka-özellikli değişkenler, banka kartlarının hacmi, toplam tasarruf mevduatı; makroekonomik değişkenler ise TCMB gecelik borç verme faiz oranı, işsizlik oranı, enflasyon, kişi başına GSYİH ve cari açık olarak tespit edilmiştir. Seriler arasındaki uzun dönemli dinamik ilişki Johansen-Juselius (1990) eşbütünleşme testleri ile kısa dönemli ilişki Granger Nedensellik testi ile nedenselliğin yönü ise Vektör Hata Düzeltme Modeli kullanılarak kullanılarak test edilmiştir. Çalışmanın bulguları, Türk Bankacılık sektöründe takipteki krediler ve belirleyicileri arasında tutarlı ve uzun dönemli bir ilişkinin var olduğunu göstermektedir. Vektör Hata Düzeltme Modeli kullanılarak yapılan Granger nedensellik testleri, kısa dönemli ilişkinin olduğu durumlarda ilişkinin tek yönlü olduğunu ortaya koymaktadır.

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Cite This Article

ÖZGÜLER, İ. C., VARDAR, G. (2022). Takipteki Krediler, Makroekonomik ve Banka Özellikli Faktörler Arasındaki Uzun ve Kısa Dönemli İlişkiler: Türkiye için Ampirik bir Analiz. Ege Akademik Bakış, Cilt: 15 - Sayı: 3, 313–325. https://ajindex.com/articles/495310

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