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Journals / Uluslararası İşletme ve Ekonomi Çalışmaları Dergisi / 2021 / Cilt: 3 - Sayı: 1

Macroeconomic Factors Affecting the Volume of Consumer-Based Problem Loans in Turkey: Analysis through Econometric Methods with Structural Breaks

Cavid SÜLEYMANLI
Pages
1–16
Publication Date
2021-08-17
DOI
—
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AI Summary & Key Takeaways

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

In addition, Hacker-Hatemi-J Bootstrap causality test was applied, and a one-way relationship from problematic credit volume to CPI, one-way relationship from loan interest and total loan volume to problem loan volume, and a two-way relationship between public expenditures and problem loan volume were found.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:In the study, an empirical application was conducted to examine the macroeconomic factors affecting the problematic loan volume, taking into account the structural breaks and using current time series methods.
📊
Key Findings & Data:Explanatory variables such as loan interest, real effective exchange rate and public spending were used.
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Conclusion & Impact:In addition, Hacker-Hatemi-J Bootstrap causality test was applied, and a one-way relationship from problematic credit volume to CPI, one-way relationship from loan interest and total loan volume to problem loan volume, and a two-way relationship between public expenditures and problem loan volume were found.
🔬Design:Modeling & Simulation
📍Scope:2012 Verileri
⚙️Variables:Non-performing loans · unit root tests with the structural break · maki

Abstract

In the study, an empirical application was conducted to examine the macroeconomic factors affecting the problematic loan volume, taking into account the structural breaks and using current time series methods. Explanatory variables such as loan interest, real effective exchange rate and public spending were used. Both conventional and structural break unit root tests were applied to examine the stationarities of the variables. The long-term relationship between the variables was examined with the Maki (2012) test with structural break and a cointegration matrix was found according to all 4 models. The structural break dates found to explain the economic shocks experienced in Turkey’s economy for the relevant months. The long-term relationship between variables was estimated with the FMOLS methods. According to the estimator results, while CPI and public expenditures variables were found to be statistically insignificant, a positive relationship was found between all the other variables and the dependent variable. In addition, Hacker-Hatemi-J Bootstrap causality test was applied, and a one-way relationship from problematic credit volume to CPI, one-way relationship from loan interest and total loan volume to problem loan volume, and a two-way relationship between public expenditures and problem loan volume were found.

Özet

In the study, an empirical application was conducted to examine the macroeconomic factors affecting the problematic loan volume, taking into account the structural breaks and using current time series methods. Explanatory variables such as loan interest, real effective exchange rate and public spending were used. Both conventional and structural break unit root tests were applied to examine the stationarities of the variables. The long-term relationship between the variables was examined with the Maki (2012) test with structural break and a cointegration matrix was found according to all 4 models. The structural break dates found to explain the economic shocks experienced in Turkey’s economy for the relevant months. The long-term relationship between variables was estimated with the FMOLS methods. According to the estimator results, while CPI and public expenditures variables were found to be statistically insignificant, a positive relationship was found between all the other variables and the dependent variable. In addition, Hacker-Hatemi-J Bootstrap causality test was applied, and a one-way relationship from problematic credit volume to CPI, one-way relationship from loan interest and total loan volume to problem loan volume, and a two-way relationship between public expenditures and problem loan volume were found.

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Cite This Article

SÜLEYMANLI, C. (2021). Macroeconomic Factors Affecting the Volume of Consumer-Based Problem Loans in Turkey: Analysis through Econometric Methods with Structural Breaks. Uluslararası İşletme ve Ekonomi Çalışmaları Dergisi, Cilt: 3 - Sayı: 1, 1–16. https://ajindex.com/articles/817176

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