DO MACROECONOMIC VARIABLES HAVE A SYMMETRIC OR ASYMMETRIC EFFECT ON NON-PERFORMING LOANS? EVIDENCE FROM TURKEY
In this study, the existence of therelationships between non-performing loans and macroeconomic variables for themonthly data of the Turkish banking sector between January 2005 and August 2018were analysed through the Johansen cointegration test (1991), VECM Grangercausality test (1988) and Hatemi-J...
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Mehmet Akif Ersoy University
2019-08-01
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| Series: | Mehmet Akif Ersoy Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi |
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| Online Access: | https://dergipark.org.tr/en/download/article-file/791627 |
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| author | Mehmet Erdaş |
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| collection | DOAJ |
| description | In this study, the existence of therelationships between non-performing loans and macroeconomic variables for themonthly data of the Turkish banking sector between January 2005 and August 2018were analysed through the Johansen cointegration test (1991), VECM Grangercausality test (1988) and Hatemi-J asymmetric causality test (2012). Theresults of the Johansen cointegration test indicated that there are significantcointegration relationships between the variables in long-run. According toGranger causality test based on VECM, unidirectional causalities exists betweennon-performing loans, market capitalisation, exchange rate, industrialproduction index and foreign trade deficit. Except for market capitalization,those causality relationships were determined to be directed from themacroeconomic variables to NPLs. Under Hatemi-J (2012) asymmetric causalitytest, the results revealed that there exists asymmetric causality relationbetween NPLs and other macroeconomic variables excluding the consumer priceindex. It is possible to verify as a result of the analysis that the causalityrelationships between the variables differ and NPLs are affected as long as themacroeconomic conditions change. The results also revealed that the NPLs in theTurkish banking sector are different before and after the recent globalfinancial crisis. |
| format | Article |
| id | doaj-art-e199dbed62ae45d5828e720294ebb430 |
| institution | Kabale University |
| issn | 2149-1658 |
| language | English |
| publishDate | 2019-08-01 |
| publisher | Mehmet Akif Ersoy University |
| record_format | Article |
| series | Mehmet Akif Ersoy Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi |
| spelling | doaj-art-e199dbed62ae45d5828e720294ebb4302025-01-27T14:14:53ZengMehmet Akif Ersoy UniversityMehmet Akif Ersoy Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi2149-16582019-08-016237039210.30798/makuiibf.518076273DO MACROECONOMIC VARIABLES HAVE A SYMMETRIC OR ASYMMETRIC EFFECT ON NON-PERFORMING LOANS? EVIDENCE FROM TURKEYMehmet Erdaş0https://orcid.org/0000-0001-6594-4262AKDENİZ ÜNİVERSİTESİIn this study, the existence of therelationships between non-performing loans and macroeconomic variables for themonthly data of the Turkish banking sector between January 2005 and August 2018were analysed through the Johansen cointegration test (1991), VECM Grangercausality test (1988) and Hatemi-J asymmetric causality test (2012). Theresults of the Johansen cointegration test indicated that there are significantcointegration relationships between the variables in long-run. According toGranger causality test based on VECM, unidirectional causalities exists betweennon-performing loans, market capitalisation, exchange rate, industrialproduction index and foreign trade deficit. Except for market capitalization,those causality relationships were determined to be directed from themacroeconomic variables to NPLs. Under Hatemi-J (2012) asymmetric causalitytest, the results revealed that there exists asymmetric causality relationbetween NPLs and other macroeconomic variables excluding the consumer priceindex. It is possible to verify as a result of the analysis that the causalityrelationships between the variables differ and NPLs are affected as long as themacroeconomic conditions change. The results also revealed that the NPLs in theTurkish banking sector are different before and after the recent globalfinancial crisis.https://dergipark.org.tr/en/download/article-file/791627credit risknon-performing loansmacrooecnomic factorsjohansen cointegration analysiskredi riskitakipteki kredilermakroekonomik faktörlerjohansen eşbütünleşme analizisimetrik ve asimetrik nedensellik testi |
| spellingShingle | Mehmet Erdaş DO MACROECONOMIC VARIABLES HAVE A SYMMETRIC OR ASYMMETRIC EFFECT ON NON-PERFORMING LOANS? EVIDENCE FROM TURKEY Mehmet Akif Ersoy Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi credit risk non-performing loans macrooecnomic factors johansen cointegration analysis kredi riski takipteki krediler makroekonomik faktörler johansen eşbütünleşme analizi simetrik ve asimetrik nedensellik testi |
| title | DO MACROECONOMIC VARIABLES HAVE A SYMMETRIC OR ASYMMETRIC EFFECT ON NON-PERFORMING LOANS? EVIDENCE FROM TURKEY |
| title_full | DO MACROECONOMIC VARIABLES HAVE A SYMMETRIC OR ASYMMETRIC EFFECT ON NON-PERFORMING LOANS? EVIDENCE FROM TURKEY |
| title_fullStr | DO MACROECONOMIC VARIABLES HAVE A SYMMETRIC OR ASYMMETRIC EFFECT ON NON-PERFORMING LOANS? EVIDENCE FROM TURKEY |
| title_full_unstemmed | DO MACROECONOMIC VARIABLES HAVE A SYMMETRIC OR ASYMMETRIC EFFECT ON NON-PERFORMING LOANS? EVIDENCE FROM TURKEY |
| title_short | DO MACROECONOMIC VARIABLES HAVE A SYMMETRIC OR ASYMMETRIC EFFECT ON NON-PERFORMING LOANS? EVIDENCE FROM TURKEY |
| title_sort | do macroeconomic variables have a symmetric or asymmetric effect on non performing loans evidence from turkey |
| topic | credit risk non-performing loans macrooecnomic factors johansen cointegration analysis kredi riski takipteki krediler makroekonomik faktörler johansen eşbütünleşme analizi simetrik ve asimetrik nedensellik testi |
| url | https://dergipark.org.tr/en/download/article-file/791627 |
| work_keys_str_mv | AT mehmeterdas domacroeconomicvariableshaveasymmetricorasymmetriceffectonnonperformingloansevidencefromturkey |