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Non-Performing Loans and Macro-Financial Linkages: A SVAR Model for Turkey

Yıl 2023, Cilt 24, Sayı 1, 141 - 158, 16.01.2023
https://doi.org/10.37880/cumuiibf.1195747

Öz

Abstract In this article, using the data of the Turkish economy for the period 2003:Q1-2019:Q4, dynamic relationship between nonperforming loans ratio (NPL) and macroeconomic variables is examined with a structural vector autoregressive model. According to the findings of impulse response analysis, increases in credit growth and real GDP growth slow down the NPL increase, while an increase in the lending interest rate accelerates the NPL increase. On the other hand, an increase in the NPL ratio creates negative feedbacks on credit growth and economic growth. In addition, while an increase in GDP growth raises credit growth, an increase in credit growth accelerates GDP growth. On the other hand, an increase in lending rate significantly reduces both credit growth and GDP growth. Therefore, while credit growth and economic growth shocks feed each other positively, a positive lending rate shock affects both credit growth and economic growth negatively. These findings point to the strong macro-financial linkages. Additionally, in the models including asset prices, it is proved that NPL, inflation rate and lending rate react positively to an increase in nominal Dollar/TL exchange rate, while credit growth reacts it negatively. It is also proved that NPL and lending rate react negatively to an increase in real BIST100 return, while credit growth and economic growth respond it positively. Furthermore, it is shown that a decrease in credit growth has a positive impact on nominal Dollar/TL rate, while a decrease in lending rate has a positive impact on real BIST100 return. These results show that movements in asset prices play an important role in emergence of the macro-financial linkages.

Kaynakça

  • Anita, S.S., Tasnova, N. ve Nawar, N. (2022). Are Non‑Performing Loans Sensitive to Macroeconomic Determinants? An Empirical Evidence from Banking Sector of SAARC Countries. Future Business Journal, 8(7), 1-16.
  • Banerjee, S. ve Murali, D. (2017). Stress Test of Banks in India Across Ownerships: A VAR Approach. Studies in Economics and Finance, 34(4), 527-554.
  • Baş, G. ve Kara, M. (2020). Türkiye’de Döviz Kuru ile Sorunlu Krediler İlişkisi: Bir Zaman Serisi Analizi. Kafkas Üniversitesi İİBF Dergisi, 11(22), 997-1023.
  • Beaton, K., Myrvoda, A. ve Thompson, S. (2016). Non-Performing Loans in the ECCU: Determinants and Macroeconomic Impact. IMF Working Paper, No. 16/229.
  • Beck, R., Jakubik, P. ve Piloiu, A. (2015). Key Determinants of Non-performing Loans: New Evidence from a Global Sample. Open Economies Review, 26, 525–550.
  • Bernanke, B., Gertler, M. ve Gilchrist, S. (1999). The Financial Accelerator in a Quantitative Business Cycle Framework. Taylor, J. & Woodford, M. içinde, Handbook of Macroeconomics, Amsterdam, Elsevier Science, 1341-1393.
  • Beybur, M. ve Çetinkaya, M. (2021). Covid-19 Pandemisinin Türk Bankacılık Sektörü Kredileri ve Tahsili Gecikmiş Alacakları Üzerindeki Etkileri, Dicle Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 28, 181-210.
  • Borio, C. (2011). Rediscovering the Macroeconomic Roots of Financial Stability Policy: Journey, Challanges and A Way Forward, BIS Economic Papers, No. 354.
  • Brancaccio, E., Califano, A., Lopreite, M. ve Moneta, A. (2020). Nonperforming Loans and Competing Rules of Monetary Policy: A Statistical Identification Approach, Structural Change and Economic Dynamics, 53, 127–136.
  • Caporale, G.M., Di Colli, S. ve Lopez, J.S. (2013). Bank Lending Procyclicality and Credit Quality During Financial Crises. Brunel University Economics and Finance Working Paper Series, No. 13/18.
  • Claessens, S. ve Kose, M.A. (2018). Frontiers of Macrofinancial Linkages, BIS Papers, No.95.
  • De Bock, R. ve Demyanets, A. (2012). Bank Asset Quality in Emerging Markets: Determinants and Spillovers, IMF Working Paper, No. 12/71.
  • Enders, W. (1995). Applied Econometric Time Series, John Wiley and Sons, Inc., USA.
  • Espinoza, R. ve Prasad, A. (2010). Nonperforming Loans in the GCC Banking System and their Macroeconomic Effects, IMF Working Paper, No. 10/224.
  • Foglia, M. (2022). Non-Performing Loans and Macroeconomic Factors: The Italian Case. Risks, 10, 1-13.
  • Ghosh, A. (2017a). Sector-specific Analysis of Non-Performing Loans in The US Banking System and Their Macroeconomic Impact, Journal of Economics and Business, 93, 29–45.
  • Ghosh, A. (2017b). Impact of Non-performing Loans on US Product and Labor Markets, Journal of Financial Economic Policy, 9(3), 302-323.
  • Janvisloo, M.A., Muhammed, J. ve Hassan, T. (2013). Macroeconomics Shocks and Stability in Malaysian Banking System; A Structural VAR Model, American Journal of Economics, 3(5C), 22-28.
  • Kim, S. ve Roubini, N. (2000). Exchange Rate Anomalies in the Industrial Countries: A Solution with a Structural VAR Approach” Journal of Monetary Economics, 45, 561–586.
  • Karahanoğlu, İ. ve Ercan, H. (2015). The Effect of Macroeconomic Variables on Non-Performing Loans in Turkish Banking Sector, Uluslararası Sosyal Araştırmalar Dergisi, 8(39), 883-892.
  • Kiyotaki, N. & Moore, J. (1997). Credit Cycles. Journal of Political Economy, 105(2), 211-248.
  • Klein, N. (2013). Non-Performing Loans in CESEE: Determinants and Macroeconomic Performance, IMF Working Paper, No. 13/72.
  • Lee, J. ve Rosenkranz, P. (2019). Nonperforming Loans in Asia: Determinants and Macrofinancial Linkages, ADB Economics Working Paper Series, No. 574.
  • Love, I. ve Ariss, R.T. (2013). A Panel Analysis of Economic Shocks and Loan Portfolio Quality, IMF Working Paper, No. 13/271.
  • Mpufu, T.R. ve Nikoladeou, E. (2018). Determinants of Credit Risk in the Banking System in Sub-Saharan Africa. Review of Development Finance, 8, 141–153.
  • Nkusu, M. (2011). Nonperforming Loans and Macrofinancial Vulnerabilities in Advanced Economies, IMF Working Paper, No. 11/161.
  • Obstfeld, M. ve Rogoff, K. (1996). Foundations of International Macroeconomics, Cambridge, MIT Press. Riley, G. (2013). Macro-financial Linkages in the ECCU, ECCB Staff Research Paper.
  • Sevinç, D. (2021). Türkiye'de Takipteki Banka Kredileri ile Makroekonomik Faktörler Arasındaki İlişki. Mehmet Akif Ersoy İktisadi ve İdari Bilimler Fakültesi Dergisi, 8(2), 609-629.
  • Staehr, K. ve Uuskula, L. (2021). Macroeconomic and Macro-financial factors as Leading Indicators of Non-performing Loans: Evidence from the EU Countries. Journal of Economic Studies, 48( 3),720-740.
  • Şahbaz, N. ve İnkaya, A. (2014). Türk Bankacılık Sektöründe Sorunlu Krediler ve Makro Ekonomik Etkileri, Optimum Ekonomi ve Yönetim Bilimleri Dergisi, 1(1), 69-82.
  • Tunay, K.B. (2016). Makro Finansal Bağlantılar ve Kredi Portföyü Kalitesine Etkileri, Yönetim ve Ekonomi Araştırmaları Dergisi, 14(4), 25-44.
  • Us, V. (2020). A Panel VAR Approach on Analyzing Non-Performing Loans in the Turkish Banking Sector, Journal of BRSA Banking and Financial Markets, 14(1), 1-38.

Takipteki Krediler ve Makro Finansal Bağlantılar: Türkiye İçin Bir SVAR Modeli

Yıl 2023, Cilt 24, Sayı 1, 141 - 158, 16.01.2023
https://doi.org/10.37880/cumuiibf.1195747

Öz

Özet Bu makalede Türkiye ekonomisinin 2003:Q1-2019:Q4 dönemine ait verileri kullanılarak, takipteki krediler oranı (TKO) ile makroekonomik değişkenler arasındaki dinamik ilişki yapısal vektör otoregresif model yardımıyla incelenmektedir. Etki tepki analizinin bulgularına göre, kredi büyümesindeki ve reel GSYH büyümesindeki artışlar, TKO artışını yavaşlatırken; kredi faiz oranındaki artış, TKO artışını hızlandırmaktadır. Takipteki krediler oranındaki artış ise, kredi büyümesi ve ekonomik büyüme üzerinde negatif geri besleme etkisi yaratmaktadır. Ayrıca GSYH büyümesindeki artış, kredi büyümesini artırırken; kredi büyümesindeki artış da, GSYH büyümesini yükseltmektedir. Diğer taraftan kredi faiz oranındaki artış, hem kredi büyümesini hem de GSYH büyümesini anlamlı biçimde azaltmaktadır. Dolayısıyla, kredi büyümesi ve ekonomik büyüme şokları birbirini pozitif yönde beslerken; pozitif kredi faiz oranı şoku, hem kredi büyümesini hem de ekonomik büyümeyi negatif yönde etkilemektedir. Bu bulgular, güçlü makro finansal bağlantılara işaret etmektedir. İlave olarak aktif fiyatlarını içeren modellerde; nominal Dolar/TL kurundaki artışa TKO’nun, enflasyon oranının ve kredi faizi oranının pozitif, kredilerin ise negatif tepki verdiği ispatlanmaktadır. Ayrıca reel BİST100 getirisindeki artışa TKO’nun ve kredi faiz oranının negatif, kredi büyümesinin ve ekonomik büyümenin pozitif tepki verdikleri kanıtlanmaktadır. Üstelik kredilerdeki düşüşün nominal dolar/TL kuru üzerinde; faiz oranındaki düşüşün de, reel BİST100 getirisi üzerinde pozitif etki yarattığı gösterilmektedir. Bu sonuçlar, makro finansal bağlantıların ortaya çıkışında aktif fiyatlarındaki hareketlerin önemli rolü olduğunu göstermektedir.

Kaynakça

  • Anita, S.S., Tasnova, N. ve Nawar, N. (2022). Are Non‑Performing Loans Sensitive to Macroeconomic Determinants? An Empirical Evidence from Banking Sector of SAARC Countries. Future Business Journal, 8(7), 1-16.
  • Banerjee, S. ve Murali, D. (2017). Stress Test of Banks in India Across Ownerships: A VAR Approach. Studies in Economics and Finance, 34(4), 527-554.
  • Baş, G. ve Kara, M. (2020). Türkiye’de Döviz Kuru ile Sorunlu Krediler İlişkisi: Bir Zaman Serisi Analizi. Kafkas Üniversitesi İİBF Dergisi, 11(22), 997-1023.
  • Beaton, K., Myrvoda, A. ve Thompson, S. (2016). Non-Performing Loans in the ECCU: Determinants and Macroeconomic Impact. IMF Working Paper, No. 16/229.
  • Beck, R., Jakubik, P. ve Piloiu, A. (2015). Key Determinants of Non-performing Loans: New Evidence from a Global Sample. Open Economies Review, 26, 525–550.
  • Bernanke, B., Gertler, M. ve Gilchrist, S. (1999). The Financial Accelerator in a Quantitative Business Cycle Framework. Taylor, J. & Woodford, M. içinde, Handbook of Macroeconomics, Amsterdam, Elsevier Science, 1341-1393.
  • Beybur, M. ve Çetinkaya, M. (2021). Covid-19 Pandemisinin Türk Bankacılık Sektörü Kredileri ve Tahsili Gecikmiş Alacakları Üzerindeki Etkileri, Dicle Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 28, 181-210.
  • Borio, C. (2011). Rediscovering the Macroeconomic Roots of Financial Stability Policy: Journey, Challanges and A Way Forward, BIS Economic Papers, No. 354.
  • Brancaccio, E., Califano, A., Lopreite, M. ve Moneta, A. (2020). Nonperforming Loans and Competing Rules of Monetary Policy: A Statistical Identification Approach, Structural Change and Economic Dynamics, 53, 127–136.
  • Caporale, G.M., Di Colli, S. ve Lopez, J.S. (2013). Bank Lending Procyclicality and Credit Quality During Financial Crises. Brunel University Economics and Finance Working Paper Series, No. 13/18.
  • Claessens, S. ve Kose, M.A. (2018). Frontiers of Macrofinancial Linkages, BIS Papers, No.95.
  • De Bock, R. ve Demyanets, A. (2012). Bank Asset Quality in Emerging Markets: Determinants and Spillovers, IMF Working Paper, No. 12/71.
  • Enders, W. (1995). Applied Econometric Time Series, John Wiley and Sons, Inc., USA.
  • Espinoza, R. ve Prasad, A. (2010). Nonperforming Loans in the GCC Banking System and their Macroeconomic Effects, IMF Working Paper, No. 10/224.
  • Foglia, M. (2022). Non-Performing Loans and Macroeconomic Factors: The Italian Case. Risks, 10, 1-13.
  • Ghosh, A. (2017a). Sector-specific Analysis of Non-Performing Loans in The US Banking System and Their Macroeconomic Impact, Journal of Economics and Business, 93, 29–45.
  • Ghosh, A. (2017b). Impact of Non-performing Loans on US Product and Labor Markets, Journal of Financial Economic Policy, 9(3), 302-323.
  • Janvisloo, M.A., Muhammed, J. ve Hassan, T. (2013). Macroeconomics Shocks and Stability in Malaysian Banking System; A Structural VAR Model, American Journal of Economics, 3(5C), 22-28.
  • Kim, S. ve Roubini, N. (2000). Exchange Rate Anomalies in the Industrial Countries: A Solution with a Structural VAR Approach” Journal of Monetary Economics, 45, 561–586.
  • Karahanoğlu, İ. ve Ercan, H. (2015). The Effect of Macroeconomic Variables on Non-Performing Loans in Turkish Banking Sector, Uluslararası Sosyal Araştırmalar Dergisi, 8(39), 883-892.
  • Kiyotaki, N. & Moore, J. (1997). Credit Cycles. Journal of Political Economy, 105(2), 211-248.
  • Klein, N. (2013). Non-Performing Loans in CESEE: Determinants and Macroeconomic Performance, IMF Working Paper, No. 13/72.
  • Lee, J. ve Rosenkranz, P. (2019). Nonperforming Loans in Asia: Determinants and Macrofinancial Linkages, ADB Economics Working Paper Series, No. 574.
  • Love, I. ve Ariss, R.T. (2013). A Panel Analysis of Economic Shocks and Loan Portfolio Quality, IMF Working Paper, No. 13/271.
  • Mpufu, T.R. ve Nikoladeou, E. (2018). Determinants of Credit Risk in the Banking System in Sub-Saharan Africa. Review of Development Finance, 8, 141–153.
  • Nkusu, M. (2011). Nonperforming Loans and Macrofinancial Vulnerabilities in Advanced Economies, IMF Working Paper, No. 11/161.
  • Obstfeld, M. ve Rogoff, K. (1996). Foundations of International Macroeconomics, Cambridge, MIT Press. Riley, G. (2013). Macro-financial Linkages in the ECCU, ECCB Staff Research Paper.
  • Sevinç, D. (2021). Türkiye'de Takipteki Banka Kredileri ile Makroekonomik Faktörler Arasındaki İlişki. Mehmet Akif Ersoy İktisadi ve İdari Bilimler Fakültesi Dergisi, 8(2), 609-629.
  • Staehr, K. ve Uuskula, L. (2021). Macroeconomic and Macro-financial factors as Leading Indicators of Non-performing Loans: Evidence from the EU Countries. Journal of Economic Studies, 48( 3),720-740.
  • Şahbaz, N. ve İnkaya, A. (2014). Türk Bankacılık Sektöründe Sorunlu Krediler ve Makro Ekonomik Etkileri, Optimum Ekonomi ve Yönetim Bilimleri Dergisi, 1(1), 69-82.
  • Tunay, K.B. (2016). Makro Finansal Bağlantılar ve Kredi Portföyü Kalitesine Etkileri, Yönetim ve Ekonomi Araştırmaları Dergisi, 14(4), 25-44.
  • Us, V. (2020). A Panel VAR Approach on Analyzing Non-Performing Loans in the Turkish Banking Sector, Journal of BRSA Banking and Financial Markets, 14(1), 1-38.

Ayrıntılar

Birincil Dil Türkçe
Konular İktisat
Bölüm Makaleler
Yazarlar

Cemil VARLIK> (Sorumlu Yazar)
Ankara Hacı Bayram Veli Üniversitesi
0000-0001-9977-2876
Türkiye

Erken Görünüm Tarihi 11 Ocak 2023
Yayımlanma Tarihi 16 Ocak 2023
Gönderilme Tarihi 27 Ekim 2022
Kabul Tarihi 10 Aralık 2022
Yayınlandığı Sayı Yıl 2023, Cilt 24, Sayı 1

Kaynak Göster

APA Varlık, C. (2023). Takipteki Krediler ve Makro Finansal Bağlantılar: Türkiye İçin Bir SVAR Modeli . Cumhuriyet Üniversitesi İktisadi ve İdari Bilimler Dergisi , 24 (1) , 141-158 . DOI: 10.37880/cumuiibf.1195747

İrtibat
Sivas Cumhuriyet Üniversitesi İktisadi ve İdari Bilimler Dergisi,
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58140 Kampüs-SİVAS.

Tel: 0346 2191010-1710

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E-Mail: iibfdergi@cumhuriyet.edu.tr