Türkiye Bankacılık Sektöründe Takipteki Kredileri Etkileyen Faktörlerin Analizi
Analysis of Factors Affecting Non-Performing Loans (NPL) in the Turkish Banking Sector

Summary/Abstract: Purpose- One of the goals of macroprudential policy tools is to ensure the continuation of the flow of credit to the economy. Non-repayment of allocated loans limits new loan allocations and thus the flow of credit. Determining and controlling the causes of non-performing loans, which is an indicator of asset quality in the banking sector, is also of vital importance for banks. The aim of this study is to analyze the relationship between macroeconomic variables and the volume of non-performing loans in the Turkish Banking Sector. Design/methodology/approach- The scope of the study is the Turkish Banking Sector (TBS). In this framework, four variables that are thought to be effective on the non-performing loan volume of banks operating in the sector have been determined. The data set used in the study consists of non-performing loans, Industrial Production Index, weighted average interest rates applied by banks, loan growth and exchange rate variables. The effects of the variables on the non-performing loans were examined and analyzed with the VAR (Vector Autoregressive) Model, granger causality test, and impact-response analysis. The data used in the study were obtained from the BRSA, CBRT and TUIK databases, and monthly data limited to the 2005-2019 period were used in the analysis. Findings- The findings reveal that the changes in the industrial production index are the most important variable in explaining the changes in non-performing loans compared to other variables and are in an inverse relationship with the changes in non-performing loans. In addition, weighted average interest rates applied by banks, average (USD and Euro) exchange rates and live loan changes are also effective on non-performing loan changes and the relationship between these variables and nonperforming loan changes is in the same direction.

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