Yukselen Ticari Kredi Faizlerinin Firmalarin Temerrut Olasiliklarina Heterojen Etkisi Uzerine Bir Inceleme

Yusuf Bağır, Ünal Seven and Ertan Tok

CBT Research Notes in Economics from Research and Monetary Policy Department, Central Bank of the Republic of Turkey

Abstract: [TR] Bu calismada, parasal sikilasmaya konu olan ve referans alinan 2018-2019 donemi ile faiz oranlarinin daha yatay seyrettigi 2014-2015 donemi arasinda reel sektor firmalarinin temerrut davranislarindaki farkliliklar irdelenmistir. Analiz, temerrut davranislarini firmalarin olcegi, faaliyet sektoru ve borcluluk durumlarini gozeterek donemler arasi karsilastirma, yaslandirma analizi ve basit bir regresyon modeli ile incelemektedir. Calismanin sonuclari, borclulugu yuksek firmalarin temerrude dusme olasiliginin daha yuksek oldugunu ve borcluluk-temerrut iliskisinin firmanin olcek ve sektorune gore degistigini gostermektedir. Farkli faiz patikasi donemlerinde temerrude dusme hizi, dusuk borcluluga sahip firmalar icin benzer seyrederken, orta ve yuksek seviye borcluluga sahip orta ve buyuk olcekli firmalar icin belirgin sekilde ayrismaktadir. Ayrica, artan borc yukunun temerrut uzerindeki marjinal etkisinin yuksek faiz donemlerinde gorece daha buyuk oldugu gorulmektedir. Elde edilen bulgular isiginda calismada, Turkiye Cumhuriyet Merkez Bankasinin (TCMB) 2023 yili haziran ayi itibariyla basladigi yeni parasal sikilastirma surecinin firmalarin temerrut davranislari uzerindeki olasi etkileri de tartisilmaktadir. Mevcut durumda hem bankalarin kredi riski tasima hem de firmalarin borc tasima kapasitesi onceki donemlerin oldukca uzerinde seyretmesi nedeniyle faiz artis surecinin temerrut davranislari uzerindeki etkisinin onceki donemlere kiyasla daha ilimli olacagi degerlendirilmektedir. [EN] This study examines the differences in the default behavior of corporate sector firms between the 2018-2019 period, characterized by monetary tightening, and the 2014-2015 period, when interest rates followed a flatter course. The analysis includes inter-period comparison, a vintage analysis, and a simple regression model, considering the size, sector of activity, and indebtedness status of firms. The results indicate that firms with higher levels of indebtedness are more likely to default. However, the relationship between indebtedness and default varies depending on the size and sector of the firm. The pace of default for firms with low levels of indebtedness remains similar across different interest rate periods. However, for medium and large-sized firms with moderate to high levels of indebtedness, the default rates diverge significantly. Additionally, the marginal effect of increasing debt burden on default is relatively larger during high interest rate periods. In light of these findings, the study also discusses the potential impact of the new monetary tightening process initiated by the Central Bank of the Republic of Turkey (CBRT) in June 2023 on firms’ default behavior. Given that both banks’ credit risk-bearing capacity and firms’ debt-bearing capacity are considerably higher than in previous periods, it is likely that the impact of the interest rate hike on default behavior will be more moderate than in the past.

Date: 2024
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