The Effect of Sectoral Costs on Non-Performing Loans: An Investigation on the Construction Industry

Osman Emre Arlı and Ali Bayrakdaroğlu
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Osman Emre Arlı: Mugla Sitki Kocman University
Ali Bayrakdaroğlu: Mugla Sitki Kocman University

Journal of Finance Letters (Maliye ve Finans Yazıları), 2021, vol. 36, issue Special2, 131-144

Abstract: In this study, it is aimed to determine the relationship between changes in sectoral costs and non-performing loans. With the construction cost index prepared by TUIK as the base year of 2015, a time series was created from the BDDK’s monthly banking sector data. It consists of monthly data between January 2015 and November 2019 and includes 59 observations. In order to express the relationship between sectoral costs and non-performing loan, Unit Root Tests, Johansen Cointegration Test and Granger Causality analyzes were conducted. Accordingly, it has been observed that the construction sector cost and the non-performing loans of the construction sector are co-integrated both in the short term and the long term. According to the Granger causality analysis, sectoral costs and non-performing loans are the causes of each other.

Keywords: Non-performing Loans; Sectoral Costs; Cointegration; Causality (search for similar items in EconPapers)
JEL-codes: G21 G32 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:acc:malfin:v:36:y:2021:i:special2:p:131-144

DOI: 10.33203/mfy.843836

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