The Effects of the Volatility Changes in Exchange Rates and Interest Rates from Historical Shocks on the Non-Performing Loans in Turkish Economy

Resul Aydemä°r (), Bülent GÃœLOÄžLU () and Ercan SARIDOÄžAN ()
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Resul Aydemä°r: Istanbul Technical University, Department of Economics
Bülent GÜLOĞLU: Istanbul Technical University, Department of Economics
Ercan SARIDOÄžAN: Istanbul University, Department of Econometrics

Eurasian Eononometrics, Statistics and Emprical Economics Journal, 2017, vol. 8, issue 8, 1-20

Abstract: Historical shocks (Lehman Brothers bankruptcy (15 September 2008), the FED?s tapering decision (18 December 2013), the CBRT?s interest rate decision (28 January 2013)) had significant impact on global and domestic financial markets, especially nonperforming loans (NPLs). In this context, main aim of this study is to analyze how volatility changes in exchange rates and interest rates triggered by these historical shocks affect consumer and industrial nonperforming loans in Turkish economy by using quantile regression techniques. The results showed that shocks that cause volatility changes in foreign exchange rates and interest rates have important effects on NPLs in the Turkish banking industry.

Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:eas:econst:v:8:y:2017:i:8:p:1-20

DOI: 10.17740/eas.stat.2017-V8-01

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