The Determinants of Nonperforming Loans: The Case of Turkey

Korhan Gokmenoglu (), Emmanuela G. Kenfack () and Barış Memduh Eren ()
Additional contact information
Emmanuela G. Kenfack: Eastern Mediterranean University
Barış Memduh Eren: Eastern Mediterranean University

A chapter in Emerging Trends in Banking and Finance, 2018, pp 1-15 from Springer

Abstract: Abstract The aim of this paper is to investigate the macroeconomic and sector-specific factors likely to affect nonperforming loans (NPLs) for the Turkish banking sector. The study covers a quarterly time series span of 2006–2015 and uses the time series econometric methods of the Johansen cointegration test, vector error correction model (VECM), and the Granger causality test. In the analysis, we use the industrial production index (IPI), top 100 companies among the Borsa Istanbul Stock Exchange Index (BIST 100), and exchange rates between the Turkish lira to euro (EUR) and Turkish lira to U.S. dollar (USD) as proxies for the state of the economy and bank-specific factors; return on asset (ROA) and return on equity (ROE) are proxies for the managerial efficiency of banks in determining NPLs. The general findings support the relevance of both micro- and macroeconomic fundamentals significantly affecting Turkish NPLs. In this study we also illustrate the adverse impact of external foreign currency financing on the ability to service debt for Turkish credit market participants. The findings may prove to be helpful when designing macro- and microeconomic policies aimed at mitigating systematic risk.

Keywords: Nonperforming loans; Return on asset; Return on equity; Vector error correction model; Granger causality; Turkey (search for similar items in EconPapers)
Date: 2018
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:prbchp:978-3-030-01784-2_1

Ordering information: This item can be ordered from
http://www.springer.com/9783030017842

DOI: 10.1007/978-3-030-01784-2_1

Access Statistics for this chapter

More chapters in Springer Proceedings in Business and Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().