Türk Bankacılık Sektöründe Kredi Riski ve Modellenmesi

Turkish Banking Sector Credit Risk and Modelling

Baki Demirel

MPRA Paper from University Library of Munich, Germany

Abstract: Following September 2010, the Central Bank of Turkey has targeted financial stability as well as its price stability. An increase in credit risks in the banking sector induces economic risks and therefore affects adversely the financial stability. The aim of this paper is to analyse the relationship between variables, that are believed to affect NLPs, in the Turkish banking sector and NLPs. For this purpose, Vector Autoregression (VAR) model is used. To study short- and long-run relationship between variables, Johansen Cointegration test and Error Correction Model are applied.

Keywords: Banking Sector; Credit Risk; NPLs; VAR Model (search for similar items in EconPapers)
JEL-codes: E44 E52 E58 G18 (search for similar items in EconPapers)
Date: 2015-11-02
New Economics Papers: this item is included in nep-ara, nep-cwa and nep-mac
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