Ekonomi ve Finansal Araştırmalar Dergisi
Yazarlar: ["Seyfullah GÜL", "Ayben KOY"]
Anahtar Kelimeler:NPL,Eşbütünleşme,Momentum Eşik Değer,Doğrusallık,Asimetrik İlişki
Özet: The fact that the quality of assets in the balance sheets of banks is one of the main factors of financial crises has started to be understood more with the crises experienced and academic research since the 90s. The macro determinants of credit risk and on the other hand, which macroeconomic factors can be effective on credit risks are discussed. This study was carried out to determine the macroeconomic indicators that can be associated with NPL, which is one of the main indicators of bank assets. The long-run relationships of causality between NPL rates and some macroeconomic indicators such as unemployment, inflation, GDP rates, credit volume, and industrial production index were analyzed with Momentum Treshold Autoregressive Model (MTAR). The analysis includes 85 observations between the 1999/IV period and the 2020/IV period. This cointegration analysis using the MTAR vector error correction model and causality test indicates that there is a non-linear, asymmetric causal connection between NPL rates and inflation rates.