Title:
DETERMINATION OF THE FACTORS AFFECTING CREDIT RISK FOR THE TURKISH BANKING SYSTEM: ARDL MODEL ANALYSIS

Authors:
Prof. Dr. Muharrem Afsar, Emrah Dogan

Volume - 2 Issue - 8, Pages - 4114-4130

Abstract:
An increase in credit risks in the banking sector adversely affect the economy and financial stability. Therefore, the controlling of the credit risk is considered one of the fundamental conditions to reduce economic and financial stability risks. In this study it is aimed to explore the credit risk determinants in Turkish banking sector during 2006q1-2015q4. In order to investigate the factors that influence the credit risk of the Turkish banking system via the interactions between unemployment rate, real gross domestic product (real GDP), inflation rate, real effective exchange rate, oil prices, broad money supply(M2), capital adequacy ratio and non-performing loans (NPLs), was estimated by using the ARDL methodology. In respect of empirical findings indicate that unemployment rate, inflation and capital adequacy ratio have turned out to significant and positive impact on the non-performing loans (NPLs) in Turkey. On the other hand, the impact of real gross domestic product (real GDP), real effective exchange rate and broad money supply (M2) on non-performing loans (NPLs) are estimated to be negative and statistically significant. However, our research does not indicate a significant relationship between credit risk ratio and oil prices. The findings in this paper implies that the unemployment rate and real gross domestic product (real GDP) may serve as leading indicators of credit risk deterioration.

Cite this Article:

[Afsar, Muharrem, and Emrah Dogan. "DETERMINATION OF THE FACTORS AFFECTING CREDIT RISK FOR THE TURKISH BANKING SYSTEM: ARDL MODEL ANALYSIS." International Journal of Social Science and Economic Research, vol. 2, no. 8, 2017, pp. 4114-4130.]