IDEAS home Printed from https://ideas.repec.org/a/ahs/journl/v10y2025i1p184-201.html
   My bibliography  Save this article

Time-varying Granger Causality between Industrial Production and Non-Performing Loans in Türkiye

Author

Listed:
  • Gökhan SÜMER

Abstract

Banks play a crucial role in bridging fund suppliers and demanders, thereby facilitating economic development by channeling idle funds into the economy. For banks to effectively perform their functions, the financial transmission mechanism is essential. Non-performing loans (NPLs) significantly impact bank profitability, credit positions, and overall economic development. This study investigates the relationship between industrial production and non-performing loans in Turkey using a time-varying Granger Causality test. Monthly data from January 2005 to July 2024 was utilized to examine the interconnection between the industrial production index and non-performing loans. The research uniquely contributes to the existing literature by applying a sophisticated time-varying Granger Causality methodology, investigating the dynamic relationship between economic activity and credit risk, and providing insights into the temporal variations of industrial production and non-performing loans within the Turkish banking sector. Key methodological approaches include utilizing a recursive evolving window algorithm, employing bootstrap simulations to enhance estimation precision, and analyzing causal relationships through multiple computational techniques. Findings underscore the importance of adaptive risk management strategies and the need for flexible macroprudential policies capable of responding to the evolving economic landscape.

Suggested Citation

  • Gökhan SÜMER, 2025. "Time-varying Granger Causality between Industrial Production and Non-Performing Loans in Türkiye," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, vol. 10(1), pages 184-201.
    • Handle: RePEc:ahs:journl:v:10:y:2025:i:1:p:184-201
    DOI: https://doi.org/10.30784/epfad.1615246
    as

    Download full text from publisher

    File URL: https://dergipark.org.tr/tr/download/article-file/4501006
    Download Restriction: no
    File URL: https://libkey.io/https://doi.org/10.30784/epfad.1615246?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Cândida Ferreira, 2017. "Relevance of the EU Banking Sector to Economic Growth," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 23(2), pages 203-215, May.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Jeremy Greenwood & Juan M. Sanchez & Cheng Wang, 2010. "Financing Development: The Role of Information Costs," American Economic Review, American Economic Association, vol. 100(4), pages 1875-1891, September.
    2. Alexandra Horobet & Irina Mnohoghitnei & Dan Gabriel Dumitrescu & Stefania Cristina Curea & Lucian Belascu, 2022. "An Empirical Assessment of the Financial Development – Environmental Quality Nexus in the European Union," The AMFITEATRU ECONOMIC journal, Academy of Economic Studies - Bucharest, Romania, vol. 24(61), pages 613-613, August.
    3. Jeremy Greenwood & Juan Sanchez & Cheng Wang, 2013. "Quantifying the Impact of Financial Development on Economic Development," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 16(1), pages 194-215, January.
    4. Abdul Rahman & Muhammad Arshad Khan, 2024. "Role of consistent regime-specific policies in recovering the negative relationship between financial development and economic growth," Economic Change and Restructuring, Springer, vol. 57(4), pages 1-27, August.

    More about this item

    Keywords

    Time-Varying Granger Causality; Non-Performing Loans; Industrial Production;
    All these keywords.

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ahs:journl:v:10:y:2025:i:1:p:184-201. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Ersan Ersoy (email available below). General contact details of provider: https://epfjournal.com/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.