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Türk Bankacılık Sisteminde Kredi Riski ve Modellenmesi

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  • Baki DEMİREL

Abstract

An increase in credit risks in the banking sector induces economic risks and therefore affects adversely the financial stability. In reviewing the literature, NLPs are regarded as an important indicator of credit risks. It is therefore important to determine variables that may affect an increase in NLPs in order to achieve the financial stability. The aim of this paper is to analyse the relationship between variables, which are believed to affect NLPs, in the Turkish banking sector and NLPs. For this purpose, Vector Autoregression (VAR) model is used; variables in the model are chosen based on the literature. To study short- and long-run relationship between variables, Johansen Cointegration test and Error Correction Model are applied. This paper makes a contribution to the literature by analysing the link between NLPs in Turkey and 2-year bond yields in the U.S.

Suggested Citation

  • Baki DEMİREL, 2016. "Türk Bankacılık Sisteminde Kredi Riski ve Modellenmesi," Sosyoekonomi Journal, Sosyoekonomi Society, issue 24(29).
    • Handle: RePEc:sos:sosjrn:160302
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    More about this item

    Keywords

    Banking Sector; Credit Risk; NPLs; VAR Model.;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

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