Yıl: 2021 Cilt: 0 Sayı: 33 Sayfa Aralığı: 169 - 186 Metin Dili: Türkçe DOI: 10.18092/ulikidince.1013685 İndeks Tarihi: 29-07-2022

TAKİPTEKİ KREDİLERİN BANKAYA ÖZGÜ, FİNANSAL VE MAKROEKONOMİK BELİRLEYİCİLERİ: TÜRKİYE ÖRNEĞİ

Öz:
Bu çalışmada, 2004-2017 döneminde Türkiye’de faaliyette bulunan 21 bankanın yıllık verileri üzerinden takipteki kredilerin belirleyicileri tespit edilmeye çalışmıştır. Çalışmaya bankaya özgü değişkenlerin yanı sıra ülkeye özgü makro finansal ve makroekonomik değişkenler de eklenmiştir. Çalışmada, takipteki kredilerin toplam aktiflere (NPL1) ve takipteki kredilerin brüt toplam kredilere (NPL2) oranı bağımlı değişken olarak belirlenmiştir. Çalışmada bankaların takipteki alacaklarını etkileyen faktörler statik ve dinamik panel veri analizi yöntemleri ile incelenmiştir. Borç vermede uzmanlaşma (BVU) değişkeni modellerin genelinde negatif ve istatistiki olarak anlamlı bulunmuştur. Buna göre, bankalar kredi vermede uzmanlaştıkça takipteki alacaklarını arttırabilecek kredileri daha iyi takip etme potansiyeline sahip olacaklardır. Kapitalizasyon (KAP) değişkeninin tüm modellerde istatistiki olarak anlamlı ve pozitif etkide bulunduğu tespit edilmiştir. Bu bulgu bankaların düşük sermaye ile daha riskli krediler verdiğini göstermekte olup, bu durum takipteki alacakların artmasına neden olmuştur. Panel veri yöntemi ile yapılan analiz sonuçlarına göre bulduğumuz sonuçlar finansal ve ekonomik faktörler belirlenirken politika yapıcılara yardımcı olacaktır.
Anahtar Kelime: Kredi Riski Takipteki Krediler (Alacaklar) Banka Krediler

MACROECONOMIC, FINANCIAL AND BANK-SPECIFIC DETERMINANTS OF NON-PERFORMING LOANS: THE CASE OF TURKEY*

Öz:
In this study, determinants of nonperforming loans over the period 2004-2017 annual data for 21 banks operating in Turkey has tried to be determined. In addition to bank-specific variables proposed in the literature, macroeconomic and macroeconomic variables specific to the country have been added. In the study, the ratio of non-performing loans to total assets (NPL1) and non-performing loans to gross total loans (NPL2) was determined as dependent variable. In this study, the factors affecting banks' non-performing loans were analyzed with static and dynamic panel data analysis methods. Compromise on lending (BVU) variable was found to be negative and statistically significant. Accordingly, as banks specialize in lending, they will be able to follow loans that increase non-performing loans. All variables were found to be statistically significant and positive, and this finding indicates that banks give more risky loans with lower capital and this led to an increase in non-performing loans. According to the results of the analysis done by the panel data method, the results will help the policy makers in determining the financial and economic factors.
Anahtar Kelime:

Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık
0
0
0
  • Abid, L., Ouertani, M.N. ve Zouari-Ghorbel, S. (2014). Macroeconomic and Bank Specific Determinants of Household’s Non-Performing Loans in Tunisia: a Dynamic Panel Data. Procedia Economics ve Finance, 13, 58-68.
  • Ahmad, F. ve Bashir, T. (2013). Explanatory Power of Macroeconomic Variables as Determinants of Non-Performing Loans: Evidence form Pakistan.. World Applied Sciences Journal, 22 (2), 243-255.
  • Arellano, M. ve Bover, O. (1995). Another Look at the İnstrumental Variable Estimation of Error-Components Models. Journal of Econometrics, 68, 29–52.
  • Asiama, R. K. ve Amoah, A. (2018). Non-Performing Loans ve Monetary Policy Dynamics in Ghana. African Journal of Economic ve Management Studies, 10(2), 169-184.
  • Barr, R.S., Seifor, L.M. ve Siems, T.F. (1994). Forecasting Bank Failure: A Non-Parametric Frontier Estimation Approach. Recherches Economiques de Louvain/Louvain Economic Review, 60 (4), 417-429.
  • Beck, R., Jakubik, P. ve Piloiu, A. (2015). Key Determinants Of Non-Performing Loans: New Evidence Froma Global Sample. Open Economies Review, 26(3), 525-550.
  • Berger, A. ve DeYoung, R. (1997). Problem Loans ve Cost Efficiency İn Commercial Banks. Journal of Banking & Finance, 21(6), 849-870.
  • Blundell, R. and Bond, S. (1998). Initial conditions and moment restrictions in dynamic panel data models, Journal of econometrics, 87(1), 115-143.
  • Buncic, D. ve Melecky, M. (2012). Macro Prudential Stress Testing Of Credit Risk – A Practical Approach For Policymakers. World Bank Policy Research Paper, WPS5936, 2-71.
  • Cottrell, R. L. (2016). Gretl User’s Guide: Gnu Regression, Econometrics ve Time-Series Library. GNU Free Documentation License.
  • Çifter, A., Yılmazer, S. ve Çifter, E. (2009). Analysis of Sectoral Credit Default Cycle Dependency with Wavelet Networks: Evidence from Turkey. Economic Modelling, 26, 1382-1388.
  • Dash, M., Kabra, G. (2010). The determinants of non-performing assets in Indian commercial bank: An econometric study. Middle Eastern Finance and Economics, 7, 94-106.
  • Demirgüç-Kunt, A. ve Detragiache, E. (2005). Cross-Country Empirical Studies of Systemic Bank Distress: A Survey. National Institute Economic Review, 192, 68-83.
  • Dimitrios, A., Helen, L., ve Mike, T. (2016). Determinants of Non-Performing Loans: Evidence from Euro-Area Countries. Finance Research Letters, 18, 116–119.
  • Erdinç, D. ve Abazi, E. (2014). The Determinants of NPLS in Emerging Europe. 2000-2011. J, Econ. Polit. Econ. 1, 112–125.
  • Espinoza, R. ve Prasad, A. (2010). Nonperforming Loans in the GCC Banking System ve Their Macroeconomic Effects. IMF Working Paper WP/10/224. Washington: International Monetary Fund.
  • Festic, M. K. ve Repina, S. (2011). The Macroeconomic Sources Of Systemic Risk İn The Banking Sectors Of Five New EU Member States. Journal of Banking & Finance, 35, 310–322.
  • Fukuyama, H. ve Matousek, R. (2011). Efficiency Of Turkish Banking: Two-Stage Network System. Variable Returns To Scale Model. J. Int. Financ. Mark. Inst. Money 21(1), 75–91.
  • Gelir İdaresi Başkanlığı. (2019). Erişim Adresi https://www.gib.gov.tr/sites/default/files/fileadmin/user_upload/VI/20191.htm
  • Ghosh, A. (2015). Banking-İndustry Specific ve Regional Economic Determinants Of Non-Performing Loans: Evidence From US States. J. Financ. Stab., 20, 93–104.
  • Ghosh, A. (2017). Sector-Specific Analysis Of Non-Performing Loans İn The US Banking System Ve Their Macroeconomic İmpact. Journal of Economics ve Business, 93, 29-45.
  • IMF. (2006). The Financial Soundness İndicators Compilation Guide Of March 2006. Erişim Adresi: http://www.imf.org/external/pubs/ft/fsi/guide/2006/ [19.03.2019]
  • Kauko, K. (2012). External Deficits ve Non-Performng Loans İn The Recent Financial Crisis. Econ. Let. 115, 196–199.
  • Keeton, W., Morris, C. (1987). Why do banks’ loan losses differ? Federal Reserve Bank of Kansas city, Economic Review, 3-21.
  • Klein, N. (2013). Non-Performing Loans in CESEE: Determinants Ve İmpact On Macroeconomic Performance. IMF Working Paper No. 13/72.
  • Louzis, D.P., Vouildis, A.T. ve Metaxas, V.L. (2012). Macroeconomic ve Bank-Specific Determinants of Non-Performing Loans in Greece: A Comparative Study of Mortgage, Business ve Consumer Loan Portfolios. J. Banking Finance, 36 (4), 1012–1027.
  • Macit, F. (2012). What Determines the Non-Performing Loans Ratio: Evidence from Turkish Commercial Banks. Center for Economic Analyses Journal of Economics, 13, 33–39.
  • Makri, V., Tsagkanos, A. ve Bellas, A. (2014). Determinants of Non-performing Loans: The Case Of Eurozone. Panoeconomicus, 61, 193–206.
  • Marcelo, A., Rodriguez, A. ve Trucharte, C. (2008). Stress Testing ve Their Contribution to Financial Stability. Journal of Banking Regulations, 9(2), 65-81.
  • Messai, A. S. ve Jouini, F. (2013). Micro ve Macro Determinants of Non-Performing Loans. International Journal of Economics ve Financial Issues, 3, 852–860.
  • Nikolaidou, E. ve Vogiazas, S. (2014). Credit Risk Determinants for The Bulgaria Banking System. International Advance Economics Research, 20, 87-102.
  • Nkusu, M. (2011). Non-Performing Loans ve Macro-Financial Vulnerabilities in Advanced Economies. IMFWP/11/161, 1-27.
  • Oktar, S. ve Yüksel, S. (2015). Bankacılık Krizlerinin Erken Uyarı Sinyalleri: Türkiye Üzerine Bir Uygulama. İstanbul Ticaret Üniversitesi Sosyal Bilimleri Dergisi, 38, 37-53.
  • Ozili, P.K. (2017). Bank Earnings Management ve İncome Smoothing Using Commission ve Fee İncome: A European Context. International Journal of Managerial Finance, 13(4), 419-439.
  • Ozili, P.K. (2019). Non-Performing Loans ve Financial Development: New Evidence. The Journal of Risk Finance, 20(1), 59-81.
  • Partovi, E. ve Matousek, R. (2019). Bank Efficiency ve Non-Performing Loans: Evidence from Turkey. Research in International Business ve Finance, 48, 287–309.
  • Podpiera, J. ve Weil, L. (2008). Bad Luck or Bad Management? Emerging Banking Market Experience. Journal of Financial Stability, 4(2), 135-148.
  • Pop, I. D., Cepoi, C.O. ve Anghel, D.G, (2018). Liquidity-Threshold Effect in Non-Performing Loans. Finance Research Letters, 27, 124–128.
  • Reinhart, C. ve Rogoff, K. (2011). From Financial Crash to Debt Crisis. Am. Econ. Rev. 101 (5), 1676–1706.
  • Resmi Gazete. (2016). Erişim Adresi http://www.mevzuat.gov.tr/Metin.Aspx?MevzuatKod=7.5.22599&MevzuatIliski=0&sourceXmlSearch=kredilerin%20s%C4%B1n%C4%B1flve%C4%B1r%C4%B1lmas%C4%B1
  • Rinaldi, L. ve Sanchis-Arellano A. (2006). Household Debt Sustainability: What Explains Household Non-Performing Loans? An Empirical Analysis. ECB Working Paper.
  • Rodman, D. (2009). How to do xtabond2: An introduction to difference and system GMM in Stata”, The Stata Journal, 9(1), 86-136.
  • Salas, V. ve Saurina, J. (2002). Credit Risk in Two İnstitutional Regimes: Spanish Commercial ve Savings Banks. Journal of Financial Services Research, 22(3), 203-224.
  • Sharma, P. ve Gounder, N. (2015). Resilient Through The GFC ve Beyond: What Drives Bank Profitability İn Small Open Pacific Economies?. Journal of Asia-Pacific Business, 16(3), 191-209.
  • Skarica, B. (2014). Determinants of Non-Performing Loans İn Central ve Eastern European Countries. Financial Theory ve Practice, 38(1), 37-59.
  • Sorge, M. (2004). Stress-Testing Financial Systems: An Overview of Current Methodologie. BIS Working Paper No. 165.
  • Suhartono, P.S. (2012). Macroeconomıc ve Bank-Specıfıc Determınants of Loan Loss Provısıonıng In Indonesıa. Journal of Economics, Business, ve Accountancy Ventura, 15(3), 359 – 372.
  • Turner, A. (2010). What Do Banks Do? Why do Credit Booms ve Busts Occur ve What can We do About İt?. Turner, A., Haldane, A., Woolley, P., Wadhwani, S., Goodhart, C., Smithers, A., Large, A., Kay, J., Wolf, M., Boone, P., Johnson, S. ve Layard, R. (Eds), The Future of Finance: The LSE Report, London School of Economics ve Political Science, 5-86.
  • Umar, M. ve Sun, G. (2018). Determinants of Non-Performing Loans in Chinese Banks. Journal of Asia Business Studies, 12(3), 273-289.
  • Wan, J. (2018). Non-Performing Loans Ve Housing Prices in Chin. International Review of Economics ve Finance, 57, 26–42.
APA AYAYDIN H, Pilatin A, BARUT A (2021). TAKİPTEKİ KREDİLERİN BANKAYA ÖZGÜ, FİNANSAL VE MAKROEKONOMİK BELİRLEYİCİLERİ: TÜRKİYE ÖRNEĞİ. , 169 - 186. 10.18092/ulikidince.1013685
Chicago AYAYDIN HASAN,Pilatin Abdulmuttalip,BARUT ABDULKADIR TAKİPTEKİ KREDİLERİN BANKAYA ÖZGÜ, FİNANSAL VE MAKROEKONOMİK BELİRLEYİCİLERİ: TÜRKİYE ÖRNEĞİ. (2021): 169 - 186. 10.18092/ulikidince.1013685
MLA AYAYDIN HASAN,Pilatin Abdulmuttalip,BARUT ABDULKADIR TAKİPTEKİ KREDİLERİN BANKAYA ÖZGÜ, FİNANSAL VE MAKROEKONOMİK BELİRLEYİCİLERİ: TÜRKİYE ÖRNEĞİ. , 2021, ss.169 - 186. 10.18092/ulikidince.1013685
AMA AYAYDIN H,Pilatin A,BARUT A TAKİPTEKİ KREDİLERİN BANKAYA ÖZGÜ, FİNANSAL VE MAKROEKONOMİK BELİRLEYİCİLERİ: TÜRKİYE ÖRNEĞİ. . 2021; 169 - 186. 10.18092/ulikidince.1013685
Vancouver AYAYDIN H,Pilatin A,BARUT A TAKİPTEKİ KREDİLERİN BANKAYA ÖZGÜ, FİNANSAL VE MAKROEKONOMİK BELİRLEYİCİLERİ: TÜRKİYE ÖRNEĞİ. . 2021; 169 - 186. 10.18092/ulikidince.1013685
IEEE AYAYDIN H,Pilatin A,BARUT A "TAKİPTEKİ KREDİLERİN BANKAYA ÖZGÜ, FİNANSAL VE MAKROEKONOMİK BELİRLEYİCİLERİ: TÜRKİYE ÖRNEĞİ." , ss.169 - 186, 2021. 10.18092/ulikidince.1013685
ISNAD AYAYDIN, HASAN vd. "TAKİPTEKİ KREDİLERİN BANKAYA ÖZGÜ, FİNANSAL VE MAKROEKONOMİK BELİRLEYİCİLERİ: TÜRKİYE ÖRNEĞİ". (2021), 169-186. https://doi.org/10.18092/ulikidince.1013685
APA AYAYDIN H, Pilatin A, BARUT A (2021). TAKİPTEKİ KREDİLERİN BANKAYA ÖZGÜ, FİNANSAL VE MAKROEKONOMİK BELİRLEYİCİLERİ: TÜRKİYE ÖRNEĞİ. Uluslararası İktisadi ve İdari İncelemeler Dergisi, 0(33), 169 - 186. 10.18092/ulikidince.1013685
Chicago AYAYDIN HASAN,Pilatin Abdulmuttalip,BARUT ABDULKADIR TAKİPTEKİ KREDİLERİN BANKAYA ÖZGÜ, FİNANSAL VE MAKROEKONOMİK BELİRLEYİCİLERİ: TÜRKİYE ÖRNEĞİ. Uluslararası İktisadi ve İdari İncelemeler Dergisi 0, no.33 (2021): 169 - 186. 10.18092/ulikidince.1013685
MLA AYAYDIN HASAN,Pilatin Abdulmuttalip,BARUT ABDULKADIR TAKİPTEKİ KREDİLERİN BANKAYA ÖZGÜ, FİNANSAL VE MAKROEKONOMİK BELİRLEYİCİLERİ: TÜRKİYE ÖRNEĞİ. Uluslararası İktisadi ve İdari İncelemeler Dergisi, vol.0, no.33, 2021, ss.169 - 186. 10.18092/ulikidince.1013685
AMA AYAYDIN H,Pilatin A,BARUT A TAKİPTEKİ KREDİLERİN BANKAYA ÖZGÜ, FİNANSAL VE MAKROEKONOMİK BELİRLEYİCİLERİ: TÜRKİYE ÖRNEĞİ. Uluslararası İktisadi ve İdari İncelemeler Dergisi. 2021; 0(33): 169 - 186. 10.18092/ulikidince.1013685
Vancouver AYAYDIN H,Pilatin A,BARUT A TAKİPTEKİ KREDİLERİN BANKAYA ÖZGÜ, FİNANSAL VE MAKROEKONOMİK BELİRLEYİCİLERİ: TÜRKİYE ÖRNEĞİ. Uluslararası İktisadi ve İdari İncelemeler Dergisi. 2021; 0(33): 169 - 186. 10.18092/ulikidince.1013685
IEEE AYAYDIN H,Pilatin A,BARUT A "TAKİPTEKİ KREDİLERİN BANKAYA ÖZGÜ, FİNANSAL VE MAKROEKONOMİK BELİRLEYİCİLERİ: TÜRKİYE ÖRNEĞİ." Uluslararası İktisadi ve İdari İncelemeler Dergisi, 0, ss.169 - 186, 2021. 10.18092/ulikidince.1013685
ISNAD AYAYDIN, HASAN vd. "TAKİPTEKİ KREDİLERİN BANKAYA ÖZGÜ, FİNANSAL VE MAKROEKONOMİK BELİRLEYİCİLERİ: TÜRKİYE ÖRNEĞİ". Uluslararası İktisadi ve İdari İncelemeler Dergisi 33 (2021), 169-186. https://doi.org/10.18092/ulikidince.1013685