Macroeconomic Determinants of Non-Performing Loans: Evidence from Turkish Banking Sector
This paper analyzes the macroeconomic determinants of credit risk (i.e., non-performing loans) in the Turkish banking sector over the period 2002 and 2015. By using data from 23 commercial banks, the study conducts a panel data analysis via pooled-OLS, fixed effects and random effects and finds evidence for a statistically significant relation between macroeconomic factors and credit risk. Accordingly, increase in growth rate of GDP (business cycle) and stock market index (BIST 100) decrease the level of non-performing loans.
Keywords - Credit risk, macroeconomic factors, panel data