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Testing the Effect of House Price and Economic Outlook Indexes on Non-Performing Housing Loans by Quantile Regression Model

Author

Listed:
  • Zeynep ERYILMAZ
  • Mehmet SARI

Abstract

Fluctuations in housing prices affect many sectors, especially the banking sector and capital markets. In the study, the impact of housing prices, interest, exchange rate, economic outlook index, industrial production index (macro); deposit and deposit-to-loan ratio (micro) variables on nonperforming housing loans was analyzed for the period 2017:1-2022:12. According to the analysis, deposit, exchange rate, housing loan balance, housing price index and economic outlook index are affecting the banks' non-performing housing loans; while the unemployment rate has no effect on banks' non-performing housing loans.

Suggested Citation

  • Zeynep ERYILMAZ & Mehmet SARI, 2024. "Testing the Effect of House Price and Economic Outlook Indexes on Non-Performing Housing Loans by Quantile Regression Model," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, vol. 18(1), pages 1-18.
    • Handle: RePEc:bdd:journl:v:18:y:2024:i:1:p:1-18
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    More about this item

    Keywords

    NNPL; House Price Index; Economic Outlook Index Journal: Journal of BRSA Banking and Financial Markets;
    All these keywords.

    JEL classification:

    • E20 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - General (includes Measurement and Data)
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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