IDEAS home Printed from https://ideas.repec.org/p/pra/mprapa/67576.html
   My bibliography  Save this paper

Türk Bankacılık Sektöründe Kredi Riski ve Modellenmesi
[Turkish Banking Sector Credit Risk and Modelling]

Author

Listed:
  • Demirel, Baki

Abstract

Following September 2010, the Central Bank of Turkey has targeted financial stability as well as its price stability. An increase in credit risks in the banking sector induces economic risks and therefore affects adversely the financial stability. The aim of this paper is to analyse the relationship between variables, that are believed to affect NLPs, in the Turkish banking sector and NLPs. For this purpose, Vector Autoregression (VAR) model is used. To study short- and long-run relationship between variables, Johansen Cointegration test and Error Correction Model are applied.

Suggested Citation

  • Demirel, Baki, 2015. "Türk Bankacılık Sektöründe Kredi Riski ve Modellenmesi [Turkish Banking Sector Credit Risk and Modelling]," MPRA Paper 67576, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:67576
    as

    Download full text from publisher

    File URL: https://mpra.ub.uni-muenchen.de/67576/1/MPRA_paper_67576.pdf
    File Function: original version
    Download Restriction: no
    ---><---

    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

    NEP fields

    This paper has been announced in the following NEP Reports:

    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:pra:mprapa:67576. 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.

    We have no bibliographic references for this item. You can help adding them by using 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: Joachim Winter (email available below). General contact details of provider: https://edirc.repec.org/data/vfmunde.html .

    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.