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Avrasya Ekonometri �statistik ve Ampirik Ekonomi DergisiYl:2017 Say: 8 Alan: statistik-Saysal Yntemler-Ekonometri

Resul Aydemir, Blent Glolu, Ercan Sardoan
The Effects of the Volatility Changes in Exchange Rates and Interest Rates from Historical Shocks on the Non-Performing Loans in Turkish Economy
 
Historical shocks (Lehman Brothers bankruptcy (15 September 2008), the FEDs tapering decision (18 December 2013), the CBRTs interest rate decision (28 January 2013)) had significant impact on global and domestic financial markets, especially nonperforming loans (NPLs). In this context, main aim of this study is to analyze how volatility changes in exchange rates and interest rates triggered by these historical shocks affect consumer and industrial nonperforming loans in Turkish economy by using quantile regression techniques. The results showed that shocks that cause volatility changes in foreign exchange rates and interest rates have important effects on NPLs in the Turkish banking industry.

Anahtar Kelimeler: Volatility Changes, Historical Shocks, Nonperforming Loans, Turkish Economy


The Effects of the Volatility Changes in Exchange Rates and Interest Rates from Historical Shocks on the Non-Performing Loans in Turkish Economy
 
Historical shocks (Lehman Brothers bankruptcy (15 September 2008), the FEDs tapering decision (18 December 2013), the CBRTs interest rate decision (28 January 2013)) had significant impact on global and domestic financial markets, especially nonperforming loans (NPLs). In this context, main aim of this study is to analyze how volatility changes in exchange rates and interest rates triggered by these historical shocks affect consumer and industrial nonperforming loans in Turkish economy by using quantile regression techniques. The results showed that shocks that cause volatility changes in foreign exchange rates and interest rates have important effects on NPLs in the Turkish banking industry.

Keywords: Volatility Changes, Historical Shocks, Nonperforming Loans, Turkish Economy


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