Analysis of sectoral credit default cycle dependency with wavelet networks: Evidence from Turkey

Cifter, Atilla; Yilmazer, Sait; Cifter, Elif

doi:10.1016/j.econmod.2009.07.014

Cited by 48 publications

(27 citation statements)

References 28 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…Boss et al (2009 examine the coupling of credit risk of the main Austrian corporate sectors with the business cycle. Other studies focusing on the macroeconomic determinants of NPLs include Cifter et al (2009), Nkusu (2011 and Segoviano et al (2006).…”

Section: Introductionmentioning

confidence: 98%

Macroeconomic and bank-specific determinants of non-performing loans in Greece: A comparative study of mortgage, business and consumer loan portfolios

Louzis

Vouldis

Metaxas³

2012

Journal of Banking & Finance

869

131

837

View full text Add to dashboard Cite

Section: Introductionmentioning

confidence: 98%

Macroeconomic and bank-specific determinants of non-performing loans in Greece: A comparative study of mortgage, business and consumer loan portfolios

Louzis

Vouldis

Metaxas³

2012

Journal of Banking & Finance

869

131

837

View full text Add to dashboard Cite

“…Park (2012) finds some evidence that corruption distorts the allocation of bank funds from normal to bad projects, resulting in a decrease on the quality of private investments, hence it decreases economic growth. Other studies focusing on the macroeconomic determinants of NPLs include Cifter et al (2009), and Segoviano et al (2006).…”

Section: Introductionmentioning

confidence: 99%

Short Term and Long Term Linkages among Nonperforming Loans, Macroeconomic and Bank-Specific Factors: An Empirical Analysis for Turkey

Vardar¹,

Özgüler²

2015

eab

View full text Add to dashboard Cite

This paper investigates the linkages among the nonperforming loans and different macroeconomic and bank-specific factors in the Turkish banking sector over the period 2007-2013. The study is motivated by the hypothesis that both different macroeconomic and bank-specific variables have an effect on the quality of the loans. The long run relationship among the non-performing loans and these variables is analyzed by using Johansen-Juselius (1990) cointegration tests; short-run dynamics is tested through Granger Causality test, and the direction of the causality, through the Vector Error Correction Model (VECM). The results show that there exists consistent and strong long-run relationship among the nonperforming loans, macroeconomic variables and bank-specific factors. However, the short-term causal relationships are considerably limited, and, where they exist, especially unidirectional.

show abstract

“…Yağcılar and Demir (2015) and Isik and Bolat (2016) explain the main determinants of non-performing loan in the Turkish banking sector by bank-specific and macroeconomic variables. Findings of Cifter, Yilmazer and Cifter (2009) reveal a relationship between sectorial production cycle and sectorial non-performing loans in the Turkey. Boss (2002) for Austrian banking sector and Jakubik and Schmieder (2008) for Czech and the German credit risk environment modeled credit risk on macroeconomic factors.…”

Section: Literature Reviewmentioning

confidence: 99%

Non-financial credit information sharing and non-performing loans: an analysis using doing business database

Şahin¹

2017

Pressacademia

View full text Add to dashboard Cite

Purpose-This paper suggests that sharing of credit information from non-financial information sources decrease the non-performing loan rate. To analyze whether the differences in non-financial information sharing across countries have any effect on the percentage of nonperforming loan, a sample of 55 countries from Doing Business 2017 is analyzed. Methodology-Cross section regressions on country level data for the year 2015 is estimated by Ordinary Least Squares Method. Findings-Analysis findings reveal that availability of non-financial credit information from retails and utilities companies, as addition to financial sources, in a credit reporting institution lower the bank non-performing loan rates. Conclusion-It can be concluded that the payment behavior reported by non-financial information providers can cause to a reduction in information asymmetries between lenders and borrowers.

show abstract

Analysis of sectoral credit default cycle dependency with wavelet networks: Evidence from Turkey

Cited by 48 publications

References 28 publications

Macroeconomic and bank-specific determinants of non-performing loans in Greece: A comparative study of mortgage, business and consumer loan portfolios

Macroeconomic and bank-specific determinants of non-performing loans in Greece: A comparative study of mortgage, business and consumer loan portfolios

Short Term and Long Term Linkages among Nonperforming Loans, Macroeconomic and Bank-Specific Factors: An Empirical Analysis for Turkey

Non-financial credit information sharing and non-performing loans: an analysis using doing business database

Contact Info

Product

Resources

About