Determinants of Credit Risk in the Turkish Commercial Banking Sector: New Findings

Özet

The commercial banking sector is the most important part of the financial system and in particular the banking sector in Turkey. The high credit risk exposure of commercial banks is so significant that it can endanger the stability of the banking system. In the study, bankspecific and macroeconomic determinants of credit risks of commercial banks were analyzed. The empirical analysis covers 23 commercial banks operating in the Turkish Banking Sector in the period of 2010-2020. The determinants of credit risk are modeled in line with the findings of international empirical studies. In this context, a dynamic panel data model covering bank-specific and macroeconomic variables was estimated with the help of alternative estimators. The findings show that both bank-specific and macroeconomic variables have strong effects on credit risk.

Abstract

The commercial banking sector is the most important part of the financial system and in particular the banking sector in Turkey. The high credit risk exposure of commercial banks is so significant that it can endanger the stability of the banking system. In the study, bankspecific and macroeconomic determinants of credit risks of commercial banks were analyzed. The empirical analysis covers 23 commercial banks operating in the Turkish Banking Sector in the period of 2010-2020. The determinants of credit risk are modeled in line with the findings of international empirical studies. In this context, a dynamic panel data model covering bank-specific and macroeconomic variables was estimated with the help of alternative estimators. The findings show that both bank-specific and macroeconomic variables have strong effects on credit risk.

Yazarlar

İlyas AKHİSAR, Kaşif Batu TUNAY

Anahtar Kelimeler

Commercial Banking, Credit Risk, Dynamic Panel Data Models

JEL Codes

C23, C63, G21

Yayın Bilgileri

Cilt 1, Sayı 2, 2021 · Sayfa 39-49

DOI: 10.52898/ijif.2021.9

Dosyalar