Macroeconomic Determiners Of Non-Performing Loans: Commercial Loans Sample

The profitability and strong financial structures of banks, one of the main actors of the financial sector, are of great importance for the economies of the countries. The most significant function of the banks is to pair up the ones who have oversavings and funding needs. While banks are fulfilling this function, they especially provide funding needs by giving loans ( personal finance, commercial, consumer, etc.) Providing regular return of the credits strengtens the financial structures of the banks and increases their profitability rates. However, the issued loans are not always paid back and become non-performing. The increase in non-performing loans has a decreasing impact on financial structures and profitability for the banks. While underlying reasons for the increase in non-performing loans of the banks, the dynamos of the economy, are related with their own dinamics, macroeconomical variables have also great impact on the increase in non-performing loans. The purpose of this study is to estimate macroeconomic factors which determine non- performing commercial loans,one of the most significant factors affecting the size of assets of the banks which is vital for the economies of countries and identify affecting side and degree of the non-performing commercial loans of these factors. The determiners for non-performing loans were identified by structural breaks and unit root tests were tested by Kapetanios multi structural break unit root test and cointegration test was performed by structural break Hatemi-J (2008) cointegration test. Also the estimation for cointegration coefficients was determined by Dinamic Least Squares Method. In this context, according to Hatemi-J (2008) cointegration test results for 2005 Q4-2015Q2 periods, macroeconomic factors determining the non-performing commercial loans were identified as Gross Domestic Product(GDP), BIST-100 index, commercial loans interest rates and real exchange rates. Also it was determined that BIST-100 index affected the non-performing commercial loans negatively, however, the real exchange rates affected them positively.