Forecasting and evaluation of non-performing loans in the Turkish banking sector
Hazar Altınbaş, Gülay Hanişoğlu
In recent years, there is an increasing trend in non-performing loan levels in Turkey which causes stress both on the real and financial sectors. Increasing non-performing loan volumes are an indication of problems in sectors or the general economy. It is also closely related with the stability of the banking system. It is therefore important for regulatory/ supervisory institutions and banks to be able to predict problematic loan levels successfully, for better policy making and management. For this purpose, non-performing loans to credit ratio in Turkey for the dates between the first quarter of 2015 and fourth quarter of 2019 were forecasted with two machine learning methods, namely random forests and boosted trees, by using data starting from the first quarter of 2003. Lagged values of several macroeconomic, bankspecific and uncertainty factors are included as determinant variables in the analyses. Methods provide insight about the relationship of included variables with non-performing loans. Our results indicate partial dependencies and positive relationship between non-performing loans and inflation, interest rate and capital adequacy ratios, and negative relationship with credit to gross domestic product ratio.
Year of publication: |
2023
|
---|---|
Authors: | Altınbaş, Hazar ; Hanişoğlu, Gülay |
Published in: |
Istanbul business research. - Istanbul : Istanbul University Press, ISSN 2630-5488, ZDB-ID 3098557-2. - Vol. 52.2023, 2, p. 381-406
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Subject: | Banking Regulations | Financial System | Time-Series Forecasting | Machine Learning | Türkei | Turkey | Prognoseverfahren | Forecasting model | Bankenregulierung | Bank regulation | Finanzsystem | Financial system | Bank | Notleidender Kredit | Non-performing loan | Zeitreihenanalyse | Time series analysis | Finanzsektor | Financial sector |
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