The relationship of exchange rate with non performing loans: A study on banks in Turkey

In this study, the increase and decrease effect of the United States Dollar (USD), the most traded reserve currency in world trade and international shopping, was examined in order to investigate the effect of changes in the exchange rate, one of the macroeconomic factors affecting the non performing loans rate. The aim of the study is to investigate the relations between increases and decreases in the USD exchange rate and the non performing loans rate and to make predictions about the non performing loans rate and exchange rate for the future. For this purpose, non performing loans rate and changes in the USD exchange rate for the periods 2003:01 and 2023:06 were listed monthly and the correlations between them were calculated. Then, time series analysis was performed and predictions for the next year were made with the USD exchange rate and non performing loans rate data for the specified period. According to the correlation results, a weak negative correlation was found between the data in the 2003:01 and 2023:06 time interval, but a very strong negative correlation was obtained between the data in the 2020:1 and 2023:6 time interval. As a result of the time series analysis, when the USD exchange rate and non performing loans rate prediction results of the data between 2023:1 and 2023:6 were compared with the real data, close values were observed.