Determinants of NPL ratio in turkish banking sector

The aim of this thesis is to determine the determinants of the NPL ratio in the Turkish banking sector. In the study, which is based on the Credit Portfolio View approach, which is a macroeconomic credit risk model developed by Thomas Wilson in 1997, the NPL ratio was used as the dependent variable, and unemployment, gross domestic product and interest were used as the independent variables. As a result of the ARDL boundary test, a cointegration relationship was determined and according to the results of the long-term ARDL model, a statistically significant positive relationship at the 5% level was found between the unemployment (UNEMPLOYMENT) variable and the NPL variable. A statistically significant negative correlation was found at the level of 5% between the gross domestic product (GDP) and the NPL variable. A statistically significant positive correlation was found at the level of 1% between the interest rate (FAIZ) variable and the NPL variable. According to the results of the Toda Yamamoto causality test, a one-way causality relationship was determined from the interest variable to the NPL ratio. Keywords: ARDL boundary test, Banking industry, Credit risk, Non-performing loans