CAUSAL RELATIONSHIP BETWEEN GREED AND FEAR INDEX AND NON-PERFORMING LOANS: AN EMPIRICAL STUDY ON THE TURKISH BANKING SECTOR

Levent Sezal; Beyza Nur Keklik

Article Details

CAUSAL RELATIONSHIP BETWEEN GREED AND FEAR INDEX AND NON-PERFORMING LOANS: AN EMPIRICAL STUDY ON THE TURKISH BANKING SECTOR

Authors:

Levent Sezal | Beyza Nur Keklik

Publisher:

Anadolu University

Main Topics:

Risk management in Banking | Finance

Journal:

Anadolu Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.25 Issue 3, pp.198-217

Document Type:

Article

Publication Date:

9/2024

Document Language:

English

Document ID (Org No.):

2001328566

pISSN:

2687-184X

Keywords:

Abstract:

 This study aims to investigate the causality relationship between the greed and fear index and non-performing loans in the Turkish banking sector. Time series analyses are used in this study. For this purpose, Zivot and Andrews unit root test was used to determine the stationarity of the series. Then, Granger causality test was applied to determine whether there is a causality relationship between the series and if there is a causality relationship, the direction of the causality relationship. According to the results of the study, there is a unidirectional Granger causality relationship between the non-performing loan ratios of the Turkish banking sector and the greed and fear index. In other words, it is concluded that an increase in the Greed and Fear Index increases the non-performing loanNPL ratios of the banking sector.

 This study aims to investigate the causality relationship between the greed and fear index and non-performing loans in the Turkish banking sector. Time series analyses are used in this study. For this purpose, Zivot and Andrews unit root test was used to determine the stationarity of the series. Then, Granger causality test was applied to determine whether there is a causality relationship between the series and if there is a causality relationship, the direction of the causality relationship. According to the results of the study, there is a unidirectional Granger causality relationship between the non-performing loan ratios of the Turkish banking sector and the greed and fear index. In other words, it is concluded that an increase in the Greed and Fear Index increases the non-performing loanNPL ratios of the banking sector.

 This study aims to investigate the causality relationship between the greed and fear index and non-performing loans in the Turkish banking sector. Time series analyses are used in this study. For this purpose, Zivot and Andrews unit root test was used to determine the stationarity of the series. Then, Granger causality test was applied to determine whether there is a causality relationship between the series and if there is a causality relationship, the direction of the causality relationship. According to the results of the study, there is a unidirectional Granger causality relationship between the non-performing loan ratios of the Turkish banking sector and the greed and fear index. In other words, it is concluded that an increase in the Greed and Fear Index increases the non-performing loanNPL ratios of the banking sector.

 Bu çalışmada açgözlülük ve korku endeksi ile Türk bankacılık sektörü takipteki krediler arasındaki nedensellik ilişkisinin araştırılması amaçlanmıştır. Bu çalışmada zaman serisi analizlerinden faydalanılmıştır. Bunun için serilerin durağanlığının tespiti için Zivot ve Andrews birim kök testi kullanılmıştır. Sonrasında seriler arasında bir nedensellik ilişkisinin olup olmadığı, nedensellik ilişkisi varsa yönünü tespit edilmesine yönelik olarak Granger nedensellik testi uygulanmıştır. Çalışmanın sonuçlarına göre, Türk bankacılık sektörü takipteki kredi oranları ile açgözlülük ve korku endeksi arasında tek yönlü Granger nedensellik ilişkisi olduğu tespit edilmiştir. Açgözlülük ve korku endeksindeki bir artışın bankacılık sektörü takipteki kredi oranlarını artırdığı sonucuna ulaşılmıştır.

Article Details

CAUSAL RELATIONSHIP BETWEEN GREED AND FEAR INDEX AND NON-PERFORMING LOANS: AN EMPIRICAL STUDY ON THE TURKISH BANKING SECTOR

Authors:

Levent Sezal | Beyza Nur Keklik

Publisher:

Anadolu University

Main Topics:

Risk management in Banking | Finance

Journal:

Anadolu Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.25 Issue 3, pp.198-217

Document Type:

Article

Publication Date:

9/2024

Document Language:

English

Document ID (Org No.):

2001328566

pISSN:

2687-184X

Greed and Fear Index

Non-Performing Loans

VIX

NPL

Granger Causality TestAçgözlülük ve Korku Endeksi

Takipteki Krediler

VIX

NPL

Granger Nedensellik Testi

Issues

Article Details

Authors: Levent Sezal | Beyza Nur Keklik

Publisher: Anadolu University

Main Topics: Risk management in Banking | Finance

Journal: Anadolu Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.25 Issue 3, pp.198-217

Document Type: Article

Publication Date: 9/2024

Document Language: English

Document ID (Org No.): 2001328566

pISSN: 2687-184X

Issues

Authors:

Levent Sezal | Beyza Nur Keklik

Publisher:

Anadolu University

Main Topics:

Risk management in Banking | Finance

Journal:

Anadolu Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.25 Issue 3, pp.198-217

Document Type:

Article

Publication Date:

9/2024

Document Language:

English

Document ID (Org No.):

2001328566

pISSN:

2687-184X