Spillover effects of Covid-19 uncertainty on non-performing loans of the Turkish agricultural sector on bank performance
by Lukman A. Olorogun
J. for Global Business Advancement (JGBA), Vol. 13, No. 4, 2020

Abstract: We explored spillover effects of Covid-19 on non-performing loans (NPLs) of the Turkish agricultural sector on the banking system. We used a monthly time series dataset covering the period December 2004 and April 2020. Diebold and Yilmaz index was used to establish the level of interconnectedness and Johansen and Juselius cointegration was adopted to uncover whether there is a long-run cointegration effect on spillovers among the series. The correlation results showed that there is some acceptable interconnectedness among the group. The results of the spillover index effects revealed a large spillover of the pandemic in the agriculture sector, followed by significant impacts on the ROE which is across the sectors under study. Overall, total spillover effect is 19.9%. Another unexplained effect of Covid-19 pandemic in this study is 80.1%, which might be a result of random noise in the dataset. Johansen cointegration revealed a long-run cointegration spillover of Covid-19 across sectors.

Online publication date: Wed, 13-Jan-2021

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