Nexus between non‐performing loans and economic growth in emerging countries: Evidence from Turkey with wavelet coherence approach
利用2005年至2019年土耳其季度数据，通过小波相干性方法分析不良贷款与经济增长的长期和短期因果关系，发现经济增长对不良贷款有显著解释力。
Abstract The study aims to capture the co‐movement between non‐performing loans (NPLs) and economic growth (EG) in Turkey using the quarterly data from 2005/Q1 to 2019/Q4 and applying the wavelet coherence approach, which allows the study to explore both the long‐run and short‐run causal linkages between NPLs and EG in Turkey. The findings reveal that (a) there is a significant vulnerability in NPLs and EG over the selected period at different frequency levels; (b) EG in Turkey has a strong power for explaining NPLs in the long‐run; (c) EG causes NPLs in Turkey in the short‐term between 2007 and 2010, which implies that the credit growth in the period with the increasing NPLs supports EG of Turkey. The outcomes of the tests underline the importance of EG for predicting NPLs in Turkey.