Spillover effects of Covid-19 uncertainty on non-performing loans of the Turkish agricultural sector on bank performance Online publication date: Wed, 13-Jan-2021
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.
Existing subscribers:
Go to Inderscience Online Journals to access the Full Text of this article.
If you are not a subscriber and you just want to read the full contents of this article, buy online access here.Complimentary Subscribers, Editors or Members of the Editorial Board of the J. for Global Business Advancement (JGBA):
Login with your Inderscience username and password:
Want to subscribe?
A subscription gives you complete access to all articles in the current issue, as well as to all articles in the previous three years (where applicable). See our Orders page to subscribe.
If you still need assistance, please email subs@inderscience.com
Our Blog 
Follow us on Twitter 
Visit us on Facebook