Banking-Sector Credit Risk Under Energy Price Shocks: A Borrower-Specific Nonlinear ARDL Analysis of Non-Performing Loans in an Emerging Market

This study asks whether energy price shocks reach banking-sector credit risk differently across borrower types, combining three elements the literature has used separately: disaggregation by borrower, asymmetric modelling of energy prices, and a formal test of whether the asymmetries differ. Using monthly data for Türkiye, 2005–2026, we estimate nonlinear ARDL (NARDL) models for total, household and commercial non-performing loan (NPL) ratios across seven energy price indicators. The two portfolios respond asymmetrically in opposite directions: a 1 per cent cumulative rise in real consumer energy prices is associated with a 1.86 per cent higher household NPL ratio in the long run—about 0.6 percentage points for a typical year—while declines bring no measurable relief, whereas for commercial loans a 1 per cent cumulative decline is associated with a 3.54 per cent lower ratio and increases with no change. Joint estimation rejects the equality of the two asymmetry gaps (asymptotic p < 0.001; block-bootstrap p = 0.007), and the commercial response is carried by consumer rather than producer energy prices, pointing to a household-demand channel. The long-run elasticities are conditional on a level relationship the bounds test supports only weakly; the asymmetry tests do not depend on it, and the household result is the more securely established. Symmetry cannot be rejected for total NPLs, consistent with the two asymmetries offsetting: aggregate ratios can mask borrower-specific responses, and consumer energy price stability matters for banking-sector asset quality.