The two-way linkage between non-performing loans (NPL) and the US dollar-Turkish lira exchange rate (USD/TRY) (ER) is explored in Turkey using quarterly data from 1995Q1 to 2017Q4 using wavelet coherence technique. The findings of this study indicate that: (i) significant vulnerability in NPL is detected between 1999 and 2004, while ER significantly fluctuated during the period between 2001 and 2003 and the 2008 global crisis period in the short run; (ii) ER has a strong power to explain NPL at difference frequencies; (iii) NPL and ER were positively correlated in Turkey during the global crisis period.