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The nonlinear nexuses between monetary policy, household indebtedness, and household consumption: Evidence from Korea

IF 2 Q2 ECONOMICS

Central Bank Review

Pub Date : 2025-02-15 DOI: 10.1016/j.cbrev.2025.100190

Jounghyeon Kim

Household indebtedness in Korea has surged persistently during 2003-2022. Low interest rates, coupled with escalating housing prices, are the key drivers of growing household debt. In this context, monetary tightening may play an opposite role to conventional monetary policy. Moreover, inordinate indebtedness likely acts as a deterrent to household consumption. Using threshold regression, this study explores the nonlinear nexus between monetary policy and household debt, as well as the nexus between household consumption and debt in Korea. The results reveal that an increase in the monetary policy rate boosts household debt in a regime with values beyond the threshold of the nominal (real) housing sales price index approximately 61.3 and 63.9 (80.7) for regressions on the regime-specific nominal and real policy rates, respectively. This implies that monetary tightening can enhance household debt due to high housing price expectations. Furthermore, an increase in household indebtedness suppresses household consumption when the household debt-to-annual GDP ratio is above the thresholds of approximately 84% and 82% for regressions on household debt growth and household debt-to-GDP ratio growth, respectively. These findings suggest that, under low interest rates, in the face of high housing prices and “excessive” household indebtedness, monetary tightening and debt expansion are unviable courses of action for resolving growing household indebtedness and declining household consumption. Therefore, when regulating the policy rate to control household debt and spending effectively, it is crucial to maintain housing prices and household indebtedness at desirable levels. In tandem with this, additional policy instruments such as macroprudential and housing-related fiscal regulations may also be needed to attain financial stability.

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引用次数: 0

The impact of temperature and precipitation on wheat production in Türkiye

IF 2 Q2 ECONOMICS

Central Bank Review

Pub Date : 2025-02-14 DOI: 10.1016/j.cbrev.2025.100191

Aslıhan Atabek Demirhan, Saide Simin Bayraktar

It is now a well-known fact that climate is changing globally at an unprecedented rate and agriculture is one of the most vulnerable sectors to this change. Considered as a significant threat for food security, climate change and its impact on agricultural practices are among the most prominent topics in the recent economic literature. Given its significant contribution to employment, exports and national income, agricultural production-climate change relation is considerably crucial for the Turkish economy. In this paper, we investigate the impact of climate change on wheat production at the province-level with a unique, up-to-date and comprehensive dataset that is constructed by the Central Bank of the Republic of Türkiye (CBRT) under the Early Warning System Project (EWSP). In the corresponding models, climate change is initially considered in a conventional way via temperature and precipitation measures, later considered with new alternative composite climate indicators. The estimation results obtained from models with two different alternative climate measures are comparable and similar: Climate change has a statistically significant adverse impact on wheat production. Combining model estimation results with the climate scenarios, the impact of hotter springs and summers on wheat production for different time spans has been put forward. The impact is found to be increasing over time, regardless severity of the climate scenarios. We believe that our understanding regarding climate change-agricultural production relation will improve with the advancements of the data set, and this will support the development of more efficient policy recommendations.

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引用次数: 0

How did credit guarantee fund supports affect the bank-loan network in Türkiye?

IF 2 Q2 ECONOMICS

Central Bank Review

Pub Date : 2024-12-10 DOI: 10.1016/j.cbrev.2024.100182

Ayça Topalog̃lu-Bozkurt , Süheyla Özyıldırım

Using granular data from the Turkish banking system, we investigate the effect of credit guarantee schemes (CGSs) in 2017 and early 2018 on bank connectedness originating from common borrower firms. Our empirical findings show that the CGSs affect the connectedness of banks differently. While CGSs significantly increases the connectedness of large and small banks, they do not have a significant effect on medium-sized banks. In addition, the connectedness of state-owned banks and private domestic banks are significantly increased with the CGSs. Moreover, the CGSs increase the centrality of the strongly connected banks, while they do not have a significant effect on the centrality of the moderately or weakly connected banks. Finally, we find that the negative relation between the connectedness of the banks and the bank loan portfolio riskiness strengthens with the CGSs.

引用次数: 0

User adoption of digital currency: A systematic review and future agenda using TCCM approach

IF 2 Q2 ECONOMICS

Central Bank Review

Pub Date : 2024-12-10 DOI: 10.1016/j.cbrev.2024.100183

Vikrant Singh, Mayank Yadav

Scholarly investigations into blockchain-based currencies are progressively acknowledging the transformative capacity of Central Bank Digital Currency (CBDC) in addressing the issues related to digital payments. However, this emerging field of study is presently dispersed and fragmented from the user's behavioral perspective. This paper extends the existing literature by establishing an in-depth conceptual boundary using a standard review protocol. It comprehensively analyses the 78 papers published till December 2023 to identify key research gaps. It identifies the primary contextual dimension, bibliometric information, and key clusters of concepts exhibited in the existing literature using inductive analysis techniques, Excel, R-Studio, and Vosviewer software. Furthermore, this paper also aims to suggest a future research agenda based on the TCCM approach, which will serve as a valuable resource for making informed decisions regarding CBDC development and adoption.

引用次数: 0

Uneven effects of monetary policy: Sectoral disparities in credit card spending 货币政策的不均衡效应：信用卡消费的部门差异

IF 2 Q2 ECONOMICS

Central Bank Review

Pub Date : 2024-11-23 DOI: 10.1016/j.cbrev.2024.100181

Hakan Yilmazkuday

This paper investigates the effects of monetary policy on the credit card spending on different sectors. The investigation is based on a structural vector autoregression model, where sector-specific real credit card spending data (adjusted for inflation) representing an overall country, Türkiye, are used. The empirical results (in the long run) suggest that a positive shock to the monetary policy rate reduces real credit card spending in cars, health, insurance, and shopping in a statistically significant way, whereas it increases real credit card spending on airlines and travel. Monetary policy shocks contribute to the volatility of credit card spending by up to 36% for insurance, 26% for markets and shopping centers, and 22% for travel sectors, whereas this contribution is only about 3% for contractor services and about 4% for car rentals, jewelry, and casino sectors. It is implied that there are uneven effects of monetary policy across sector-specific credit card spendings. These results are robust to the consideration of changes in unemployment rate, inflation rate, nominal effective exchange rate, and the number of credit card transactions as well as alternative model specifications with different numbers of lags, different variables, and different estimation strategies. Important suggestions follow for monetary, fiscal, and macroprudential policies to mitigate the uneven effects of monetary policy across sectors.

本文研究了货币政策对不同行业信用卡支出的影响。研究以结构向量自回归模型为基础，使用了代表整个国家（土耳其）的特定行业实际信用卡支出数据（根据通货膨胀进行了调整）。实证结果（长期）表明，货币政策利率的正向冲击在统计意义上显著减少了汽车、医疗、保险和购物领域的实际信用卡支出，而增加了航空和旅游领域的实际信用卡支出。货币政策冲击对保险、市场和购物中心以及旅游行业信用卡支出波动的影响分别高达 36%、26% 和 22%，而对承包商服务的影响仅约为 3%，对租车、珠宝和赌场行业的影响约为 4%。这意味着货币政策对特定行业信用卡消费的影响是不均衡的。考虑到失业率、通货膨胀率、名义有效汇率和信用卡交易次数的变化，以及不同滞后期数、不同变量和不同估计策略的替代模型规格，这些结果都是稳健的。为缓解货币政策对各部门的不均衡影响，我们对货币、财政和宏观审慎政策提出了重要建议。

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引用次数: 0

Domestic inflation decomposition in a small open economy: Evidence from import price dynamics in Kazakhstan 小型开放经济体的国内通胀分解：哈萨克斯坦进口价格动态的证据

IF 2 Q2 ECONOMICS

Central Bank Review

Pub Date : 2024-10-21 DOI: 10.1016/j.cbrev.2024.100179

Zhandos Ybrayev, Bauyrzhan Shamar, Kamilla Mamatova

This paper empirically analyzes the key drivers of inflation in Kazakhstan by differentiating between demand and supply-driven factors contributing to headline inflation. Given that Kazakhstan is highly sensitive to adverse external fluctuations (due to its economic structure), our empirical strategy investigates asymmetric dynamics of prices of goods with high versus low degree of import share. Hence, we develop a methodology to determine the level of “importability” in certain consumption products, which serves as a proxy of vulnerability to external macroeconomic shocks. The results confirm our hypothesis that products with different degree of import content respond differently to major macroeconomic shocks. Consequently, we conclude that headline inflation in Kazakhstan is primarily impacted by supply-side factors, such as the direct transmission of exchange rate changes to prices of products with higher import shares (exchange rate pass-through) and a large component of inflation inertia. Differentiating and properly identifying inflation dynamics of the high-import-content and low-import-content goods have important implications for optimal monetary policy conduct in developing economies.

本文通过区分导致总体通货膨胀的需求和供应驱动因素，对哈萨克斯坦通货膨胀的主要驱动因素进行了实证分析。鉴于哈萨克斯坦对不利的外部波动高度敏感（由于其经济结构），我们的实证策略调查了进口份额高和进口份额低的商品价格的非对称动态。因此，我们开发了一种方法来确定某些消费产品的 "可进口性 "水平，以此来替代对外部宏观经济冲击的脆弱性。结果证实了我们的假设，即不同进口程度的产品对主要宏观经济冲击的反应是不同的。因此，我们得出结论，哈萨克斯坦的总体通货膨胀率主要受供应方因素的影响，如汇率变动直接传导至进口份额较高产品的价格（汇率传递），以及通货膨胀惯性的很大一部分。区分并正确识别高进口商品和低进口商品的通货膨胀动态，对发展中经济体的最佳货币政策行为具有重要意义。

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引用次数: 0

Potential impact of introducing a neutral positive countercyclical capital buffer in EU countries 欧盟国家引入中性正向反周期资本缓冲的潜在影响

IF 2 Q2 ECONOMICS

Central Bank Review

Pub Date : 2024-10-19 DOI: 10.1016/j.cbrev.2024.100180

Paweł Smaga

The aim of this study is to assess the potential to introduce a positive neutral rate for the countercyclical capital buffer (nCCyB) at 0.5%, 1%, 1.5% and 2% in 20 EU countries over the period 2014Q4 up to 2023Q3. Prudential data at country-level was used to estimate the level of banks' voluntary management buffers, which were found to be significant overall (although gradually decreasing) and enough to accommodate the introduction of the nCCyB. According to estimations, introduction of the nCCyB at those rates would have reduced banks’ management buffers on average by 6.5–26.0%. However, there is visible heterogeneity among EU countries. The resulting lowest decrease in capital headroom following the potential introduction of the nCCyB was recorded, among others, in Sweden, Czech Republic, Slovakia, Malta, Ireland, with the highest in Spain, Croatia, Greece, and Austria. However, the adoption of the nCCyB in recent years faces several hurdles, which constitute challenges for banks and policymakers alike.

本研究旨在评估 20 个欧盟国家在 2014 年第四季度至 2023 年第三季度期间引入 0.5%、1%、1.5% 和 2%的正中性反周期资本缓冲率（nCCyB）的可能性。国家层面的审慎数据被用来估算银行自愿管理缓冲的水平，结果发现这些缓冲总体上是显著的（尽管在逐渐减少），足以适应 nCCyB 的引入。根据估算，按这些比率引入 nCCyB 将使银行的管理缓冲平均减少 6.5-26.0%。然而，欧盟国家之间存在明显的差异。瑞典、捷克共和国、斯洛伐克、马耳他、爱尔兰等国在可能引入 nCCyB 后，资本净空的降幅最小，而西班牙、克罗地亚、希腊和奥地利的降幅最大。然而，近年来采用 nCCyB 面临着一些障碍，对银行和政策制定者都构成了挑战。

引用次数: 0

Bank loan maturity and corporate investment 银行贷款到期和企业投资

IF 2 Q2 ECONOMICS

Central Bank Review

Pub Date : 2024-10-15 DOI: 10.1016/j.cbrev.2024.100178

İbrahim Yarba, Burak Deniz

This study analyzes bank loan maturity and corporate investment linkage by using novel firm-level data covering the universe of all incorporated firms in Türkiye over the last decade. The results of the panel regression model with multi-dimensional fixed effects reveal that loan maturity has a significant positive association with investment, indicating that longer debt maturity fosters corporate investment. The results reveal that the positive linkage between longer debt maturity and investment is more pronounced for small and medium-sized enterprises (SMEs). This is also the case for young firms and firms with high growth opportunities. Considering the evidence provided in the literature that bank lending conditions, including maturity structure, are highly cyclical and vulnerable to financial conditions and economic policy uncertainties, our findings highlight the importance of reducing the policy uncertainties as well as the importance of policies that make equity financing more attractive and deepen the capital markets.

本研究利用新颖的公司层面数据分析了银行贷款期限与企业投资之间的联系，这些数据涵盖了过去十年中土耳其所有注册公司的总体情况。带有多维固定效应的面板回归模型结果显示，贷款期限与投资有显著的正相关关系，表明较长的债务期限促进了企业投资。结果显示，对于中小型企业（SMEs）来说，较长的债务期限与投资之间的正相关关系更为明显。年轻企业和具有高增长机会的企业也是如此。考虑到文献中提供的证据表明，银行贷款条件（包括期限结构）具有很强的周期性，很容易受到金融条件和经济政策不确定性的影响，我们的研究结果凸显了减少政策不确定性的重要性，以及使股权融资更具吸引力和深化资本市场的政策的重要性。

引用次数: 0

Singular spectrum analysis to estimate core inflation in Brazil 用奇异谱分析估算巴西核心通货膨胀率

IF 2 Q2 ECONOMICS

Central Bank Review

Pub Date : 2024-09-20 DOI: 10.1016/j.cbrev.2024.100177

Matheus Fellipe de Oliveira Santos, Rafael Morais de Souza, Wilson Luiz Rotatori Corrêa

This paper presents a set of new core inflation measures for Brazil based on the Singular Spectrum Analysis (SSA) method. The measures are based on the official target used in the Brazilian inflation targeting regime. The period of analysis ranges from the beginning of the inflation targeting regime in 1999 and 2021. The SSA measures were compared to the inflation core ones used by the Central Bank of Brazil, through the evaluation of unbiasedness, short-term adjustment dynamics and predictive ability. The measures estimated by SSA meet the desired properties and have a greater predictive capacity than the other inflation cores.

本文介绍了一套基于奇异谱分析（SSA）方法的巴西新核心通胀指标。这些指标基于巴西通胀目标制中使用的官方目标。分析期间从 1999 年通胀目标制开始到 2021 年。通过评估无偏性、短期调整动态和预测能力，将 SSA 测量值与巴西中央银行使用的通货膨胀核心测量值进行了比较。与其他通货膨胀核心指标相比，由 SSA 估算的指标符合预期特性，并具有更强的预测能力。

引用次数: 0

The importance of external shocks and global monetary conditions for a small-open economy: The case of Türkiye 外部冲击和全球货币条件对小型开放经济体的重要性：土耳其案例

IF 2 Q2 ECONOMICS

Central Bank Review

Pub Date : 2024-08-19 DOI: 10.1016/j.cbrev.2024.100170

Gülnihal Tüzün

The channels driving the international macroeconomic and financial shock transmission is important for policy makers for the evaluation of the macroeconomic models and the appropriate policy design. The interdependencies between countries have a significant role on the international spillovers of macroeconomic shocks on the emerging market economies. The purpose of this study is to assess how do the domestic and foreign shocks affect the fundamental macroeconomic variables of a small-open economy, and in particular Türkiye. The domestic supply, demand and monetary policy shocks and their global counterparts are estimated by employing a Bayesian Structural VAR model identified with sign and zero restrictions. After a US monetary tightening shock, the results demonstrate an appreciation of the US Dollar against Turkish lira, a rise in the domestic consumer price level, a contractionary monetary policy response accompanied by a fall in the real output level. This reaction is a strong evidence of the existence of a global interest rate contagion present in the international macroeconomics literature.

推动国际宏观经济和金融冲击传播的渠道对于政策制定者评估宏观经济模型和设计适当的政策非常重要。国家间的相互依存关系对宏观经济冲击对新兴市场经济体的国际溢出效应具有重要作用。本研究的目的是评估国内外冲击如何影响小型开放经济体（尤其是土耳其）的基本宏观经济变量。本研究采用贝叶斯结构 VAR 模型，通过符号和零限制对国内供应、需求和货币政策冲击以及全球冲击进行了估算。在美国货币紧缩冲击之后，结果显示美元对土耳其里拉升值，国内消费价格水平上升，货币政策反应收缩，同时实际产出水平下降。这种反应有力地证明了国际宏观经济学文献中存在的全球利率传染现象。

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