Central Bank Review最新文献

Measuring and monitoring inflation uncertainty is an essential ingredient of monetary policy analysis. This study constructs survey measures of inflation uncertainty for the Turkish economy. Using density and point inflation forecasts in the CBRT Survey of Expectations, we derive various uncertainty measures through standard deviation, entropy, and disagreement among forecasters. Our results suggest that survey-based inflation uncertainty measures are broadly consistent with market-implied indicators of inflation risk. Moreover, we find that an increase in observed inflation is associated with higher inflation uncertainty across all empirical specifications.

Exploring dynamics of household final consumption is an important concern for policy-makers. Turkey had witnessed various financial shocks and crises over the last two decades. These turbulent economic periods affected consumption behaviour and therefore, other macroeconomic variables. In this paper, we examine the linkage between household final consumption and wealth in Turkey, arising from equity and housing market channels over the period from 1998 Q1 to 2016 Q2. We employ ARDL and FMOLS models in order to analyse long-term relationship and then, variance decomposition and impulse response analysis are used for verifying the effects of shocks. The results suggest that income, credit and housing wealth are positively, interest rate and equity market wealth are negatively associated with consumption. Variance decomposition and impulse response analyses imply that interest rate driven shocks may cause to a decline in asset prices and so aggregate consumption through consumption-wealth channel. These evidences may be beneficial for policymakers to understand the role of interest rate and asset prices on the consumption-wealth channel in Turkey.

This study revisits the import demand function for Turkey using the newly defined national income data and examines the evolution of the income and price elasticities over time. In this respect, demand functions are estimated for the total imports and its subcomponents separately, and the corresponding time varying elasticities are obtained by applying the method of Kalman filter between 2003 and 2018. The findings suggest that the growth of total imports is mainly explained by income and relative price changes. The income and expenditure elasticities decrease over time in total imports and in sub-components except for intermediate goods. The relative price elasticity remains almost unchanged for investment and consumption goods imports but increases considerably for the intermediate goods imports and total imports.

For theoretical and statistical reasons, it is important to decompose some series into dual components in order to understand their permanent and temporary movements as well as their dual co-movements. This study, therefore, aims to introduce the dual adjustment approach for the nonstationary macroeconomic variables. In line with this aim, the concept of common Hodrick-Prescott (HP) trend and a simple test for the existence of such relationship (Common HP trending) are also provided. The dual adjustment approach provides an alternative to the cointegration analysis for some cases, e.g., consumption function, by relaxing the implicit assumption of the singular adjustment in cointegration analysis. Our empirical results indicate that while personal consumption expenditure and disposable income are not cointegrated in the US over the period 1929–2017, these variables have a common HP trend. Additionally, it is shown that there is some evidence of dual adjustment in the behavior of US aggregate consumption.

Mean-reversion in unprocessed food prices and beef prices towards the long-run trend is examined for twenty-two European countries, using linear and nonlinear unit root tests. As the argument goes, food prices might display short-term deviations from their long-run values due to disturbances such as changes in climate or speculation; yet, once the impact of these short-lived shocks fade away, the prices convert to the long-run equilibrium level determined by fundamentals. The nonlinear smooth transition framework suggest that the speed of this adjustment might depend on the size and sign of the deviation of prices from their long-run values. The results carry important policy implications regarding the benefits of short-term demand management policies along with structural policies.

In this paper, industrial production growth and core inflation are forecasted using a large number of domestic and international indicators. Two methods are employed, factor models and forecast combination, to deal with the curse of dimensionality problem stemming from the availability of ever growing data sets. A comprehensive analysis is carried out to understand the sensitivity of the forecast performance of factor models to various modelling choices. In this respect, effects of factor extraction method, number of factors, data aggregation level and forecast equation type on the forecasting performance are analyzed. Moreover, the effect of using certain data blocks such as interest rates on the forecasting performance is evaluated as well. Out-of-sample forecasting exercise is conducted for two consecutive periods to assess the stability of the forecasting performance. Factor models perform better than the combination of bi-variate forecasts which indicates that pooling information improves over pooling individual forecasts.

Turkey received about 2.7 million Syrian refugees between 2011 and 2015. This paper examines the causal impact of this influx on the Turkish natives' labor market outcomes using the micro level annual Household Labor Force Surveys. The migration impact is analyzed in two distinct categories considering the motives behind the migration decision. The initial migration to the border regions is defined as the primary migration and a standard difference in differences strategy is employed to estimate the labor market impacts in those regions since the initial flow to the border regions was completely exogenous. The migration from the primary regions towards the inner regions, on the other hand, is subject to endogenous selection. Hence, I defined it as the secondary migration and developed an instrumental variables estimation method to address the selection bias following the Card (2009)'s ethnic enclave approach. I found statistically significant negative employment and wage effects on the low-skilled and less-experienced individuals in the primary migration analysis. The decline in the wages of informal workers is the main contributor of the negative wage effects. Secondary migration has no impact on the employment but there are statistically significant negative wage effects on the low-skilled and less-experienced workers.