Central Bank Review最新文献

The aim of this paper is to construct the first comprehensive Financial Stress Index for Lebanon, dubbed the IFEFSI (Institute of Financial Economics Financial Stress Index). This is a broad coincident composite index that includes three different market segments; the banking sector, the equities market, and the foreign exchange and other markets. It is constructed as a continuous real-time measure that quantifies the level of systemic stress by measuring latent conditions. As a metric for financial conditions, the IFEFSI should provide valuable information to macroprudential regulators whose aim is to maintain a smooth and resilient financial system. By using it as a tool to help monitor, identify, and address any potential crisis, they are better equipped to maintain financial and economic stability in Lebanon.

An increase in the return of an asset in the financial markets may cause the returns of the remaining assets to fluctuate over time because of the arbitrage conditions. This may also create a spillover or contagion between the volatilities of the assets in the financial markets. This study aimed to capture the spillover between financial markets in the Turkish economy and to investigate the effects of global markets on Turkish financial markets, since the spillover may arise from the global financial markets as well as the domestic ones. Employing BEKK parameterization of the multivariate GARCH model between 2006 and 2018, it found a strong mean spillover from global markets to domestic stock and bond markets, from stock and exchange markets to the bond market and from the dollar return to the stock market. For the volatility spillover, the results also supported strong spillover between each market pairs. These findings implied that the Turkish economy is well integrated into global markets and that a fluctuation in volatility in a global or domestic market immediately spreads to other domestic markets, regardless of borders.

This paper investigates the impact of macroprudential policies and uncertainty of economic environment on corporate leverage dynamics over the last decade. This is the first study to investigate the impact of macroprudential policies and uncertainty on leverage dynamics of Turkish non-financial firms using firm-level data. We argue in this paper that persistence of uncertainty should be a more appropriate factor affecting credit dynamics rather than uncertainty. In that sense, we construct a measure of uncertainty by using principal component analysis and a measure of persistence of uncertainty for Turkey. Results from the dynamic panel models with a large set of control variables, provide significant evidence in support of the argument that leverage decisions are affected from the persistence of uncertainty rather than the uncertainty itself. Moreover, both the share of the financial debt in total liabilities and the leverage of Turkish non-financial firms decrease significantly when uncertainty increases persistently and when macroprudential policy tools are tightened. Most strikingly, this is the case only for Small and Medium-Sized Enterprises but not for large firms.

Purpose

The financing of growth of the firm is quite sensitive to fluctuations in Fund rates. This requires a treatment of Fund rates being subject to structural shifts. This paper examines the impact of threshold Federal Fund Rate (FFR), being a proxy for Federal Reserve policy, on different dimensions of growth of the US firm. The goal is to examine the extent to which shifts in FFR cause changes in firms’ growth using three main proxies: assets, sales revenue and number of employees.

Design/methodology/approach

This paper follows “Threshold Fixed Effect” model as a new methodological treatment that offers a structural change in the sources of funds for financing growth of the firms. The authors propose that “Threshold Fixed effect regression” and “Threshold First Difference Generalized Method of Moments” provide robust results of the impact of FFR shifts on growth of the firms.

Findings

The main findings are as follows. First, the impact of FFR is substantially significant on growth of the firms listed in S&P500 when FFR declines below the threshold point 1.35 percent. That is, a slight move in the FFR adversely affects growth of firms four times higher relative to the situation when FFR is greater than 1.35 percent. Second, as far as actual Fund rates are fluctuating around zero percent, the results show that each one percent increase in the FFR is associated with a decrease in the firm size by 0.5 percent.

Originality/value

This paper offers three significant contributions to the literature. First, this paper offers a novel treatment of the effect of Fund rates on the financing of growth of the firm. As far as the authors’ knowledge is concerned, this paper might be the first attempt to use “Threshold fixed effect” model to estimate the effects of threshold FFR on growth of the firm. Second, the results of threshold FFR offer robust evidence that theories of firm capital structure are contingent on structural changes in threshold interest rates. Third, this paper provides an empirical guidline to central banks regrading the determination of Fund rates that help firms to grow.

This study examines the impact of trade and financial integration on structural transformation relying on data from 28 countries in sub-Saharan Africa (SSA) over the period 1985–2015. Results from our system generalized method of moments (GMM) show that, trade and financial integration significantly spur manufacturing and agricultural sector value additions. However, for the industrial sector, only financial integration robustly influences industrial growth with no effect on the service sector. Further evidence also suggests that trade and financial integration are complementary to each other and do not operate independently to influence structural transformation in SSA.

It is a well-established regularity that permanent oil price shocks do not have a permanent effect on the current account deficit. This requires that sub-components of the current account or trade balance will make the necessary adjustments to accommodate the higher energy bill of a country triggered by permanent crude oil price increases. Empirical evidence gathered from Turkey reveals that, in the long run, balancing the current account is provided by a permanent increase in the net exports of Agricultural Production, Maintenance and Repair Services, Travel, Construction, Financial Services, Compensation of Employees, and Goods under Merchanting (non-tradable components of the current account balance); and a permanent decrease in the net exports of Mining, Fishery, Other Goods for BEC Classification, Investment Income, Manufacturing Services on Physical Inputs Owned by Others, and Transport balances mostly in sectors that use energy heavily in production. All these responses are found to be statistically significant in the more than 24 periods we consider in this study.