Central Bank Review最新文献

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.

We build a structural small open economy model to examine the impact of monetary and macroprudential policy actions in a commodity exporting economy. The model incorporates labor market, credit market, macroprudential policy tools such as time-varying capital and reserve requirements, and shocks of FDI, commodity demand and commodity price. The model is estimated by Bayesian techniques using quarterly data for Mongolia in 2005–2017. The main results are (i) external and government spending shocks play important role on the business cycle fluctuations, (ii) capital and reserve requirements are more effective in curbing the credit growth (or changing bank lending rate), while the policy rate has stronger impact on inflation and exchange rate compared to the macroprudential tools, and (iii) combining macroeconomic and monetary policy measures is important in reducing welfare loss. These results suggest that synergies between monetary and macroprudential policy may ensure both macroeconomic and financial stability.

The present paper uses a dynamic stochastic general equilibrium (DSGE) framework with imperfect competition and nominal rigidities in order to analyze the impact of two different fiscal rules on the effectiveness of fiscal policy. The first rule is called the golden rule of public finance which allows an upward shift in the share of public investment in total public spending but restricts the use of public debt for investment purposes alone. The second rule does not alter the allocation of public spending among investment and consumption but allows public consumption to be financed by public debt. The numerical results show that a fiscal expansion under the golden rule leads to a higher increase in output while maintaining a low level of public debt compared to the second rule. Moreover, the difference between the output responses under the two fiscal rules increase in the medium run implying that the benefits of a golden rule-based fiscal policy are higher especially in the medium run.

In this paper, we study Turkey's income and wealth distribution using a model-based approach via a modified Aiyagari (1994) model. In doing so, we use recent parameter estimates for Turkey and calibrate our model to match Turkey's income and wealth inequality measures. We document that our calibrated model matches Turkey's empirical economic inequality metrics with high precision, therefore can be used to infer Turkey's wealth distribution, which lacks data and detailed analysis. We compare Turkey's inequality measures with other countries, and display that by any conventional metric, Turkey qualifies as one of the more unequal economies. Finally, we quantify the welfare cost of inequality, and report that in order not to switch to the unequal Turkish economy, a utilitarian benevolent planner of Turkey's counter-factual representative-agent economy would be indifferent to forgoing 25.15% of steady-state consumption along with working an extra 33.61% of steady-state hours indefinitely.