Central Bank Review最新文献

This paper introduces a new Financial Stress Indicator (FSI) named Composite Indicator Based on Ratios (CIBOR). This paper discusses the importance of monitoring the quality of loans and capital, operational performance, profitability, and liquidity of financial institutions to prevent systemic risks in the financial system. To address this, CIBOR is proposed as a means to indirectly capture the instability of a financial entity by identifying potential tensions and their underlying causes. Specifically, we compare the results for 25 financial entities operating in the Spanish banking market, analysing the evolution since 2018 to 2022. CIBOR permits a straight interpretation of the variations between periods and a dynamic analysis that not only measures the variation between the ratios over time, but also identifies the sources of such variations: variations derived from changes in sub-indicators, changes stemming from the oscillation of the baseline, and the impact of the selection of weights in the construction of the composite indicator.

This paper extends the multivariate filter approach for estimating potential output and NAIRU developed for Türkiye by integrating the capacity utilization block into the model. The model gives more negative estimates of the output gap and smaller estimates of NAIRU in recession periods compared to estimates without a capacity utilization block. In addition, applying an alternative model including a broader-defined unemployment rate to Turkish data results in significantly less negative output gap and unemployment gap compared to estimates with the original unemployment rate. The idea of traditional unemployment rate measurements may not adequately capture the cycle conditions of labor market is brought up in this extension.

This study investigates time and frequency connectedness between monetary policy in the US and 7 African countries to determine the extent to which US monetary policy influences policy conduct amongst African Central Banks. We use a time-varying parameter vector autoregressive (TVP-VAR) framework with frequencies to extract the spectral representation of the forecast error variance decompositions of the TVP-VAR and form 3 bands of frequency strata corresponding to long-run, medium-run and short-run. The results of the study are as follows: firstly, the static analysis shows that the US is the dominant transmitter of systemic shocks across all frequencies and the vulnerability of African countries as recipients of these shocks varies across frequency bands. Secondly, the dynamic analysis further reveals stronger short- and medium-run systemic connectedness during the periods of the Large Scale Asset Purchase programme and forward guidance policies whereas long-run connectedness is prominent during periods of US conventional monetary policy particularly in the COVID-19 era. The findings from the country-by-country dynamic spillover specifically show that countries which are more (less) responsive to US monetary policy shocks have lower (higher) inflation rates averages since the start of the pandemic. The findings suggest that African Central Banks can be benefit from higher coordination with the US Federal Reserve and we further propose that Central Banks worldwide in setting similar inflation targets.

This study investigates the link between capital market discipline and bank-level credit risk with a special emphasis on the role of bank ownership structure. Focusing on a large emerging market, Türkiye, characterized by a prominent state bank presence, our baseline regression results indicate that banks' stock price volatility elevates in response to the increases in non-performing loan ratio for the period 2008–2021. More importantly, the extent of capital market discipline on credit risk is amplified for state-owned banks. This finding remains similar against a myriad of robustness checks. To analyze the implications on alternative financial markets, we further extract high-frequency implied volatility measures from options contracts recently traded on individual bank stocks. By utilizing the Covid-19 outbreak as an exogenous shock to local banks’ loan portfolio quality, we perform difference-in-differences estimations for the interval of October 2019–June 2020. Our findings show that the implied volatility for non-private banks increases more in the post-shock phase compared to other bank ownership types.

In this study, we examine stock market shocks using a Global Vector Autoregressive (GVAR) model encompassing 26 countries from January 1999 to June 2022. Our findings reveal that i) shocks originating from advanced economies (AD) exhibit greater persistence in generating fluctuations compared to shocks from emerging market economies (EME); ii) negative stock market shocks are associated with devaluations of domestic currencies, endogenous responses of monetary policy, and global recession. Our estimates suggest that stock market fluctuations have significant potential to destabilize international markets, with contagion spreading rapidly. Our approach contributes to existing literature by constructing a comprehensive model of the world economy, simulating aggregate shocks, and assessing the relevance of global shocks based on the level of economic development.

This study examines the transmission of monetary policy in the eurozone from 2005 to 2021. The novelty of this research lies in defining the European Central Bank's monetary policy through three dimensions extracted via principal component analysis. These components, examined across various neural network models, enable the exploration of the heterogeneity of monetary policy within the Eurozone. Specifically, dimension 2, which represents the yield curve structure and the ECB's interventions in debt markets, serves to categorize the transmission of monetary policy into two groups of countries. The study concludes that variations in banking system characteristics such as margins and leverage, among others, lead to diverse outcomes in the transmission of monetary policy within the credit channel.

The notable surge in capital flows in recent years has emerged as a key factor shaping the dynamics of international financial markets and influencing economic performance of emerging economies. Even though macroeconomic fundamentals of an economy can explain some of the patterns in international capital flows, behavioral factors also seem to be essential for positioning capital flows across countries. In this study, we aim to examine whether overall economic sentiment towards Turkish economy plays a significant role on net portfolio flows to Türkiye. To this end, we first construct a novel text-based sentiment index called "Turkish Economic Sentiment Index (TESI)", to capture the behavioral tendencies of international investors and media towards Türkiye. Our subsequent step integrates TESI into autoregressive distributed lag models (ARDL) alongside major pull-push determinants to assess whether market sentiment holds discernible influence on capital influx into Turkey. The results reveal that the TESI and VIX stand out as pivotal determinants influencing international portfolio flows. The TESI has a positive impact on portfolio flow dynamics, whereas the degree of global risk aversion inversely affects these flows. These findings align with the contention that a favorable sentiment can boost portfolio inflows to emerging markets. Conversely, heightened volatility expectations in global markets can prompt outflows from these economies.

The Turkish economy has encountered significant shocks in interest rates and foreign exchange along with global risks in recent years. These shocks had an impact not only on the real sector but also on the banking sector's returns, depending on the ownership structure. This study examines the sensitivity of banking sector stock returns to the exchange rate, interest rate, and VIX index using data from January 4, 2005 to March 28, 2023. Using multivariate diagonal BEKK-GARCH methodology, the study found that (i) half of private banks experienced a mean spillover from the interest rate to their returns, but not from the exchange rate and VIX index, (ii) the returns of public banks, on the other hand, did not respond to any variable in the mean equations, (iii) the explanatory power of exchange rate and interest rate risks is higher than the power of the changes in these variables, (iv) the spillover of global risk in covariance equations is higher compared to exchange and interest rate risks, (v) the mean equations do not have an asymmetric structure, but the covariance equations exhibit structural breaks. These findings suggest that in the last decade, the interest rate policy has become the main variable affecting the stock returns in Türkiye, foreign exchange has become a safe haven due to this policy, and the relationship between the exchange rate and stocks that existed in the past has been disrupted.

This paper analyzes the distribution of household portfolios in Türkiye using a fresh data set, the Central Bank of the Republic of Türkiye – Household Finance and Consumption Survey. The empirical analysis concentrates on the motives behind household saving preferences and the distribution of household portfolios. Moreover, the financial situation of households in Türkiye is compared with Euro area countries. First, we find that income and household characteristics are among the leading determinants of households' portfolio choices in Türkiye. Second, we reveal that households’ portfolios are under-diversified, since they own relatively small amounts of financial wealth and hold a few types of financial assets. Furthermore, risky asset categories such as shares of publicly traded companies are rarely included among them. Third, households are more likely to invest in financial assets as their income increases, but the share of financial assets in total wealth remains subdued as household income increases, since at that point real estate wealth becomes dominant. Finally, we discover that households are more likely to be in debt in Türkiye compared to households from the Euro area. Additionally, they are more likely to accumulate non-collateralized debt and also private debt, which is owed to friends and relatives to be repaid. However, the percentage of households with mortgage debt and the share of mortgage debt in total household liabilities are smaller in Türkiye, suggesting that many households have to rely on their own funds or private loans to purchase homes. As a result, we can argue that households need to be encouraged to invest a larger share of their wealth in financial assets to raise household savings and to deepen financial markets in Türkiye.

This paper presents the panorama of zombie firms in the Turkish economy, which are highly inefficient, highly indebted firms that have low or sometimes negative productivity, and provides an analysis of the impact of these firms on economic activity for the period 2012–2015. Our results suggest that the number of zombie firms in Türkiye has increased. The share of these firms in sales and employment has also increased, but at a lower rate. These firms are mainly found in low-technology manufacturing and transportation and distribution services. The paper also shows that healthy firms increase total factor productivity, employment growth, and the investment-to-capital ratio in the economy in a robust manner. The sales of zombie firms have no distorting effect on the economic activity of healthy firms. However, capital sunk into zombie firms has a differential impact on the performance of healthy firms. When the share of zombie capital in a sector increases, the TFP growth of manufacturing firms decreases, while the employment growth of medium-sized service firms increases.