Central Bank Review最新文献

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.

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.

This work examines the time-varying interlinkages among economic confidence, energy prices, geopolitical stress, and short/long-term interest rates in the Euro Area. Our research meticulously explores the interplay between economic confidence and various determinants, including financial indicators, geopolitical stress incidents, and energy prices. Employing innovative approaches such as the time-varying parameter vector autoregression (TVP-VAR) time and frequency-domain connectedness, we uncover the nuanced relationships between economic confidence, financial indicators, and energy prices. We illuminate the systemic nature of shock transmission in the Euro Area, identifying key net transmitters and recipients of shocks, with short-term interconnectedness emerging as a dominant feature, especially during pivotal events such as the global financial crisis, the COVID-19 pandemic, and geopolitical conflicts. Our empirical findings can be summarized as follows: First, both the time and frequency-domain connectedness indexes correctly associate with major financial/geopolitical events. Second, BCI and CCI respond to the GFC asymmetrically. Third, Brent and short/long-term interest rates are the net transmitters of shocks on average. Fourth, there is a considerable augmentation in return spillovers during the period characterized by the pandemic crisis compared to the GFC. Finally, our findings for frequency-dependent connectedness networks indicate that the market is particularly susceptible to short-term shocks. This study has significant ramifications for investors, market players, and policymakers.

In 2020, the European Banking Authority (EBA) launched a public consultation on future changes to the European Union wide stress test (EUWST). The EBA proposes a dual approach across four broad criteria of relevance, comparability, transparency, and cost efficiency: a supervisory leg as the basis for Pillar 2 Guidance decisions and a bank leg to provide information and foster market discipline. Prior to new methodological proposals, an accurate global and summarized overview of what has been accomplished so far is required. This paper presents a synthetic review of the EBA's vision for the EUWST's future and feedback review.

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.