Central Bank Review最新文献

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.

This paper examines the effect of financial literacy level on cash holdings in Turkey. Utilizing the Methods of Payment Survey, which includes both financial literacy and cash-related data, we first investigate the fundamentals of financial literacy in Turkey. Based on the performance on financial literacy questions, we categorize respondents into three groups. Subsequently, we analyze how cash holding behavior differs among financial literacy groups. Our results reveal that financially literate respondents tend to hold less cash on hand and store more cash elsewhere. Moreover, card ownership increases through financial literacy and the change in payment behavior of financially literate respondents is more significant during Covid-19 pandemic. The results imply that promoting financial literacy may result in less cash usage at points of sale accompanied by the currency in circulation growth, due to the overwhelming effect of increased non-transactional demand following a positive change in financial literacy level.

Using an extensive firm-level database that combines balance sheet information, social security registry and customs data, we examine whether the relationship between the exchange rate and exports change with the degree of labor-intensity of production. The results based on manufacturing firms in Türkiye suggest that the sensitivity of labor-intensive firms to the exchange rate is higher than that of the less labor-intensive ones, both at the intensive and extensive margins of exports. In addition, export product variety and export market variety of the labor-intensive firms increase more than the others during a currency depreciation. In particular, the increase in the exports of the labor-intensive firms is 2.7 percent higher than the increase in exports of the non-labor-intensive firms in case of a 10 percent decline in the real effective exchange rate. However, we do not find a significant impact on the export prices varying across the labor-intensity of the firms. Our results are robust to alternative definitions of labor-intensity and exchange rates, and the use of different time spans.

This article investigates consolidation and restructuring in the banking sector in Nepal that was induced by regulatory intervention in recent years. We compare the financial performance of the overall commercial banking sector and selected commercial banks on an individual basis before and after the mergers and acquisitions (M&A) policy intervention. The research employs an analysis of the financial ratios (profitability, liquidity, leverage, and wealth of shareholders ratios) before and after mergers that took place between 2013 and 2020 on a sample of seven Nepalese commercial banks. Hypotheses are tested using a paired sample t-test to measure any significant difference between the pre- and post-merger situations of the acquiring banks’ financial metrics. The findings indicate that the overall commercial banking sector significantly improved their liquidity and leverage ratios in the post-merger period. Other measures, such as the profitability and shareholder wealth ratios showed either mixed or insignificant results after the M&A. The results for selected commercial banks on an individual basis were even less conclusive and mixed. While some banks showed improvement in financial ratios, other results were insignificant.

In this paper, we investigate the relationship between different loan types and the current account balance along with its sub-components. Our empirical results suggest that a rise in total loans inevitably leads to a deterioration in the current account balance. This relationship is preserved in the case of the goods trade balance, but it becomes statistically insignificant and disappears if the services trade balance is considered. When we examine different types of loans, our findings indicate that both consumer and corporate loans have sizeable and negative effect on both the current account and goods trade balances with the impact of consumer loans being much higher. We also report that only corporate loans have a significantly negative relationship with the services trade balance although the concurrent effect is rather small.

This paper is motivated by the implementation of the new banking supervision structure in the European Union (EU) and the possible conflict of interest between monetary policy and the supervision authority within the European Central Bank (ECB). The empirical analysis considers the relationship between the structure of banking supervision and the compliance with the Basel Core Principles (BCP) for effective supervision. A sample of 21 countries and the Euro Area (EA) is used. In addition to the structure of bank supervision, a list of independent variables is considered to explain the dependent variable. The results suggest that the supervisory structure has no statistical significance at any notable significance level on compliance with the BCP. On the contrary, financial freedom is a statistically significant variable.

We construct an empirical test of whether the anticipation of adoption of inflation targeting affects the inflation rate. We observe that most of the central banks adopt the regime after first achieving significant disinflation. With pre-inflation-targeting-disinflation, initial targets are met with success and the new regime gains credibility. Working with data for 114 emerging market, advanced and low-income economies, we identify the effect using forward-looking dynamic panel data models in a difference-in-difference framework. We find that inflation targeting is successful in locking-in already low inflation rather than reducing high inflation. The analysis has important implications for central banks looking forward to adoption of inflation targeting.