Central Bank Review最新文献

We investigate if the Bank of England's liquidity facilities encourage some counterparties to participate more than others and if the use of some collateral assets is promoted more than others. Between 2010 and 2016, there was regular usage of two facilities: Indexed Long-Term Repos (ILTR) and the Funding for Lending Scheme (FLS). We show that participation in ILTR is consistent with safe counterparties using the facilities to meet their liquidity needs. Collateral assets used for FLS are less liquid. Riskier and larger institutions are more likely to pre-position collateral in the FLS, but these counterparties do not subsequently draw upon FLS more than others do.

The aim of this paper is to detect the effects of the Covid-19 pandemic on several labor market indicators and to identify the heterogeneity of these effects across different demographic groups in the Turkish labor market. To this aim, we use the quarterly Turkish household labor force surveys which cover the period between 2005 and 2020. We find that pandemic decreased employment and labor force participation of almost all groups. The effect on women was more prominent in comparison with men. We also find heterogeneity with respect to age. Finally, our results show that the least educated were more negatively affected by the pandemic.

This paper investigates the association between international capital flows (foreign direct investment and portfolio investments) and household credits using quarterly data for Turkey from 2005 to 2020. The Turkish financial market is a suitable sample due to Turkey's highly open economic structure to global markets and because of the country's strong demand dynamics. This study also employs a set of control variables in line with the existing literature and country-specific dynamics that might be related with household credit growth. Empirical findings show that (1) there is a unidirectional causal linkage from FDI and interest rates to household credits, (2) FDI and portfolio investments positively affect household credits in the long-run, (3) short-term results suggest a negative relationship between FDI and credit growth and (4), based on the results from the error correction model, a deviation in the household credit market is stabilized by 23.6% each quarter in order to achieve long-run equilibrium. The overall results of this study suggest that encouraging FDI inflows and thus accelerating the technological transformation of domestic markets may contribute to the development of the household credit market and indirectly to the welfare of households in Turkey.

Although economic agents in different parts of a country face heterogeneous prices, empirical literature continue to assume homogeneity in the monetary policy-inflation nexus, with dire consequences for optimal monetary policy and welfare. Using wavelet-based quantile regressions, we provide a multi-layered asymmetric exposition on provincial inflation-monetary policy relationship in South Africa. We find that whiles restrictive monetary policy delivers stability in the prices of Gauteng, Mpumalanga and North West provinces, it is destabilizing for prices in Eastern Cape, KwaZulu-Natal, Limpopo, Northern Cape and Western Cape provinces. The findings are mixed, for Free State province, depending on the time horizon and quantiles. Our findings present enormous policy and welfare implications, given the inflation targeting status of South Africa and the economic disparities among the provinces of the country.

This study examines the relationship between real domestic sales and real exports for Turkish manufacturing firms. Dynamic panel data estimations based on firm-level data for the period 2004–2014 suggest that the two variables are substitutes. Other factors held constant, we estimate that a 10 percent decline in real domestic sales is associated with around 2.7 percent increase in real exports, on average. However, this relationship varies among manufacturing sub-sectors which are defined according to 2-digit NACE classification. Results indicate that substitutability between domestic and foreign sales is stronger for export-oriented, low-leveraged and younger firms and firms that operate in sectors whose exports are less import-dependent. Besides, the degree of substitution between the two variables significantly rises when domestic demand conditions are weak. This shows that exporter firms in the Turkish manufacturing industry can shift from domestic to international markets as a response to domestic demand shocks.

This paper provides an extensive analysis of card spending during the COVID-19 pandemic in Turkey by using weekly aggregated and sectoral credit and debit card spending data from March 2014 to December 2020. At an aggregated level, we show that aggregate demand decreases significantly at the early stages of COVID-19 and seems to reinstate its pre-COVID trend. However, when we include the pre-existing conditions of Turkey, the 2018 currency crisis, we observe that the recovery in demand is not that strong. To highlight the underlying reasons for structural change in aggregate demand, we estimate the model with stringency index and unemployment-related search index. The estimated model indicates that containment measures and restrictions and fear of job/income loss mainly explain the overall impact of COVID-19 on aggregate demand. We also examined sectoral data to understand aggregate demand dynamics better. Only stable and delayable sector groups have reached a trend above their pre-pandemic trajectories. However, the social and work-related sectors are far from their respective pre-pandemic trend.

This study examines the asymmetric relationships between demographic characteristics of labor market variables and Gross Domestic Product (GDP) in the Turkish economy. Both expansions and recessions are considered in a Markov Switching (MS) model, using quarterly data between 1989 and 2019. Okun’s coefficients are estimated for the different age groups, genders and education levels. The results reveal that men are more likely to lose their jobs during recessions in Turkey whereas unemployment rates for 25-39 year-olds and those with at least university degrees are the least affected groups. There is also asymmetry within and between states across the demographic groups due to GDP phases. The study also investigates the gender dynamics of labor force participation rates (LFPR) as a fundamental determinant of unemployment rate. According to the MS models, LFPR responds significantly and positively to GDP expansions for men whereas it is significant and negative for women. That is, as economic activity begins to recover after a recession, Turkish women leave the labor force as secondary income earners.

This study analyses the argument that whether Turkish non-financial firms utilize any informal source of alternative funding during economic uncertainties over the last decade. This study is the first to explore the issue and provide some insights regarding how small and medium-sized enterprises do react to the financial constraint problem in such an economic environment. Both trend analysis and empirical panel model estimations provide supporting evidence that Turkish non-financial firms have some reserves (e.g., owners', relatives' and/or friends’ personal wealth) that are utilized during the times of persistent stress and tightening of macroprudential policies. Most strikingly, this is the case for only small and medium-sized enterprises but not for large firms.

The existence of the credit derivatives written on the eurobonds such as credit default swaps or asset swaps allows policymakers and investors to monitor the evolvement of credit risk. However, these instruments are mostly available in advanced economies, whereas the market for credit derivatives in emerging market countries, including Turkey, is limited in terms of liquidity and maturity. In this regard, this study aims to construct a proxy for the credit risk of the Turkish Treasury and banking sector in international markets by calculating asset swap spread for US dollar-denominated fixed coupon eurobonds, which requires a robust estimation of the relevant yield curves. The study firstly presents the estimation of the sovereign and banking sector yield curves and then constructs a synthetic asset swap structure to obtain embedded credit risk premia in the eurobond curves. Our findings show that the proposed credit risk indicator is vastly correlated with credit default swap premium. In addition to this, estimated eurobond curves are also useful for monitoring borrowing cost dynamics of the Turkish Treasury and banking sector in international markets.

This paper examines asymmetries in the J-curve effects of real exchange rate on Kenya’s trade balance by using panel data for bilateral trade with 30 trading partners. The data covers the period from 2006q1 to 2018q4 and the Pooled Mean Group (PMG) estimation technique, under both the linear and nonlinear ARDL frameworks, is applied. This paper departs from previous studies by using a modified version of the standard trade balance model, which is more suited for bilateral trade analyses, and by incorporating nonlinearities. The findings of the PMG estimation based on the assumption of symmetric exchange rate effects reveal J-curve effects in only 7 bilateral trade relations. However, when the estimation is performed assuming asymmetric effects, the J-curve effects are evident in 13 cases. Long-run and short-run asymmetries are also confirmed and it is established that a simultaneous bilateral real depreciation of the exchange rate boosts the long-run trade balance. The implication of these findings is that a devaluation policy can be used to raise competitiveness of Kenya’s exports in the long-run.