Central Bank Review最新文献

Although theories on channels of monetary policy transmission emphasize indirect monetary policy effect on inflation and output, empirical literature is surprisingly rooted in a direct approach. The use of variants of vector autoregression, with theoretical ordering of variables, does not only fail to quantify the indirect effect, but are also fraught with disagreements on identification of shocks of monetary policy. We revisit the interest rate and lending channels of monetary policy transmission in an approach that is grounded in theory and elicits step-by-step transmission of monetary policy impulses and the eventual effect on inflation in South Africa. We find interest rate and lending channels to be operative in South Africa. For the interest rate channel, a percentage restriction in monetary policy increases lending rate by 0.29%; a percentage increase in the lending rate reduces investment by 0.063%; and a percentage fall in investment reduces inflation by 0.074%. For the lending channel, a percentage restriction of monetary policy reduces banking sector credit by 0.22%; a percentage fall in private sector credit reduces investment by 0.20%; and a percentage decline in investment reduces inflation by 0.086%. These results are robust to different samples and specifications.

This paper aims to investigate the interaction between monetary and fiscal policies in Turkey. For this purpose, a Bayesian Structural Vector Autoregression (SVAR) model with sign and zero restrictions is used. We particularly focus on how the fiscal and monetary policy variables respond to various macroeconomic shocks and whether the type of shocks matters. Our results confirm the importance of nature of shocks in terms of interaction between monetary and fiscal policies with the finding that both policy shocks are complementary in response to demand and supply shocks while they are substitute in response to shocks caused by the each other. Our main findings are robust to alternative variable definitions and identifying restrictions.

This study investigates the evolution of the import content of production and exports in Turkey for the 2002–2018 period. Based on 2002 and 2012 input-output tables and a large data set of production and foreign trade, we estimate the production and imported input use for 20 sectors, mainly from the manufacturing industry. We calculate import requirement ratios, comprising both direct and indirect effects, for each sector using the Leontief inverse matrix. Our findings indicate that import dependency increases for exports, but stays relatively stable for production over time. In general, the import content of production is lower than that of exports. This difference is mainly attributable to the services sector, which has low import dependency, yet a large share in production. Sectors with the highest import requirements are those with higher capital and technology intensity, such as petroleum products, basic metals, and motor vehicles. Agriculture, forestry and fishery; services and mining sectors have the lowest import requirements.

This paper provides cross-country analysis of local bond market term premia in emerging countries. In order to investigate the role of domestic and global factors in the determination of compensation demanded by investors for their medium and long term fixed income investments, term premia is computed for emerging countries by using methodology adopted in Adrian et al. (2013). It is found that changes in market liquidity conditions is important for the variation in term premia. Moreover, movements in domestic and global factors are closely linked to term premia. In this regard, uncertainty related economic surprise indicator and exchange rate related expectations subsume some part of the expected excess returns in both medium and long term. Among other explanatory variables, inflation uncertainty is the only variable found to be insignificant in medium term, albeit it has an explaining power in the long term.

The study models the behaviour of the Central Bank of Nigeria. An extended Taylor’s framework that accounted for exchange rate dynamics and political risk factors was adopted. In order to capture both ex-ante and ex-post behaviours of the monetary authority in the country, Markov-Switching Dynamic Regression (MSDR) approach was employed. The period of investigation spanned 1981q1 – 2017q4. The study found that money supply in Nigeria was endogenous and showed, consequently, that the Central Bank of Nigeria (CBN) acted discretionally rather than stick to some monetary policy rules for the period under investigation. The results also suggested that political risk factors significantly moderated the behaviour of the CBN; especially during period of high interest rate regime. With or without the effects of political risks being accounted for, low interest rate regime was found to be more persistent than high interest rate regime. With a relatively high persistence of low interest rate, the study found evidence for the popular Fisher’s effect and, then, suggested that inflation targeting should be one of the policy strategies of the monetary authority in Nigeria.

Exchange-Traded Funds (ETFs) have become one of the most popular passive investment instruments since they bring together the advantages of stocks and mutual funds. As passive investors are more risk averse and sensitive to possible adverse market developments, ETF’s fund flows can provide distinct information in certain periods in comparison with active funds. This study looks at ETF fund flows in foreign exchange uncertainty by using EGARCH models, together with added control variables. The main results are that the large inflows of ETFs increases exchange rate volatility for contemporaneous and lagged effect models, yet large outflows have a negative and statistically significant effect on the exchange rate volatility in lagged variance equation. These findings suggest an asymmetric behavior as outflows of ETFs are followed by an exchange rate depreciation with less exchange rate FX uncertainty, while significantly large inflows of ETFs lead to higher FX uncertainty.

This paper assesses several early warning (EWS) models of financial crises to propose a model that can predict the incidence of a currency crisis in developing countries. For this purpose, we employ the equal weighting (EW) and dynamic model averaging (DMA) approaches to combine forecast from individual models allowing for time-varying weights. Taking Egypt as a case study and focusing only on currency crises, our findings show that combined forecast (EW- and DMA-based EWS), to account for uncertainty, perform better than other competing models in both in-sample and out-of-sample forecasts.

This paper aims to investigate the co-movement between the credit growth and gross domestic product (GDP) growth in Turkey over the period January 2004–October 2019. By taking into account alternative credit decomposition and the variations over time and across frequencies using the wavelet analysis, the results show that: i) GDP growth highly synchronizes with credit growth compared to other financial variables such as stock exchange, bonds, and exchange rate. ii) There is a high correlation between commercial loan growth and capital formation and a relatively weak one with consumer loans and consumption. iii) Co-movement stemming from Turkish Lira (TL) credits to GDP growth is stronger than foreign exchange (FX) credits where the latter is significant until 2015. iv) Public and domestic private banks are the main drivers of economic activity while the foreign banks are following them. By showing the differential effects of different types of credit on GDP growth, we specify that shocks to different credit types are crucial to analyze business cycles. For policymakers, this result implies that the dynamics of different credit types are crucial to analyze the impacts of credit cycles on economic activity.