Central Bank Review最新文献

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.

After the global financial crisis, it was observed that price stability alone would not ensure financial stability. The new paradigm indeed insists on the inclusion of financial stability as an additional macroeconomic objective. In this context, it is essential to understand how exactly is the new objective of financial stability will be placed in the existing framework. Also, the efficacy of monetary policy in this regard needs to be thoroughly discussed. This paper probes into the employability of monetary policy as a tool to achieve financial stability. We, therefore, compare between interest rates obtained from the standard Taylor rule and asset price augmented Taylor rule in the Indian context. The results suggest that targeting asset prices can be one of the effective ways to contain financial instabilities and consequent economic slumps.

This study examines the effects of logistics infrastructure on export variety, as measured by the extensive margin. Using finely disaggregated exports data for Turkey’s trade with 174 countries over the period 2007–2017, we decompose gross export flows into the extensive and intensive margins of Turkish exports utilizing the method developed by Hummels and Klenow (2005). Gravity estimates suggest that logistics infrastructure positively influences export values and has a greater impact on the extensive margin than the intensive margin. Our empirical analysis further suggests that Turkish exporters are more sensitive to changes in local market logistics conditions than to those of their trade partners. These findings are robust to a variety of alternative measures and estimation methods.

This paper investigates the labor market consequences of incomplete information about workers’ own job searching process and best occupations fitting to them. A search and learning model is provided in order to analyze these effects. In the model, search outcomes relay information about workers’ job finding abilities and appropriate occupations suited to them, and workers use this information to infer their types. Our theory explains how search outcomes during unemployment can change the beliefs of workers about their job finding ability and consequently affect their decisions including the occupational choices. Characterization of the model results in a simple value function with reservation level of prior belief property that is similar to reservation wage property. Some interesting facts about both micro and macro data are identified and our model’s explanation of these facts is discussed. Particularly, our characterization gives rational for why workers with less experience in searching have (1) longer unemployment duration and (2) higher probability of changing occupation by reemployment, and (3) why shifts in Beveridge curve may be observed. Theory can also be used to (4) explain the discouraged worker phenomenon.

The aim of this paper is to construct the first comprehensive Financial Stress Index for Lebanon, dubbed the IFEFSI (Institute of Financial Economics Financial Stress Index). This is a broad coincident composite index that includes three different market segments; the banking sector, the equities market, and the foreign exchange and other markets. It is constructed as a continuous real-time measure that quantifies the level of systemic stress by measuring latent conditions. As a metric for financial conditions, the IFEFSI should provide valuable information to macroprudential regulators whose aim is to maintain a smooth and resilient financial system. By using it as a tool to help monitor, identify, and address any potential crisis, they are better equipped to maintain financial and economic stability in Lebanon.

This study investigates the determinants of bank profitability in 23 countries from 2002 to 2016 using the system generalized method of moments. The findings indicate that the number of bank cards issued, the number of automated teller machines (ATMs) and the number of point of sale (POS) terminals can improve bank profitability. Hence, this suggests a need for further expansion of these delivery channels. Also, the findings show the negative impact of market power on bank profitability, implying that competition improves bank profitability. Further, the positive relationship between capital market development and bank profitability suggests that they should be considered as complementary to one another.

An increase in the return of an asset in the financial markets may cause the returns of the remaining assets to fluctuate over time because of the arbitrage conditions. This may also create a spillover or contagion between the volatilities of the assets in the financial markets. This study aimed to capture the spillover between financial markets in the Turkish economy and to investigate the effects of global markets on Turkish financial markets, since the spillover may arise from the global financial markets as well as the domestic ones. Employing BEKK parameterization of the multivariate GARCH model between 2006 and 2018, it found a strong mean spillover from global markets to domestic stock and bond markets, from stock and exchange markets to the bond market and from the dollar return to the stock market. For the volatility spillover, the results also supported strong spillover between each market pairs. These findings implied that the Turkish economy is well integrated into global markets and that a fluctuation in volatility in a global or domestic market immediately spreads to other domestic markets, regardless of borders.