Central Bank Review最新文献

This paper investigates the degree of dispersion in the loan pricing of commercial banks and its association with competitive conditions in the banking industry of a large emerging economy. To quantify the lending rate variability in consumer loans, we utilize a new indexation mechanism exploiting a detailed bank-level dataset for the period January 2007–April 2020. With panel convergence methods, we show the existence of heterogeneity in long-term co-movements among banks' loan pricing, while periods following the tightening in financial conditions display short-term deviations from general tendencies as demonstrated by dispersion indices. Our empirical design also entails the construction of competition indicators for aggregated and consumer segment-based credit market developments. Quantile regression results validate that the improvements in industry competition are related to the lower level of lending rate dispersion in housing and vehicle segments in a statistically significant manner, whereas an opposite relationship is evident for general-purpose loans.

This paper estimates potential growth in Turkey using a production function estimation approach. Our approach aims to measure the inputs of production in the most detailed fashion that is possible and empirically addresses concepts of sustainable potential growth for Turkey. While developing measures of the sources of potential growth, we provide a thorough discussion of the estimated trends in labor force participation, capital growth by asset type, and total factor productivity since the mid-2000s. Our results suggest that the key driver of potential growth has increasingly been capital accumulation. The declining trend in the positive TFP growth stands out as the key area of improvement for potential growth.

Central Bank speeches usually function as aggregators of internal quantitative and qualitative analysis of the institutions regarding the macro economy, the monetary policy and the health of the financial systems. Speeches usually function as a summary of the current status of a countries economic health, the undergoing trends and some future perspectives of the global economy. In this study departing from classical econometrics we employ natural language processing technologies in combination with machine learning techniques in order to filter out the most important signals in the corpus of speeches and translate into a sentiment index for forecasting the future financial markets behaviour. In our analysis, it is evident that central banker's expectations on economy tend to exhibit a predictive ability for financial markets turmoil. Using a combination of dictionaries which are either predefined or build based on historical speeches of the corpus we train an Extreme Gradient Boosting model that generates a sentiment index which signals turmoil with acceptable accuracy when passing a specific threshold.

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.