Central Bank Review最新文献

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.

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.

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.

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.

This paper investigates the impact of macroprudential policies and uncertainty of economic environment on corporate leverage dynamics over the last decade. This is the first study to investigate the impact of macroprudential policies and uncertainty on leverage dynamics of Turkish non-financial firms using firm-level data. We argue in this paper that persistence of uncertainty should be a more appropriate factor affecting credit dynamics rather than uncertainty. In that sense, we construct a measure of uncertainty by using principal component analysis and a measure of persistence of uncertainty for Turkey. Results from the dynamic panel models with a large set of control variables, provide significant evidence in support of the argument that leverage decisions are affected from the persistence of uncertainty rather than the uncertainty itself. Moreover, both the share of the financial debt in total liabilities and the leverage of Turkish non-financial firms decrease significantly when uncertainty increases persistently and when macroprudential policy tools are tightened. Most strikingly, this is the case only for Small and Medium-Sized Enterprises but not for large firms.

Purpose

The financing of growth of the firm is quite sensitive to fluctuations in Fund rates. This requires a treatment of Fund rates being subject to structural shifts. This paper examines the impact of threshold Federal Fund Rate (FFR), being a proxy for Federal Reserve policy, on different dimensions of growth of the US firm. The goal is to examine the extent to which shifts in FFR cause changes in firms’ growth using three main proxies: assets, sales revenue and number of employees.

Design/methodology/approach

This paper follows “Threshold Fixed Effect” model as a new methodological treatment that offers a structural change in the sources of funds for financing growth of the firms. The authors propose that “Threshold Fixed effect regression” and “Threshold First Difference Generalized Method of Moments” provide robust results of the impact of FFR shifts on growth of the firms.

Findings

The main findings are as follows. First, the impact of FFR is substantially significant on growth of the firms listed in S&P500 when FFR declines below the threshold point 1.35 percent. That is, a slight move in the FFR adversely affects growth of firms four times higher relative to the situation when FFR is greater than 1.35 percent. Second, as far as actual Fund rates are fluctuating around zero percent, the results show that each one percent increase in the FFR is associated with a decrease in the firm size by 0.5 percent.

Originality/value

This paper offers three significant contributions to the literature. First, this paper offers a novel treatment of the effect of Fund rates on the financing of growth of the firm. As far as the authors’ knowledge is concerned, this paper might be the first attempt to use “Threshold fixed effect” model to estimate the effects of threshold FFR on growth of the firm. Second, the results of threshold FFR offer robust evidence that theories of firm capital structure are contingent on structural changes in threshold interest rates. Third, this paper provides an empirical guidline to central banks regrading the determination of Fund rates that help firms to grow.