Central Bank Review最新文献

This study discusses various types of market-based instruments and tries to find which financial instrument is the best in predicting monetary policy expectations for different time horizons in Turkey. Consistent with the existing literature on this subject, we adopt an approach that comes from expectations theory of term structure of interest rates, which implies that short term forward interest rates reflect market expectations of short term rates in the future. By using this methodology, we treat upcoming monthly, 3-months, 6-months, 9-months, 12-months, and 24-months average of daily CBRT effective policy rates as alternative dependent variables; and market rates with corresponding maturities as independent variables. We aim to assess which market rate has the best predictive power for CBRT effective policy rates. We find that FX forward implied rates dominate all other instruments for 3, 6, 9, 12 and 24 months horizons while Borsa Istanbul overnight repo rate expectation from CBRT’s Survey of Expectations is the best for 1-month horizon in forecasting future policy rates. We also note that CBRT’s monetary policy predictability also changes with CBRT’s choice of monetary policy implementation.

In this paper, we examine the labour market properties of business cycle fluctuations for a group of 15 emerging market economies (EMEs) and the US using annual data from 1970 to 2013. We find that on average, the hours worked and employment volatility (relative to output volatility) are lower, while the volatility of productivity and wages are 2–3 times higher in EMEs compared to the US. We then assess the performance of a standard RBC model and an augmented RBC model with capacity utilization, investment adjustment cost and indivisible labour with temporary and permanent productivity shocks to explain labour market facts observed in the data. We find that these models fail to explain labour market fluctuations in the business cycles of these countries, but the model with investment adjustment cost improves the performance of relative volatility of wages and hours, as well as the cyclicality of hours, compared to the standard RBC model. Lastly, we investigate the cyclical properties of the labour wedge and find that the total labour wedge (relative to output volatility) is more volatile over the business cycle in emerging economies (1.72) compared to the US (0.95). Further, fluctuations in the total labour wedge reflect the ones in the household component rather than the firm component of the wedge in EMEs and the US.

Noticing the visible hand of state capitalism in global production and value chain system, this study examines the outward foreign direct investment strategy of sovereign wealth funds (SWFs). Leveraging theoretical insights from the conventional political economy and international business literature, the study first conceptualizes a yield institutions-based view—marketization to sustainable competitive advantage—to gain a better understanding of the main purposes and economic and institutional determinants of SWFs. Efforts have been made to deepen the institutions-based perspective of global strategy and introduce it into, establish its relevance to SWFs research. Second, the study presents SWFs' outward FDI patterns and acquisition deals in times of global financial market turbulence. Findings suggest that SWFs’ outward FDI choices are primarily determined by institutional transitions, market development and government legitimacy in the home country, thus to invest globally, earn higher economic returns, and secure resources. These choices are firmly motivated toward advanced financial markets, and real estate and infrastructure sectors. Third and last, the study discusses several important implications for state capitalism, policymakers, and sustainable development.

This paper shows that the strong countercyclicality of net exports observed in emerging market economies can be explained to a large extent by the use of imported inputs in production. We build a single-sector small open economy business cycle model featuring imported inputs and variable capital utilization in production, and a working capital constraint. The model yields countercyclical net exports and realistic business cycle dynamics. The magnitude of the countercyclicality of net exports increases with the share of imported inputs. The elasticity of substitution between domestic and imported inputs is also critical in obtaining this result. The model also attributes an important role to import prices in matching the business cycle facts in emerging markets.

Financial inclusion might bring huge amounts of income into the global economy, which creates different opportunities and challenges for countries. As people become more financially included and their incomes grow over time, this might in turn increase their tax contributions to the government. Thus, this paper seeks an answer to the primary question of whether the changes in tax revenue is associated with the change in financial inclusion for countries around the world by using an extensive dataset of 137 countries over the years between 2011 and 2017. For this, the paper uses the Global Findex database and panel data methodology. The empirical findings show that there is a significant and positive relationship between financial inclusion and tax revenues and it is one of determinants of tax revenues. The results are robust in terms of different sources of taxation such as corporate tax revenue, income tax revenue and direct tax revenue. Policy-makers around the world could take advantage of this significant opportunity in order to raise tax revenues by considering ways of increasing financial inclusion.

Some small open Least Income Countries embarked on rapid accumulation of foreign reserves in the wake of volatile capital inflows. Foreign reserve accumulation is one way of managing volatile capital flows. However, rapid and persistent accumulation is not only costly, but potentially distort the domestic financial markets, especially when it is financed by sterilisation. This study investigates the potential distortions on commercial bank lending in Uganda. Our empirical results show that sterilised reserve purchases crowd-out bank lending. The crowding-out effect is persistent even when bank capitalisation and shifts in monetary policy regimes are controlled for, which raise important policy implications. The objective of sterilisation is to maintain the prevailing stance of monetary policy. However, when it alters the prevailing stance of monetary policy and consequently the direction of the impact of policy as the empirical result has shown, then sterilised reserve purchases violate the “impossible trinity” i.e. it weakens the monetary authority's control over domestic monetary conditions.

The degree and quality of job mobility is an important factor of optimal allocation of resources and growth in an economy. Job mobility facilitates productive employer-employee matches. In that respect, job mobility allows employees to work in industries which suit their skills and enables earning gains. It also supports industry level productivity gains by providing shift of employment from less productive firms to more productive ones. In this study, a descriptive analysis of job mobility is conducted using Entrepreneurship Information System data. The results suggest that job mobility is higher among young and men. In addition, more than half of the job movers switch to jobs in bigger, more productive and more profitable firms. Job mobility is intensive within manufacturing and trade-transportation industries and employees in mining, construction, public administration, education and health industries are more likely to switch to jobs in other industries. Finally, the determinants of job mobility between regions are analyzed and a positive relation between internal migration and intra-regional job mobility is found.

Housing market developments have been attracting a great deal of attention in Turkey. Concerns related to supply, particularly at the higher segment of the market, lead these discussions. In this respect, basic regression estimations indicate that over the post-2010 period, income elasticity of house price changes is negative, despite housing being a normal good. In order to reveal the underlying reason, we discuss the role of income distribution. Our empirical analyses suggest that the share of bottom (the top) income quintiles are positively (is negatively) correlated with house price changes. Given the current ample stock of houses, at the high-end of the market, a demand surge led by an increase in the income share of the top income quintile may not put pressure on house prices. In addition, the declining income share of bottom three income quintiles may lead to a reduction in their housing demand. Thus, policies directed to improving income equality might help mitigate the imbalances in the housing market.

The aim of this paper is to find out whether there is exuberance in regional house prices in Turkey. For this purpose, we analyze real hedonic house prices and price to rent ratios countrywide as well as for 26 geographic regions at the NUTS2 level from January 2010 to January 2019. We perform the right-tailed unit root testing procedures developed by Phillips et al. (2015) and Phillips and Shi (2018) and use their real time date-stamping strategy to determine periods of explosiveness and implosion. Our empirical findings indicate that there were exuberance episodes in house prices in Turkey for multiple periods, where an important contributor to these dynamics was the largest housing market, İstanbul. We also detect exuberance in some other regions, particularly in the neighboring NUTS2 regions of İstanbul and in İzmir after around 2014. However, we find out that explosive price behavior turned into implosion in many regions starting from 2018.

Business cycle is an important indicator for making policy and management decisions. This paper compares the business cycle estimates for Mongolia based on a graphical and parametric methods. We find that Bry Boschan Quarterly (BBQ) algorithm accurately dates the business cycle which is consistent with the economic expectations. When we indicate the result of Bry Boschan Quarterly algorithm as the benchmark for the business cycle, ${\ell }_1$ trend filter provides a more precise estimate of the output gap for Mongolia.