Central Bank Review最新文献

Domestic inflation decomposition in a small open economy: Evidence from import price dynamics in Kazakhstan 小型开放经济体的国内通胀分解：哈萨克斯坦进口价格动态的证据

IF 2

Central Bank Review Pub Date : 2024-10-21 DOI: 10.1016/j.cbrev.2024.100179

Zhandos Ybrayev, Bauyrzhan Shamar, Kamilla Mamatova

{"title":"Domestic inflation decomposition in a small open economy: Evidence from import price dynamics in Kazakhstan","authors":"Zhandos Ybrayev, Bauyrzhan Shamar, Kamilla Mamatova","doi":"10.1016/j.cbrev.2024.100179","DOIUrl":"10.1016/j.cbrev.2024.100179","url":null,"abstract":"<div><div>This paper empirically analyzes the key drivers of inflation in Kazakhstan by differentiating between demand and supply-driven factors contributing to headline inflation. Given that Kazakhstan is highly sensitive to adverse external fluctuations (due to its economic structure), our empirical strategy investigates asymmetric dynamics of prices of goods with high versus low degree of import share. Hence, we develop a methodology to determine the level of “importability” in certain consumption products, which serves as a proxy of vulnerability to external macroeconomic shocks. The results confirm our hypothesis that products with different degree of import content respond differently to major macroeconomic shocks. Consequently, we conclude that headline inflation in Kazakhstan is primarily impacted by supply-side factors, such as the direct transmission of exchange rate changes to prices of products with higher import shares (exchange rate pass-through) and a large component of inflation inertia. Differentiating and properly identifying inflation dynamics of the high-import-content and low-import-content goods have important implications for optimal monetary policy conduct in developing economies.</div></div>","PeriodicalId":43998,"journal":{"name":"Central Bank Review","volume":null,"pages":null},"PeriodicalIF":2.0,"publicationDate":"2024-10-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142530804","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Potential impact of introducing a neutral positive countercyclical capital buffer in EU countries 欧盟国家引入中性正向反周期资本缓冲的潜在影响

IF 2

Central Bank Review Pub Date : 2024-10-19 DOI: 10.1016/j.cbrev.2024.100180

Paweł Smaga

引用次数: 0

Bank loan maturity and corporate investment 银行贷款到期和企业投资

IF 2

Central Bank Review Pub Date : 2024-10-15 DOI: 10.1016/j.cbrev.2024.100178

İbrahim Yarba, Burak Deniz

引用次数: 0

Singular spectrum analysis to estimate core inflation in Brazil 用奇异谱分析估算巴西核心通货膨胀率

IF 2

Central Bank Review Pub Date : 2024-09-20 DOI: 10.1016/j.cbrev.2024.100177

Matheus Fellipe de Oliveira Santos, Rafael Morais de Souza, Wilson Luiz Rotatori Corrêa

引用次数: 0

The importance of external shocks and global monetary conditions for a small-open economy: The case of Türkiye 外部冲击和全球货币条件对小型开放经济体的重要性：土耳其案例

IF 2

Central Bank Review Pub Date : 2024-08-19 DOI: 10.1016/j.cbrev.2024.100170

Gülnihal Tüzün

{"title":"The importance of external shocks and global monetary conditions for a small-open economy: The case of Türkiye","authors":"Gülnihal Tüzün","doi":"10.1016/j.cbrev.2024.100170","DOIUrl":"10.1016/j.cbrev.2024.100170","url":null,"abstract":"<div><p>The channels driving the international macroeconomic and financial shock transmission is important for policy makers for the evaluation of the macroeconomic models and the appropriate policy design. The interdependencies between countries have a significant role on the international spillovers of macroeconomic shocks on the emerging market economies. The purpose of this study is to assess how do the domestic and foreign shocks affect the fundamental macroeconomic variables of a small-open economy, and in particular Türkiye. The domestic supply, demand and monetary policy shocks and their global counterparts are estimated by employing a Bayesian Structural VAR model identified with sign and zero restrictions. After a US monetary tightening shock, the results demonstrate an appreciation of the US Dollar against Turkish lira, a rise in the domestic consumer price level, a contractionary monetary policy response accompanied by a fall in the real output level. This reaction is a strong evidence of the existence of a global interest rate contagion present in the international macroeconomics literature.</p></div>","PeriodicalId":43998,"journal":{"name":"Central Bank Review","volume":null,"pages":null},"PeriodicalIF":2.0,"publicationDate":"2024-08-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1303070124000246/pdfft?md5=3266e3072f94b233fc61aa01aadbceb6&pid=1-s2.0-S1303070124000246-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142006375","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Dynamic interconnectedness of economic confidence, energy prices, and interest rates: Insights from the euro area 经济信心、能源价格和利率的动态关联性：欧元区的启示

IF 2

Central Bank Review Pub Date : 2024-07-29 DOI: 10.1016/j.cbrev.2024.100169

Sabri Burak Arzova , Bertaç Şakir Şahin , Hasan Murat Ertuğrul , Onur Polat

{"title":"Dynamic interconnectedness of economic confidence, energy prices, and interest rates: Insights from the euro area","authors":"Sabri Burak Arzova , Bertaç Şakir Şahin , Hasan Murat Ertuğrul , Onur Polat","doi":"10.1016/j.cbrev.2024.100169","DOIUrl":"10.1016/j.cbrev.2024.100169","url":null,"abstract":"<div><p>This work examines the time-varying interlinkages among economic confidence, energy prices, geopolitical stress, and short/long-term interest rates in the Euro Area. Our research meticulously explores the interplay between economic confidence and various determinants, including financial indicators, geopolitical stress incidents, and energy prices. Employing innovative approaches such as the time-varying parameter vector autoregression (TVP-VAR) time and frequency-domain connectedness, we uncover the nuanced relationships between economic confidence, financial indicators, and energy prices. We illuminate the systemic nature of shock transmission in the Euro Area, identifying key net transmitters and recipients of shocks, with short-term interconnectedness emerging as a dominant feature, especially during pivotal events such as the global financial crisis, the COVID-19 pandemic, and geopolitical conflicts. Our empirical findings can be summarized as follows: First, both the time and frequency-domain connectedness indexes correctly associate with major financial/geopolitical events. Second, BCI and CCI respond to the GFC asymmetrically. Third, Brent and short/long-term interest rates are the net transmitters of shocks on average. Fourth, there is a considerable augmentation in return spillovers during the period characterized by the pandemic crisis compared to the GFC. Finally, our findings for frequency-dependent connectedness networks indicate that the market is particularly susceptible to short-term shocks. This study has significant ramifications for investors, market players, and policymakers.</p></div>","PeriodicalId":43998,"journal":{"name":"Central Bank Review","volume":null,"pages":null},"PeriodicalIF":2.0,"publicationDate":"2024-07-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1303070124000234/pdfft?md5=d367147b16b54482a51ae88800dbc1b8&pid=1-s2.0-S1303070124000234-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141948346","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

A review of the discussion proposal on changes to the EU-wide stress test 欧盟范围内压力测试变化讨论提案回顾

IF 2

Central Bank Review Pub Date : 2024-06-24 DOI: 10.1016/j.cbrev.2024.100161

Julián Llorent-Jurado, José Antonio Ordaz-Sanz, María del Carmen Melgar-Hiraldo, Flor María Guerrero-Casas

引用次数: 0

A proposal for a composite indicator based on ratios (CIBOR) to compare the evolution of Spanish financial institutions 建议采用基于比率的综合指标（CIBOR）来比较西班牙金融机构的演变情况

IF 2.8

Central Bank Review Pub Date : 2024-06-14 DOI: 10.1016/j.cbrev.2024.100160

Julián Llorent-Jurado, Ignacio Contreras, Flor María Guerrero-Casas

{"title":"A proposal for a composite indicator based on ratios (CIBOR) to compare the evolution of Spanish financial institutions","authors":"Julián Llorent-Jurado, Ignacio Contreras, Flor María Guerrero-Casas","doi":"10.1016/j.cbrev.2024.100160","DOIUrl":"https://doi.org/10.1016/j.cbrev.2024.100160","url":null,"abstract":"<div><p>This paper introduces a new Financial Stress Indicator (FSI) named Composite Indicator Based on Ratios (CIBOR). This paper discusses the importance of monitoring the quality of loans and capital, operational performance, profitability, and liquidity of financial institutions to prevent systemic risks in the financial system. To address this, CIBOR is proposed as a means to indirectly capture the instability of a financial entity by identifying potential tensions and their underlying causes. Specifically, we compare the results for 25 financial entities operating in the Spanish banking market, analysing the evolution since 2018 to 2022. CIBOR permits a straight interpretation of the variations between periods and a dynamic analysis that not only measures the variation between the ratios over time, but also identifies the sources of such variations: variations derived from changes in sub-indicators, changes stemming from the oscillation of the baseline, and the impact of the selection of weights in the construction of the composite indicator.</p></div>","PeriodicalId":43998,"journal":{"name":"Central Bank Review","volume":null,"pages":null},"PeriodicalIF":2.8,"publicationDate":"2024-06-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1303070124000143/pdfft?md5=e1aa4e0af3668895450cef9ed40b404d&pid=1-s2.0-S1303070124000143-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141324893","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Estimating time-varying potential output and NAIRU using a multivariate filter for Türkiye 利用多元滤波器估算土耳其的时变潜在产出和净现值增长率

IF 2.8

Central Bank Review Pub Date : 2024-06-01 DOI: 10.1016/j.cbrev.2024.100158

Mert Gökcü

引用次数: 0

Monetary policy spillovers between the US and African Central Banks: A time- and frequency-varying connectedness study 美国和非洲中央银行之间的货币政策溢出效应：随时间和频率变化的关联性研究

IF 2.8

Central Bank Review Pub Date : 2024-06-01 DOI: 10.1016/j.cbrev.2024.100159

Clement Moyo, Andrew Phiri

{"title":"Monetary policy spillovers between the US and African Central Banks: A time- and frequency-varying connectedness study","authors":"Clement Moyo, Andrew Phiri","doi":"10.1016/j.cbrev.2024.100159","DOIUrl":"https://doi.org/10.1016/j.cbrev.2024.100159","url":null,"abstract":"<div><p>This study investigates time and frequency connectedness between monetary policy in the US and 7 African countries to determine the extent to which US monetary policy influences policy conduct amongst African Central Banks. We use a time-varying parameter vector autoregressive (TVP-VAR) framework with frequencies to extract the spectral representation of the forecast error variance decompositions of the TVP-VAR and form 3 bands of frequency strata corresponding to long-run, medium-run and short-run. The results of the study are as follows: firstly, the static analysis shows that the US is the dominant transmitter of systemic shocks across all frequencies and the vulnerability of African countries as recipients of these shocks varies across frequency bands. Secondly, the dynamic analysis further reveals stronger short- and medium-run systemic connectedness during the periods of the Large Scale Asset Purchase programme and forward guidance policies whereas long-run connectedness is prominent during periods of US conventional monetary policy particularly in the COVID-19 era. The findings from the country-by-country dynamic spillover specifically show that countries which are more (less) responsive to US monetary policy shocks have lower (higher) inflation rates averages since the start of the pandemic. The findings suggest that African Central Banks can be benefit from higher coordination with the US Federal Reserve and we further propose that Central Banks worldwide in setting similar inflation targets.</p></div>","PeriodicalId":43998,"journal":{"name":"Central Bank Review","volume":null,"pages":null},"PeriodicalIF":2.8,"publicationDate":"2024-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1303070124000131/pdfft?md5=37905923c4f01e69cd706c62e2bbe095&pid=1-s2.0-S1303070124000131-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141244396","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0