Central Bank Review最新文献

{"title":"The effect of macroprudential policy tools on the rental and owner-occupied housing market substitution","authors":"Žaneta Vodrážka","doi":"10.1016/j.cbrev.2025.100220","DOIUrl":"10.1016/j.cbrev.2025.100220","url":null,"abstract":"<div><div>This article examines whether the tightening of macroprudential policy induces a “substitution effect” between owner-occupied and rental housing markets, evidenced by falling housing sales price growth and rising rental price growth. Using a large sample of 39 countries and two different modeling approaches, we produce impulse response functions (IRFs) to show the response of the dependent variables to changes in three groups of macroprudential policy tools: borrower-, capital- and liquidity-based tools. The baseline models use the local projections approach and compare estimates based on data from 2000 Q1 to 2022 Q4 and from 2012 Q1 to 2022 Q4. These baseline estimates are compared to the IRFs estimated by the panel Vector Autoregression model with fixed effects. The results confirm that macroprudential policy tools, especially borrower- and capital-based, cause a substitution between owner-occupied housing and rental housing markets and that constrained credit supply can cause an excess demand in rental housing markets, increasing rental price growth. This effect is further investigated in countries with homeownership rates higher and lower than 70 %, and in countries with and without rental price control. In countries with homeownership rates lower than 70 %, the tightening of borrower- and capital-based tools decreases housing sales price growth more and increases rental price growth less than in countries with homeownership rates higher than 70 %. Lastly, the substitution effect appears to be slightly stronger in countries without rental price control than in those with it.</div></div>","PeriodicalId":43998,"journal":{"name":"Central Bank Review","volume":"25 4","pages":"Article 100220"},"PeriodicalIF":1.2,"publicationDate":"2025-10-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145229989","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Central bank communication: A quantitative assessment","authors":"Ekkehard Ernst ,&nbsp;Rossana Merola ,&nbsp;Allan Gregory Ward Auclair","doi":"10.1016/j.cbrev.2025.100212","DOIUrl":"10.1016/j.cbrev.2025.100212","url":null,"abstract":"<div><div>In this paper, we propose a new set of indicators of Central Bank's communication to estimate speech intensity in five different macroeconomic fields: monetary conditions, financial stability, external competitiveness, labour and social conditions and economic activity. In addition, we also built an index of Central Banks' communication about the state of the economy and related concepts like uncertainty and risk. To do this, we develop an automated text-mining routine using the Bank of International Settlements (BIS) collection of speeches given by Central Bank senior executives. We use this set of indicators to compare goals and strategies across several Central Banks (the Federal Reserve, the European Central Bank, the Bank of England and the Reserve Bank of Australia) from the late 1990s up to 2023. We then assess whether communication intensity is mirrored in Central Banks' policy decisions. Our empirical results suggest that communication is usually a complement for monetary policy and that its intensity rises as monetary policy becomes more persistent. The late 2010s were an exception. With a near-binding ZLB, communications and policy actions diverged to some extent.</div></div>","PeriodicalId":43998,"journal":{"name":"Central Bank Review","volume":"25 3","pages":"Article 100212"},"PeriodicalIF":1.2,"publicationDate":"2025-08-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144826285","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Total factor productivity and spillover effects: Frontier and Laggard firms dynamics","authors":"Okan Akarsu","doi":"10.1016/j.cbrev.2025.100211","DOIUrl":"10.1016/j.cbrev.2025.100211","url":null,"abstract":"<div><div>In this paper, I explore the spillover effects of frontier firms on other firms in Türkiye, using a detailed administrative dataset with firm-level data on balance sheets, inter-firm transactions, and employment. I review key production function estimators, evaluate their assumptions and performance using a large dataset of Turkish firms, and use productivity estimates to identify frontier firms and assess their influence on laggard firms' performance. Additionally, I contribute to the empirical literature by exploring the spillover and network effects of frontier firms on laggard firms, as well as examining the productivity convergence of laggard firms to frontier firms. The analysis reveals three key findings: (i) Frontier firms generate positive spillover effects within sectors, which enhance sales, employment, exports, and asset growth among laggard firms; (ii) detailed firm-to-firm invoice data reveals that a higher share of frontier firms in a firm's network significantly boosts investment, net sales, and productivity growth; and (iii) laggard firms show faster productivity growth, with substantial variation across firm types and industries.</div></div>","PeriodicalId":43998,"journal":{"name":"Central Bank Review","volume":"25 3","pages":"Article 100211"},"PeriodicalIF":1.2,"publicationDate":"2025-08-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144826286","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Deposit interest rate pass-through in Central and Eastern European countries before and after 2021","authors":"Gábor Hajnal,&nbsp;Bálint Dancsik,&nbsp;Zsuzsanna Hosszú,&nbsp;Ákos Attila Ozoróczy","doi":"10.1016/j.cbrev.2025.100204","DOIUrl":"10.1016/j.cbrev.2025.100204","url":null,"abstract":"<div><div>The study analyzes interest rate pass-through for household and corporate deposits in specific markets in the Central and Eastern European (CEE) region, with a focus on the tightening cycle that began in mid-2021. This period is of particular interest to monetary policy, as sharp rate hikes by central banks, in response to a high inflationary environment, followed a period characterized by an abundance of liquidity. We examine the relationship between interbank and deposit interest rates using two methods: wavelet transform and error-correction model. Based on the wavelet analysis, we found a weakening of pass-through and a slowdown in the repricing of deposit interest rates during the tightening cycle across the countries of the CEE region, particularly in the household segment. Using error-correction models, we observe a consistent weakening in both the degree and speed of interest rate pass-through in the Hungarian and Polish deposit markets during the tightening cycle. The extent of pass-through declined most in the Hungarian household deposit market among all CEE countries.</div></div>","PeriodicalId":43998,"journal":{"name":"Central Bank Review","volume":"25 3","pages":"Article 100204"},"PeriodicalIF":2.0,"publicationDate":"2025-06-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144491510","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Does it pay to invest in environmental sustainability? Green innovation and costs of production","authors":"Umar Farooq ,&nbsp;Mosab I. Tabash ,&nbsp;Ebrahim Mohammed Al-Matari ,&nbsp;Adeeb Alhebri ,&nbsp;Khurshid Khudoykulov ,&nbsp;Lara Al-haddad","doi":"10.1016/j.cbrev.2025.100202","DOIUrl":"10.1016/j.cbrev.2025.100202","url":null,"abstract":"<div><div>Green investment is a solution for addressing environmental issues. Besides mitigating pollution, can such investment lead to other financial benefits? In response to this research question, the objective of the current analysis is to reveal the impact of going green on the cost of production (COP) for enterprises. To achieve this aim, we conduct an empirical analysis using 10 years of data (2010–2019) from non-financial sector enterprises in BRICS (Brazil, Russia, India, China, and South Africa) economies. Due to the existence of endogeneity issues, we select the system GMM (Generalized Method of Moments) model as our estimation technique. The empirical results reveal that investment in green technologies has a non-linear negative and statistically significant relationship with COP. Initially, focusing on green investment increases the COP due to technology replacement and learning costs. However, after a certain level, such investment reduces the COP, implying an inverted U-shaped relationship between green investment and the cost of production. The conclusion of the study suggests that corporate managers should consistently invest in green technologies and adopt it as a long-term strategy. This study contributes to the literature by demonstrating the real-time role of green investment in reducing the COP.</div></div>","PeriodicalId":43998,"journal":{"name":"Central Bank Review","volume":"25 3","pages":"Article 100202"},"PeriodicalIF":2.0,"publicationDate":"2025-06-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144242301","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"The oversight on the relationship between monetary policy setting and exchange rate through yield curve modeling","authors":"Yavuz Yumrukuz ,&nbsp;Furkan Türkoğlu,&nbsp;Eda Göçecek","doi":"10.1016/j.cbrev.2025.100198","DOIUrl":"10.1016/j.cbrev.2025.100198","url":null,"abstract":"<div><div>This study explores the dynamic relationship between the parameters of the yield curve, macrofinancial variables, and the USD/TRY exchange rate in Türkiye, with a particular focus on the period following the steep 2018 currency depreciation. Using the Nelson–Siegel model, we examine the influence of the factors of the yield curve, the level, the slope and the curvature, together with the FX deposits and the Türkiye CDS rate, which serve as proxyes for currency substitution and credit (sovereign) risk, respectively. The initial results of the dynamic linear regression demonstrate that the yield curve parameters provide limited explanatory power, particularly in the context of the volatile macroeconomic environment in Türkiye. However, incorporating FX deposits and CDS rates significantly improves the performance of the model, allowing the capture of key drivers of exchange rate volatility.</div><div>Additionally, quantile regression is applied to uncover the non-linear and heterogeneous effects of these variables across different segments of the exchange rate distribution. The results show that the impact of yield curve parameters, currency substitution, and systemic credit risk intensifies during periods of market stress, underscoring the importance of taking into account varying market conditions in exchange rate analysis. The findings highlight the need for comprehensive and adaptive models that integrate both short-term financial pressures and long-term structural factors to better understand and manage exchange rate dynamics in emerging markets such as Türkiye.</div></div>","PeriodicalId":43998,"journal":{"name":"Central Bank Review","volume":"25 2","pages":"Article 100198"},"PeriodicalIF":2.0,"publicationDate":"2025-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144279355","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Does difference in monetary policy framework matter for interest rate Pass-through? Evidence from TVP-VAR with stochastic volatility","authors":"Usman Adamu Bello ,&nbsp;Auwal Isah","doi":"10.1016/j.cbrev.2025.100201","DOIUrl":"10.1016/j.cbrev.2025.100201","url":null,"abstract":"<div><div>The relative success of Inflation Targeting (IT) amidst widespread rising inflation globally is motivating the Central Bank of Nigeria (CBN) to renew its desire for an IT framework. This paper applies the Time-Varying Parameter Structural Vector Autoregression with the Stochastic Volatility model (TVP-SVAR-SVM) to examine the potential benefits and provide hindsight for the CBN within the interest rate channel. The paper draws parallels between the CBN's Monetary Targeting (MT) and South Africa's Reserve Bank (SARB) IT. The result of the SVM uncovers a disparity regarding inflation uncertainty associated with interest rate pass-through. At the same time, two distinct parallels were unveiled regarding the impulse response function (IRF) result. Although CBN was found to have experienced decelerating inflation uncertainty, the SARB's IT shows no potential benefit. Meanwhile, compelling distinctiveness from the results of the IRF is: first, relative consistency in short-term inflation forecast and the future expected inflation (8-period and 12-period) found in the SARB's IT. This was accompanied by an observed absence of distortions over the declining trajectory of inflation, which allows it to build monetary policy credibility over time, while the strong indication of achieving rapid long-run disinflation over time was also detected. Thus, confirming the relatively greater degree of expectation anchoring. In contrast, the CBN's MT showed manifestation of distortions over time, with difficulties in suppressing impending inflationary pressure, whereas the expected inflation forecast deviated from its short-term (4-period) inflation forecast. Secondly, evidence of speed in the SARB's IT during the initial impact of interest rate pass-through was twice as fast as the CBN's MT. Consequently, the total impact of the pass-through to inflation under MT was also found to be delayed by 8 periods relative to the IT. This paper concludes that the characterized evidence uncovered constitutes a relatively effective SARB's IT, and a key benefit resides in the comparatively faster interest rate pass-through in the IT. This could potentially restrain the rapidness with which nominal adjustable inflation-indexed wages under short contracts have on inflation.</div></div>","PeriodicalId":43998,"journal":{"name":"Central Bank Review","volume":"25 2","pages":"Article 100201"},"PeriodicalIF":2.0,"publicationDate":"2025-05-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144138052","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"The role of earnings management and audit fees in non-financial companies during crises","authors":"Maria I. Kyriakou","doi":"10.1016/j.cbrev.2025.100200","DOIUrl":"10.1016/j.cbrev.2025.100200","url":null,"abstract":"<div><div>This study examines the mean difference and the indirect relationship between earnings management (measured by discretionary accruals) and audit fees. It spans the period from 2005 to 2020 for four countries in two pairs, namely Italy and Spain, and Germany and France. The investigation considers three of the most recent crises (the financial crisis, the sovereign debt crisis and the COVID-19 pandemic). The ANOVA method is used and its validity is compared with the Kruskal–Wallis non-parametric test along with interval plots. The latter plots are graphs that show the mean distance for the two estimated variables, which has been calculated using pooled standard deviation. The results indicate that earnings manipulation measured using discretionary accruals has increased more in Germany than in France and is similar in Italy and Spain. Audit fees have risen more in Germany than in France and have increased more in Italy than in Spain during the three most recent crises. Thus, these results indirectly confirm the positive association between earnings manipulation and audit fees.</div></div>","PeriodicalId":43998,"journal":{"name":"Central Bank Review","volume":"25 2","pages":"Article 100200"},"PeriodicalIF":2.0,"publicationDate":"2025-04-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143878697","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Revisiting inflation inertia: A comprehensive analysis of dynamics and connectedness in the Turkish case","authors":"Burçhan Sakarya ,&nbsp;Onur Polat ,&nbsp;Hasan Murat Ertuğrul","doi":"10.1016/j.cbrev.2025.100199","DOIUrl":"10.1016/j.cbrev.2025.100199","url":null,"abstract":"<div><div>This paper examines the phenomenon of inflation inertia in Türkiye focusing on its persistence and the role of interconnected price-setting behaviors. Utilizing monthly data from 2004 to 2024, the study applies a novel augmented Phillips Curve framework, integrating a Time-Varying Parameter (TVP) approach with a connectedness measure derived from the Antonakakis et al. (2020) methodology. Our aim is to investigate the interplay between consumer price inflation and sub-level pricing dynamics to understand how interconnectedness amplifies inflation persistence. This study uniquely contributes to the literature by analyzing inflation inertia alongside the influence of commodity price interconnectedness, offering a dual perspective on inflation dynamics. The findings reveal a marked increase in inflation inertia in Türkiye since 2018, driven by stronger inflation expectations and intensified price interconnectedness, particularly after 2022. The results underscore the compounded impact of synchronized pricing adjustments and sectoral linkages in perpetuating inflation persistence, which hinders the effectiveness of conventional monetary policy. Robustness checks by employing Markov Switching Regression (MSR) models, the quantile-on-quantile (QQ) regression and causality results confirm these dynamics. Policy recommendations emphasize the need for a coordinated approach, integrating monetary, fiscal, exchange rate, and income policies to reduce system-wide price interconnectedness. Central banks must adopt a clear and credible policy horizon to break inflationary expectations and mitigate inertia. By addressing these systemic challenges, policymakers can enhance the efficacy of inflation-targeting frameworks, supporting sustainable price stability in the face of entrenched inflation dynamics.</div></div>","PeriodicalId":43998,"journal":{"name":"Central Bank Review","volume":"25 2","pages":"Article 100199"},"PeriodicalIF":2.0,"publicationDate":"2025-04-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143850203","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"The nonlinear nexuses between monetary policy, household indebtedness, and household consumption: Evidence from Korea","authors":"Jounghyeon Kim","doi":"10.1016/j.cbrev.2025.100190","DOIUrl":"10.1016/j.cbrev.2025.100190","url":null,"abstract":"<div><div>Household indebtedness in Korea has surged persistently during 2003-2022. Low interest rates, coupled with escalating housing prices, are the key drivers of growing household debt. In this context, monetary tightening may play an opposite role to conventional monetary policy. Moreover, inordinate indebtedness likely acts as a deterrent to household consumption. Using threshold regression, this study explores the nonlinear nexus between monetary policy and household debt, as well as the nexus between household consumption and debt in Korea. The results reveal that an increase in the monetary policy rate boosts household debt in a regime with values beyond the threshold of the nominal (real) housing sales price index approximately 61.3 and 63.9 (80.7) for regressions on the regime-specific nominal and real policy rates, respectively. This implies that monetary tightening can enhance household debt due to high housing price expectations. Furthermore, an increase in household indebtedness suppresses household consumption when the household debt-to-annual GDP ratio is above the thresholds of approximately 84% and 82% for regressions on household debt growth and household debt-to-GDP ratio growth, respectively. These findings suggest that, under low interest rates, in the face of high housing prices and “excessive” household indebtedness, monetary tightening and debt expansion are unviable courses of action for resolving growing household indebtedness and declining household consumption. Therefore, when regulating the policy rate to control household debt and spending effectively, it is crucial to maintain housing prices and household indebtedness at desirable levels. In tandem with this, additional policy instruments such as macroprudential and housing-related fiscal regulations may also be needed to attain financial stability.</div></div>","PeriodicalId":43998,"journal":{"name":"Central Bank Review","volume":"25 1","pages":"Article 100190"},"PeriodicalIF":2.0,"publicationDate":"2025-02-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143422625","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}