Central Bank Review最新文献

{"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}

{"title":"The impact of temperature and precipitation on wheat production in Türkiye","authors":"Aslıhan Atabek Demirhan,&nbsp;Saide Simin Bayraktar","doi":"10.1016/j.cbrev.2025.100191","DOIUrl":"10.1016/j.cbrev.2025.100191","url":null,"abstract":"<div><div>It is now a well-known fact that climate is changing globally at an unprecedented rate and agriculture is one of the most vulnerable sectors to this change. Considered as a significant threat for food security, climate change and its impact on agricultural practices are among the most prominent topics in the recent economic literature. Given its significant contribution to employment, exports and national income, agricultural production-climate change relation is considerably crucial for the Turkish economy. In this paper, we investigate the impact of climate change on wheat production at the province-level with a unique, up-to-date and comprehensive dataset that is constructed by the Central Bank of the Republic of Türkiye (CBRT) under the Early Warning System Project (EWSP). In the corresponding models, climate change is initially considered in a conventional way via temperature and precipitation measures, later considered with new alternative composite climate indicators. The estimation results obtained from models with two different alternative climate measures are comparable and similar: Climate change has a statistically significant adverse impact on wheat production. Combining model estimation results with the climate scenarios, the impact of hotter springs and summers on wheat production for different time spans has been put forward. The impact is found to be increasing over time, regardless severity of the climate scenarios. We believe that our understanding regarding climate change-agricultural production relation will improve with the advancements of the data set, and this will support the development of more efficient policy recommendations.</div></div>","PeriodicalId":43998,"journal":{"name":"Central Bank Review","volume":"25 1","pages":"Article 100191"},"PeriodicalIF":2.0,"publicationDate":"2025-02-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143402683","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}

{"title":"How did credit guarantee fund supports affect the bank-loan network in Türkiye?","authors":"Ayça Topalog̃lu-Bozkurt ,&nbsp;Süheyla Özyıldırım","doi":"10.1016/j.cbrev.2024.100182","DOIUrl":"10.1016/j.cbrev.2024.100182","url":null,"abstract":"<div><div>Using granular data from the Turkish banking system, we investigate the effect of credit guarantee schemes (CGSs) in 2017 and early 2018 on bank connectedness originating from common borrower firms. Our empirical findings show that the CGSs affect the connectedness of banks differently. While CGSs significantly increases the connectedness of large and small banks, they do not have a significant effect on medium-sized banks. In addition, the connectedness of state-owned banks and private domestic banks are significantly increased with the CGSs. Moreover, the CGSs increase the centrality of the strongly connected banks, while they do not have a significant effect on the centrality of the moderately or weakly connected banks. Finally, we find that the negative relation between the connectedness of the banks and the bank loan portfolio riskiness strengthens with the CGSs.</div></div>","PeriodicalId":43998,"journal":{"name":"Central Bank Review","volume":"25 1","pages":"Article 100182"},"PeriodicalIF":2.0,"publicationDate":"2024-12-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143154469","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}

{"title":"User adoption of digital currency: A systematic review and future agenda using TCCM approach","authors":"Vikrant Singh,&nbsp;Mayank Yadav","doi":"10.1016/j.cbrev.2024.100183","DOIUrl":"10.1016/j.cbrev.2024.100183","url":null,"abstract":"<div><div>Scholarly investigations into blockchain-based currencies are progressively acknowledging the transformative capacity of Central Bank Digital Currency (CBDC) in addressing the issues related to digital payments. However, this emerging field of study is presently dispersed and fragmented from the user's behavioral perspective. This paper extends the existing literature by establishing an in-depth conceptual boundary using a standard review protocol. It comprehensively analyses the 78 papers published till December 2023 to identify key research gaps. It identifies the primary contextual dimension, bibliometric information, and key clusters of concepts exhibited in the existing literature using inductive analysis techniques, Excel, R-Studio, and Vosviewer software. Furthermore, this paper also aims to suggest a future research agenda based on the TCCM approach, which will serve as a valuable resource for making informed decisions regarding CBDC development and adoption.</div></div>","PeriodicalId":43998,"journal":{"name":"Central Bank Review","volume":"25 1","pages":"Article 100183"},"PeriodicalIF":2.0,"publicationDate":"2024-12-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143154468","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}

{"title":"Uneven effects of monetary policy: Sectoral disparities in credit card spending","authors":"Hakan Yilmazkuday","doi":"10.1016/j.cbrev.2024.100181","DOIUrl":"10.1016/j.cbrev.2024.100181","url":null,"abstract":"<div><div>This paper investigates the effects of monetary policy on the credit card spending on different sectors. The investigation is based on a structural vector autoregression model, where sector-specific real credit card spending data (adjusted for inflation) representing an overall country, Türkiye, are used. The empirical results (in the long run) suggest that a positive shock to the monetary policy rate reduces real credit card spending in cars, health, insurance, and shopping in a statistically significant way, whereas it increases real credit card spending on airlines and travel. Monetary policy shocks contribute to the volatility of credit card spending by up to 36% for insurance, 26% for markets and shopping centers, and 22% for travel sectors, whereas this contribution is only about 3% for contractor services and about 4% for car rentals, jewelry, and casino sectors. It is implied that there are uneven effects of monetary policy across sector-specific credit card spendings. These results are robust to the consideration of changes in unemployment rate, inflation rate, nominal effective exchange rate, and the number of credit card transactions as well as alternative model specifications with different numbers of lags, different variables, and different estimation strategies. Important suggestions follow for monetary, fiscal, and macroprudential policies to mitigate the uneven effects of monetary policy across sectors.</div></div>","PeriodicalId":43998,"journal":{"name":"Central Bank Review","volume":"24 4","pages":"Article 100181"},"PeriodicalIF":2.0,"publicationDate":"2024-11-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142703591","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}

{"title":"Domestic inflation decomposition in a small open economy: Evidence from import price dynamics in Kazakhstan","authors":"Zhandos Ybrayev,&nbsp;Bauyrzhan Shamar,&nbsp;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":"24 4","pages":"Article 100179"},"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}

{"title":"Potential impact of introducing a neutral positive countercyclical capital buffer in EU countries","authors":"Paweł Smaga","doi":"10.1016/j.cbrev.2024.100180","DOIUrl":"10.1016/j.cbrev.2024.100180","url":null,"abstract":"<div><div>The aim of this study is to assess the potential to introduce a positive neutral rate for the countercyclical capital buffer (nCCyB) at 0.5%, 1%, 1.5% and 2% in 20 EU countries over the period 2014Q4 up to 2023Q3. Prudential data at country-level was used to estimate the level of banks' voluntary management buffers, which were found to be significant overall (although gradually decreasing) and enough to accommodate the introduction of the nCCyB. According to estimations, introduction of the nCCyB at those rates would have reduced banks’ management buffers on average by 6.5–26.0%. However, there is visible heterogeneity among EU countries. The resulting lowest decrease in capital headroom following the potential introduction of the nCCyB was recorded, among others, in Sweden, Czech Republic, Slovakia, Malta, Ireland, with the highest in Spain, Croatia, Greece, and Austria. However, the adoption of the nCCyB in recent years faces several hurdles, which constitute challenges for banks and policymakers alike.</div></div>","PeriodicalId":43998,"journal":{"name":"Central Bank Review","volume":"24 4","pages":"Article 100180"},"PeriodicalIF":2.0,"publicationDate":"2024-10-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142530803","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}