Central Bank Review最新文献_第5页

Market concentration and producer prices 市场集中度和生产者价格

IF 2.8

Central Bank Review Pub Date : 2023-03-01 DOI: 10.1016/j.cbrev.2023.100106

Huzeyfe Torun, Ahmet Duhan Yassa

引用次数: 0

Network structure of Turkish interbank market 土耳其银行间市场的网络结构

IF 2.8

Central Bank Review Pub Date : 2022-12-01 DOI: 10.1016/j.cbrev.2022.11.003

Tuba Pelin Sümer , Süheyla Özyıldırım

引用次数: 1

Modeling and estimation of synchronization in size-sorted portfolio returns 规模排序投资组合收益同步化的建模与估计

IF 2.8

Central Bank Review Pub Date : 2022-12-01 DOI: 10.1016/j.cbrev.2022.11.001

Cem Çakmaklı , Richard Paap , Dick van Dijk

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引用次数: 0

Does exporting create employment? Evidence from Turkish manufacturing 出口能创造就业吗?来自土耳其制造业的证据

IF 2.8

Central Bank Review Pub Date : 2022-12-01 DOI: 10.1016/j.cbrev.2022.11.002

Mustafa Özsarı , Yılmaz Kılıçaslan , Ünal Töngür

引用次数: 0

Is bank risk appetite relevant to bank default in times of Covid-19? 在Covid-19时期，银行风险偏好与银行违约相关吗?

IF 2.8

Central Bank Review Pub Date : 2022-09-01 DOI: 10.1016/j.cbrev.2022.08.003

Pei-Ling Lee , Chun-Teck Lye , Chin Lee

{"title":"Is bank risk appetite relevant to bank default in times of Covid-19?","authors":"Pei-Ling Lee , Chun-Teck Lye , Chin Lee","doi":"10.1016/j.cbrev.2022.08.003","DOIUrl":"10.1016/j.cbrev.2022.08.003","url":null,"abstract":"<div><p>The paper aims to analyze the effect of bank risk appetite on banks' default probabilities during the year of COVID-19 in 12 countries while controlling for bank-specific and country-specific effects over time. A System Generalized Methods of Moments (GMM) model of default probabilities is estimated over the periods 2010–2021. This study confirms the ‘risk-mitigation view’, in which banks with higher ESG scores are more prudent in lending and have better relationship management, reducing the probability of bank default. Underperforming banks tend to have a higher portion of risky loans in their credit portfolio and therefore demonstrating a higher default propensity. Bank risk appetite, ESG, asset quality, economic growth, and currency depreciation appear to be material drivers for bank risk. We find that a lower risk appetite ratio (corresponding to higher risk appetite) is associated with higher estimated default probability during the COVID-19 outbreak, identified through interaction with a single time dummy for 2020 (the break-out year of the pandemic).</p></div>","PeriodicalId":43998,"journal":{"name":"Central Bank Review","volume":"22 3","pages":"Pages 109-117"},"PeriodicalIF":2.8,"publicationDate":"2022-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S130307012200021X/pdfft?md5=fd9aefad9cf254a310e737de7018a2b4&pid=1-s2.0-S130307012200021X-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81811451","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: 4

Covid-19, sovereign risk and monetary policy: Evidence from the European Monetary Union Covid-19、主权风险和货币政策:来自欧洲货币联盟的证据

IF 2.8

Central Bank Review Pub Date : 2022-09-01 DOI: 10.1016/j.cbrev.2022.08.001

Seçil Yıldırım Karaman

{"title":"Covid-19, sovereign risk and monetary policy: Evidence from the European Monetary Union","authors":"Seçil Yıldırım Karaman","doi":"10.1016/j.cbrev.2022.08.001","DOIUrl":"10.1016/j.cbrev.2022.08.001","url":null,"abstract":"<div><p>This paper investigates the impact of Covid-19 pandemic and monetary policy measures adopted by the European Central Bank (ECB) on the sovereign risk for the European Monetary Union (EMU) countries for the period between March-2020 and November-2020 using daily data. The impact of Covid-19 and monetary policy shocks on the credit default swap rates and bond yields are investigated relying on a fixed effects panel regression model for five core (Germany, France, Austria, Netherlands, Belgium) and three periphery (Italy, Portugal and Spain) countries. To investigate the cross-country differences in responses, the interactions of the independent variables with periphery dummy and other country-specific variables are included in the regressions. The results of the empirical analysis suggest that Covid-19 shock increased the sovereign risk in the periphery EMU countries significantly and monetary policy measures have been effective in easing financial conditions in these countries. The results are insignificant for the core countries. The results also show that financial stability alleviates the negative impact of Covid-19 on the sovereign risk.</p></div>","PeriodicalId":43998,"journal":{"name":"Central Bank Review","volume":"22 3","pages":"Pages 99-107"},"PeriodicalIF":2.8,"publicationDate":"2022-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1303070122000191/pdfft?md5=c5525e8bab70680c8452aa6f30932435&pid=1-s2.0-S1303070122000191-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74685191","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: 3

Bootstrap-DEA management efficiency and early prediction of bank failure: Evidence from 2008-2009 U.S. bank failures Bootstrap-DEA管理效率与银行倒闭早期预测:来自2008-2009年美国银行倒闭的证据

IF 2.8

Central Bank Review Pub Date : 2022-09-01 DOI: 10.1016/j.cbrev.2022.08.002

Abdus Samad, Vaughn S. Armstrong

引用次数: 2

Exchange rate volatility and export in Turkey: Does the nexus vary across the type of commodity? 汇率波动与土耳其出口:不同类型商品之间的关系不同吗?

IF 2.8

Central Bank Review Pub Date : 2022-06-01 DOI: 10.1016/j.cbrev.2022.05.001

Doğukan Tarakçı , Fevzi Ölmez , Dilek Durusu-Çiftçi

{"title":"Exchange rate volatility and export in Turkey: Does the nexus vary across the type of commodity?","authors":"Doğukan Tarakçı , Fevzi Ölmez , Dilek Durusu-Çiftçi","doi":"10.1016/j.cbrev.2022.05.001","DOIUrl":"https://doi.org/10.1016/j.cbrev.2022.05.001","url":null,"abstract":"<div><p>Turkey has experienced a rapid increase in exports during the last two decades. In addition, there has been a significant increase in the exchange rate and its volatility in recent years. Hence, the empirical examination of the volatility-export nexus in a comprehensive framework seems to be important to provide insights for policymakers. In this study, we investigate how the exchange rate volatility affects Turkey's exports to its major partners namely, Belgium, France, Germany, Italy, Netherlands, Russia, Spain, the UK, and the USA for the period of 2002:01–2019:12. Considering the existence of an asymmetric effect of volatility on trade, we separate positive changes of volatility from negative changes via the partial sum concept and introduce nonlinearity into the estimation and testing procedure. Our results indicate that (i) exchange rate volatility plays quite important role for Turkey's export, (ii) asymmetry matters for better understanding the volatility-export nexus, (iii) the impact of volatility is country and commodity-specific, (iv) exchange rate volatility shows higher impacts on capital and consumption goods export. Lastly, exchange rate volatility affects exports in opposite directions in the short and long-run. Both low and high volatility generally increase (decrease) Turkey's exports in the short-run (long-run). These results provide important implications for policymakers.</p></div>","PeriodicalId":43998,"journal":{"name":"Central Bank Review","volume":"22 2","pages":"Pages 77-89"},"PeriodicalIF":2.8,"publicationDate":"2022-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1303070122000117/pdfft?md5=73c8f965b433fc4dc0df254147c598fc&pid=1-s2.0-S1303070122000117-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"137195427","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

How can a central bank exit quantitative easing without rapidly shrinking its balance sheet? 央行如何在不迅速收缩资产负债表的情况下退出量化宽松政策?

IF 2.8

Central Bank Review Pub Date : 2022-06-01 DOI: 10.1016/j.cbrev.2022.06.001

Atsushi Tanaka

{"title":"How can a central bank exit quantitative easing without rapidly shrinking its balance sheet?","authors":"Atsushi Tanaka","doi":"10.1016/j.cbrev.2022.06.001","DOIUrl":"10.1016/j.cbrev.2022.06.001","url":null,"abstract":"<div><p>An important question for the major central banks of the industrialized world is how to design desirable strategies to exit quantitative easing (QE). At the exit, if a central bank needs to reduce rapidly the liquidity created by its balance sheet expansion, issuing new interest-bearing liabilities would be preferable to rapidly shrinking the balance sheet by selling existing assets, both for the stability of those assets' markets and to be able to keep capital losses from being reflected in the balance sheet under amortized-cost accounting. Given that existing assets accumulated during the quantitative easing period have low interest returns, and new liabilities to be issued in the quantitative tightening period would have high interest payouts, the central bank may run a loss that may threaten its solvency, which may force the bank to expand the monetary base above the level that is consistent with the central bank's ideal price stability path. This study considers a central bank that exits QE by issuing liabilities and examines an optimal exit strategy while maintaining the solvency by constructing a simple dynamic optimization model. The model is then applied to the Bank of Japan and the Federal Reserve to examine their possible exits.</p></div>","PeriodicalId":43998,"journal":{"name":"Central Bank Review","volume":"22 2","pages":"Pages 91-98"},"PeriodicalIF":2.8,"publicationDate":"2022-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1303070122000129/pdfft?md5=fc58689cfab9b4a9c19b9d4c186c5c7b&pid=1-s2.0-S1303070122000129-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88372885","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: 1

Analysis of the impacts of safeguard actions: Evidence from Turkey 保障措施影响分析:来自土耳其的证据

IF 2.8

Central Bank Review Pub Date : 2022-03-01 DOI: 10.1016/j.cbrev.2022.03.002

Volkan Sezgin Ph.D.

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引用次数: 0