Central Bank Review最新文献_第6页

Anticipation of central banks' adoption of inflation targeting and its effect on inflation 央行采用通胀目标制的预期及其对通胀的影响

IF 2.8

Central Bank Review Pub Date : 2023-06-01 Epub Date: 2023-06-28 DOI: 10.1016/j.cbrev.2023.100118

Amlendu Dubey, Akanksha Mishra

引用次数: 0

Household debt, heterogeneity and financial stability: Evidence from Kazakhstan 家庭债务、异质性和金融稳定：来自哈萨克斯坦的证据

IF 2.8

Central Bank Review Pub Date : 2023-06-01 Epub Date: 2023-06-27 DOI: 10.1016/j.cbrev.2023.100119

Alisher Aldashev, Birzhan Batkeyev

引用次数: 0

The determinants of savings rates in OECD countries: The role of private pensions 经合组织国家储蓄率的决定因素：私人养老金的作用

IF 2.8

Central Bank Review Pub Date : 2023-03-01 Epub Date: 2023-03-29 DOI: 10.1016/j.cbrev.2023.100107

Pınar Fulya Gebeşoğlu, Hasan Murat Ertuğrul , Ümit Bulut

{"title":"The determinants of savings rates in OECD countries: The role of private pensions","authors":"Pınar Fulya Gebeşoğlu, Hasan Murat Ertuğrul , Ümit Bulut","doi":"10.1016/j.cbrev.2023.100107","DOIUrl":"https://doi.org/10.1016/j.cbrev.2023.100107","url":null,"abstract":"<div><p>The design of pension schemes is crucial in determining savings behavior. The impact of pension schemes on saving rates across countries remains to be an intriguing empirical question considering the complicated nature of the relationship between saving patterns and pension wealth. This paper investigates the effect of the private pension contributions on savings rates in 25 selected OECD countries between the period 2001–2019 by employing quantile regression analysis which takes the heterogeneity of the data into account and provides information about not only the midpoint but also the extreme points of the distribution. According to the results, the savings rate is negatively associated with private pensions at all quantile levels. The empirical findings indicate that pension contributions tend to be strong substitutes for voluntary savings in countries with low tendencies to save. This result is especially important for its policy design implications as the policy makers tend to provide incentives either in the form of tax reliefs or direct substitutions for private pension contributions with the motivation to raise domestic savings.</p></div>","PeriodicalId":43998,"journal":{"name":"Central Bank Review","volume":"23 1","pages":"Article 100107"},"PeriodicalIF":2.8,"publicationDate":"2023-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50197115","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}

引用次数: 0

Inflation, perception of economic uncertainty and COVID-19: Evidence from Central Bank communication 通货膨胀、对经济不确定性的认识和新冠肺炎：来自央行沟通的证据

IF 2.8

Central Bank Review Pub Date : 2023-03-01 DOI: 10.1016/j.cbrev.2023.100108

Pierre Hítalo Nascimento Silva, Jevuks Matheus de Araújo

{"title":"Inflation, perception of economic uncertainty and COVID-19: Evidence from Central Bank communication","authors":"Pierre Hítalo Nascimento Silva, Jevuks Matheus de Araújo","doi":"10.1016/j.cbrev.2023.100108","DOIUrl":"https://doi.org/10.1016/j.cbrev.2023.100108","url":null,"abstract":"<div><p>Do extreme events have a significant effect about textual sentiment? The purpose of this article is to highlight the need to correct the estimation of indicators of economic uncertainty. The indicators were constructed from textual data about the perspective of extreme events. For this purpose, based on data extracted from the minutes of mee-tings of the Monetary Policy of eighteen Central Banks, we estimated two variables of perception of economic uncertainty: the first using only a traditional sentiment dictio-nary and the second incorporating terms associated with the extreme event (COVID- 19 Pandemic) in its word list. Initial results show that there is a significant effect of COVID-19 on the estimation of the perception of economic uncertainty; this effect acts as an accelerator that potentiates its impact. It was evident that incorporating conjunctural issues - be it local or global - is indispensable when performing sentiment analysis in texts during extreme events. Moreover, failing to take conjunctural issues into account throughout the estimation process can result in variables with biased in-formation.</p></div>","PeriodicalId":43998,"journal":{"name":"Central Bank Review","volume":"23 1","pages":"Article 100108"},"PeriodicalIF":2.8,"publicationDate":"2023-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50197116","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}

引用次数: 3

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 Epub Date: 2023-03-11 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 Epub Date: 2022-12-08 DOI: 10.1016/j.cbrev.2022.11.001

Cem Çakmaklı , Richard Paap , Dick van Dijk

{"title":"Modeling and estimation of synchronization in size-sorted portfolio returns","authors":"Cem Çakmaklı , Richard Paap , Dick van Dijk","doi":"10.1016/j.cbrev.2022.11.001","DOIUrl":"10.1016/j.cbrev.2022.11.001","url":null,"abstract":"<div><p>This paper examines the lead/lag relations between size-sorted portfolio returns through the lens of financial cycles governing these returns using a novel econometric methodology. Specifically, we develop a Markov-switching vector autoregressive model that allows for imperfect synchronization of cyclical regimes such as bull and bear market regimes in US large-, mid- and small-cap portfolio returns. This is achieved by characterizing the cycles of the mid- and small-cap portfolio returns in concordance with the cycle of large-cap portfolio returns together with potential phase shifts. We find that a three-regime model with distinct phase shifts across regimes characterizes the joint distribution of returns most adequately. These regimes are closely linked to the business cycle and small-cap portfolio returns are more sensitive to the cyclical phases than the large-cap portfolios. While all portfolios switch contemporaneously into boom and crash regimes, the large-cap portfolio leads the small-cap portfolio for switches to a moderate regime from a boom regime by a month. This suggests that small-cap portfolio adjusts with a delay to the relatively negative news compared to portfolios with larger market capitalization. We document that information diffusion accelerates in response to surprises related to the monetary policy. This reflects a link between financial returns and real economic activity from the viewpoint of ‘financial accelerator theory’ where portfolios with distinct size serve as a proxy for firm characteristics.</p></div>","PeriodicalId":43998,"journal":{"name":"Central Bank Review","volume":"22 4","pages":"Pages 129-140"},"PeriodicalIF":2.8,"publicationDate":"2022-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1303070122000282/pdfft?md5=c0e55656fa2f372356e166b660e3d938&pid=1-s2.0-S1303070122000282-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74394976","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

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 Epub Date: 2022-11-26 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 Epub Date: 2022-09-06 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 Epub Date: 2022-08-30 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