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Interaction of monetary and fiscal policies in Turkey 土耳其货币和财政政策的相互作用
IF 2.8
Central Bank Review Pub Date : 2020-12-01 DOI: 10.1016/j.cbrev.2020.03.001
Tayyar Büyükbaşaran, Cem Çebi, Erdal Yılmaz
{"title":"Interaction of monetary and fiscal policies in Turkey","authors":"Tayyar Büyükbaşaran,&nbsp;Cem Çebi,&nbsp;Erdal Yılmaz","doi":"10.1016/j.cbrev.2020.03.001","DOIUrl":"10.1016/j.cbrev.2020.03.001","url":null,"abstract":"<div><p>This paper aims to investigate the interaction between monetary and fiscal policies in Turkey. For this purpose, a Bayesian Structural Vector Autoregression (SVAR) model with sign and zero restrictions is used. We particularly focus on how the fiscal and monetary policy variables respond to various macroeconomic shocks and whether the type of shocks matters. Our results confirm the importance of nature of shocks in terms of interaction between monetary and fiscal policies with the finding that both policy shocks are complementary in response to demand and supply shocks while they are substitute in response to shocks caused by the each other. Our main findings are robust to alternative variable definitions and identifying restrictions.</p></div>","PeriodicalId":43998,"journal":{"name":"Central Bank Review","volume":"20 4","pages":"Pages 193-203"},"PeriodicalIF":2.8,"publicationDate":"2020-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.cbrev.2020.03.001","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86591867","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: 7
Import Content of Turkish Production and Exports: A sectoral analysis1 土耳其生产和出口的进口内容:一个部门分析
IF 2.8
Central Bank Review Pub Date : 2020-12-01 DOI: 10.1016/j.cbrev.2020.07.001
Yasemin Erduman, Okan Eren, Selçuk Gül
{"title":"Import Content of Turkish Production and Exports: A sectoral analysis1","authors":"Yasemin Erduman,&nbsp;Okan Eren,&nbsp;Selçuk Gül","doi":"10.1016/j.cbrev.2020.07.001","DOIUrl":"10.1016/j.cbrev.2020.07.001","url":null,"abstract":"<div><p>This study investigates the evolution of the import content of production and exports in Turkey for the 2002–2018 period. Based on 2002 and 2012 input-output tables and a large data set of production and foreign trade, we estimate the production and imported input use for 20 sectors, mainly from the manufacturing industry. We calculate import requirement ratios, comprising both direct and indirect effects, for each sector using the Leontief inverse matrix. Our findings indicate that import dependency increases for exports, but stays relatively stable for production over time. In general, the import content of production is lower than that of exports. This difference is mainly attributable to the services sector, which has low import dependency, yet a large share in production. Sectors with the highest import requirements are those with higher capital and technology intensity, such as petroleum products, basic metals, and motor vehicles. Agriculture, forestry and fishery; services and mining sectors have the lowest import requirements.</p></div>","PeriodicalId":43998,"journal":{"name":"Central Bank Review","volume":"20 4","pages":"Pages 155-168"},"PeriodicalIF":2.8,"publicationDate":"2020-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.cbrev.2020.07.001","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"83103937","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: 7
Term premium in emerging market sovereign yields: Role of common and country specific factors 新兴市场主权债券收益率的期限溢价:共同因素和特定国家因素的作用
IF 2.8
Central Bank Review Pub Date : 2020-12-01 DOI: 10.1016/j.cbrev.2020.09.003
İbrahim Özbek, İrem Talaslı
{"title":"Term premium in emerging market sovereign yields: Role of common and country specific factors","authors":"İbrahim Özbek,&nbsp;İrem Talaslı","doi":"10.1016/j.cbrev.2020.09.003","DOIUrl":"10.1016/j.cbrev.2020.09.003","url":null,"abstract":"<div><p>This paper provides cross-country analysis of local bond market term premia in emerging countries. In order to investigate the role of domestic and global factors in the determination of compensation demanded by investors for their medium and long term fixed income investments, term premia is computed for emerging countries by using methodology adopted in <span>Adrian et al. (2013)</span>. It is found that changes in market liquidity conditions is important for the variation in term premia. Moreover, movements in domestic and global factors are closely linked to term premia. In this regard, uncertainty related economic surprise indicator and exchange rate related expectations subsume some part of the expected excess returns in both medium and long term. Among other explanatory variables, inflation uncertainty is the only variable found to be insignificant in medium term, albeit it has an explaining power in the long term.</p></div>","PeriodicalId":43998,"journal":{"name":"Central Bank Review","volume":"20 4","pages":"Pages 169-182"},"PeriodicalIF":2.8,"publicationDate":"2020-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.cbrev.2020.09.003","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91112486","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
Modelling central bank behaviour in Nigeria:A Markov-switching approach 为尼日利亚央行行为建模:一种马尔可夫转换方法
IF 2.8
Central Bank Review Pub Date : 2020-12-01 DOI: 10.1016/j.cbrev.2020.11.001
Taofeek Olusola Ayinde , Abiodun S. Bankole , Oluwatosin Adeniyi
{"title":"Modelling central bank behaviour in Nigeria:A Markov-switching approach","authors":"Taofeek Olusola Ayinde ,&nbsp;Abiodun S. Bankole ,&nbsp;Oluwatosin Adeniyi","doi":"10.1016/j.cbrev.2020.11.001","DOIUrl":"10.1016/j.cbrev.2020.11.001","url":null,"abstract":"<div><p>The study models the behaviour of the Central Bank of Nigeria. An extended Taylor’s framework that accounted for exchange rate dynamics and political risk factors was adopted. In order to capture both ex-ante and ex-post behaviours of the monetary authority in the country, Markov-Switching Dynamic Regression (MSDR) approach was employed. The period of investigation spanned 1981q1 – 2017q4. The study found that money supply in Nigeria was endogenous and showed, consequently, that the Central Bank of Nigeria (CBN) acted discretionally rather than stick to some monetary policy rules for the period under investigation. The results also suggested that political risk factors significantly moderated the behaviour of the CBN; especially during period of high interest rate regime. With or without the effects of political risks being accounted for, low interest rate regime was found to be more persistent than high interest rate regime. With a relatively high persistence of low interest rate, the study found evidence for the popular Fisher’s effect and, then, suggested that inflation targeting should be one of the policy strategies of the monetary authority in Nigeria.</p></div>","PeriodicalId":43998,"journal":{"name":"Central Bank Review","volume":"20 4","pages":"Pages 213-221"},"PeriodicalIF":2.8,"publicationDate":"2020-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.cbrev.2020.11.001","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"84061903","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
Erratum regarding missing Declaration of Competing Interest statements in previously published articles 关于先前发表的文章中缺少竞争利益声明的勘误表
IF 2.8
Central Bank Review Pub Date : 2020-12-01 DOI: 10.1016/j.cbrev.2020.10.001
{"title":"Erratum regarding missing Declaration of Competing Interest statements in previously published articles","authors":"","doi":"10.1016/j.cbrev.2020.10.001","DOIUrl":"10.1016/j.cbrev.2020.10.001","url":null,"abstract":"","PeriodicalId":43998,"journal":{"name":"Central Bank Review","volume":"20 4","pages":"Page 223"},"PeriodicalIF":2.8,"publicationDate":"2020-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.cbrev.2020.10.001","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41423549","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
Exchange-traded funds and FX volatility: Evidence from Turkey 交易所交易基金和外汇波动:来自土耳其的证据
IF 2.8
Central Bank Review Pub Date : 2020-12-01 DOI: 10.1016/j.cbrev.2020.06.002
Burçhan Sakarya , Aykut Ekinci
{"title":"Exchange-traded funds and FX volatility: Evidence from Turkey","authors":"Burçhan Sakarya ,&nbsp;Aykut Ekinci","doi":"10.1016/j.cbrev.2020.06.002","DOIUrl":"10.1016/j.cbrev.2020.06.002","url":null,"abstract":"<div><p>Exchange-Traded Funds (ETFs) have become one of the most popular passive investment instruments since they bring together the advantages of stocks and mutual funds. As passive investors are more risk averse and sensitive to possible adverse market developments, ETF’s fund flows can provide distinct information in certain periods in comparison with active funds. This study looks at ETF fund flows in foreign exchange uncertainty by using EGARCH models, together with added control variables. The main results are that the large inflows of ETFs increases exchange rate volatility for contemporaneous and lagged effect models, yet large outflows have a negative and statistically significant effect on the exchange rate volatility in lagged variance equation. These findings suggest an asymmetric behavior as outflows of ETFs are followed by an exchange rate depreciation with less exchange rate FX uncertainty, while significantly large inflows of ETFs lead to higher FX uncertainty.</p></div>","PeriodicalId":43998,"journal":{"name":"Central Bank Review","volume":"20 4","pages":"Pages 205-211"},"PeriodicalIF":2.8,"publicationDate":"2020-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.cbrev.2020.06.002","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79560568","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: 6
An optimal early warning system for currency crises under model uncertainty 模型不确定性下货币危机的最优预警系统
IF 2.8
Central Bank Review Pub Date : 2020-09-01 DOI: 10.1016/j.cbrev.2020.03.002
Mamdouh Abdelmoula M. Abdelsalam , Hany Abdel-Latif
{"title":"An optimal early warning system for currency crises under model uncertainty","authors":"Mamdouh Abdelmoula M. Abdelsalam ,&nbsp;Hany Abdel-Latif","doi":"10.1016/j.cbrev.2020.03.002","DOIUrl":"https://doi.org/10.1016/j.cbrev.2020.03.002","url":null,"abstract":"<div><p>This paper assesses several early warning (EWS) models of financial crises to propose a model that can predict the incidence of a currency crisis in developing countries. For this purpose, we employ the equal weighting (EW) and dynamic model averaging (DMA) approaches to combine forecast from individual models allowing for time-varying weights. Taking Egypt as a case study and focusing only on currency crises, our findings show that combined forecast (EW- and DMA-based EWS), to account for uncertainty, perform better than other competing models in both in-sample and out-of-sample forecasts.</p></div>","PeriodicalId":43998,"journal":{"name":"Central Bank Review","volume":"20 3","pages":"Pages 99-107"},"PeriodicalIF":2.8,"publicationDate":"2020-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.cbrev.2020.03.002","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134669582","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
Credit decomposition and economic activity in Turkey: A wavelet-based approach 土耳其的信用分解和经济活动:基于小波的方法
IF 2.8
Central Bank Review Pub Date : 2020-09-01 DOI: 10.1016/j.cbrev.2020.06.001
Oğuzhan Çepni , Yavuz Selim Hacıhasanoğlu , Muhammed Hasan Yılmaz
{"title":"Credit decomposition and economic activity in Turkey: A wavelet-based approach","authors":"Oğuzhan Çepni ,&nbsp;Yavuz Selim Hacıhasanoğlu ,&nbsp;Muhammed Hasan Yılmaz","doi":"10.1016/j.cbrev.2020.06.001","DOIUrl":"10.1016/j.cbrev.2020.06.001","url":null,"abstract":"<div><p>This paper aims to investigate the co-movement between the credit growth and gross domestic product (GDP) growth in Turkey over the period January 2004–October 2019. By taking into account alternative credit decomposition and the variations over time and across frequencies using the wavelet analysis, the results show that: i) GDP growth highly synchronizes with credit growth compared to other financial variables such as stock exchange, bonds, and exchange rate. ii) There is a high correlation between commercial loan growth and capital formation and a relatively weak one with consumer loans and consumption. iii) Co-movement stemming from Turkish Lira (TL) credits to GDP growth is stronger than foreign exchange (FX) credits where the latter is significant until 2015. iv) Public and domestic private banks are the main drivers of economic activity while the foreign banks are following them. By showing the differential effects of different types of credit on GDP growth, we specify that shocks to different credit types are crucial to analyze business cycles. For policymakers, this result implies that the dynamics of different credit types are crucial to analyze the impacts of credit cycles on economic activity.</p></div>","PeriodicalId":43998,"journal":{"name":"Central Bank Review","volume":"20 3","pages":"Pages 109-131"},"PeriodicalIF":2.8,"publicationDate":"2020-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.cbrev.2020.06.001","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87214933","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
Monetary policy and financial stability: Should central bank lean against the wind? 货币政策与金融稳定:央行应该逆风而行吗?
IF 2.8
Central Bank Review Pub Date : 2020-09-01 DOI: 10.1016/j.cbrev.2020.03.006
Aswathi R. Nair , B. Anand
{"title":"Monetary policy and financial stability: Should central bank lean against the wind?","authors":"Aswathi R. Nair ,&nbsp;B. Anand","doi":"10.1016/j.cbrev.2020.03.006","DOIUrl":"10.1016/j.cbrev.2020.03.006","url":null,"abstract":"<div><p>After the global financial crisis, it was observed that price stability alone would not ensure financial stability. The new paradigm indeed insists on the inclusion of financial stability as an additional macroeconomic objective. In this context, it is essential to understand how exactly is the new objective of financial stability will be placed in the existing framework. Also, the efficacy of monetary policy in this regard needs to be thoroughly discussed. This paper probes into the employability of monetary policy as a tool to achieve financial stability. We, therefore, compare between interest rates obtained from the standard Taylor rule and asset price augmented Taylor rule in the Indian context. The results suggest that targeting asset prices can be one of the effective ways to contain financial instabilities and consequent economic slumps.</p></div>","PeriodicalId":43998,"journal":{"name":"Central Bank Review","volume":"20 3","pages":"Pages 133-142"},"PeriodicalIF":2.8,"publicationDate":"2020-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.cbrev.2020.03.006","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79410402","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: 19
Logistics performance and export variety: Evidence from Turkey 物流绩效和出口品种:来自土耳其的证据
IF 2.8
Central Bank Review Pub Date : 2020-09-01 DOI: 10.1016/j.cbrev.2020.04.002
Ünal Töngür , Kemal Türkcan , Seda Ekmen-Özçelik
{"title":"Logistics performance and export variety: Evidence from Turkey","authors":"Ünal Töngür ,&nbsp;Kemal Türkcan ,&nbsp;Seda Ekmen-Özçelik","doi":"10.1016/j.cbrev.2020.04.002","DOIUrl":"10.1016/j.cbrev.2020.04.002","url":null,"abstract":"<div><p>This study examines the effects of logistics infrastructure on export variety, as measured by the extensive margin. Using finely disaggregated exports data for Turkey’s trade with 174 countries over the period 2007–2017, we decompose gross export flows into the extensive and intensive margins of Turkish exports utilizing the method developed by Hummels and Klenow (2005). Gravity estimates suggest that logistics infrastructure positively influences export values and has a greater impact on the extensive margin than the intensive margin. Our empirical analysis further suggests that Turkish exporters are more sensitive to changes in local market logistics conditions than to those of their trade partners. These findings are robust to a variety of alternative measures and estimation methods.</p></div>","PeriodicalId":43998,"journal":{"name":"Central Bank Review","volume":"20 3","pages":"Pages 143-154"},"PeriodicalIF":2.8,"publicationDate":"2020-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.cbrev.2020.04.002","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77038577","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: 19
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