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Do regional house prices converge? Evidence from a major developing economy 地区房价会趋同吗?来自一个主要发展中经济体的证据
IF 2.8
Central Bank Review Pub Date : 2021-03-01 Epub Date: 2021-03-15 DOI: 10.1016/j.cbrev.2021.03.001
Aytül Ganioğlu , Ünal Seven
{"title":"Do regional house prices converge? Evidence from a major developing economy","authors":"Aytül Ganioğlu ,&nbsp;Ünal Seven","doi":"10.1016/j.cbrev.2021.03.001","DOIUrl":"10.1016/j.cbrev.2021.03.001","url":null,"abstract":"<div><p>This paper analyzes the long-run convergence of regional house prices in a major developing country, Turkey. Using a non-linear time-varying factor model and quarterly hedonic house price data from 2010 to 2018, we find that house prices do not converge across 26 regions of Turkey. Results reveal that the regions can be grouped into seven convergence clubs and one divergent club, confirming the Turkish housing market’s heterogeneity and complexity. We extend the analysis to explore the possible factors driving the convergence clubs. We find that income, population, education, unemployment, being in an earthquake zone, and inflow of Syrian refugees are significant driving forces in explaining convergence club formation. These outcomes will benefit home buyers/sellers, investors, regulators, and policymakers interested in analyzing the dynamic interlinkages among house prices and the effects of shocks originating from the regional housing markets in developing countries.</p></div>","PeriodicalId":43998,"journal":{"name":"Central Bank Review","volume":"21 1","pages":"Pages 17-24"},"PeriodicalIF":2.8,"publicationDate":"2021-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.cbrev.2021.03.001","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"82201107","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
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 : 2021-03-01 Epub Date: 2021-04-23 DOI: 10.1016/j.cbrev.2021.03.003
{"title":"Erratum regarding missing Declaration of Competing Interest statements in previously published articles","authors":"","doi":"10.1016/j.cbrev.2021.03.003","DOIUrl":"https://doi.org/10.1016/j.cbrev.2021.03.003","url":null,"abstract":"","PeriodicalId":43998,"journal":{"name":"Central Bank Review","volume":"21 1","pages":"Page 35"},"PeriodicalIF":2.8,"publicationDate":"2021-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.cbrev.2021.03.003","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"137146102","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
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 Epub Date: 2020-08-18 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
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 Epub Date: 2020-08-24 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
Revisiting interest rate and lending channels of monetary policy transmission in the light of theoretical prescriptions 从理论处方出发，重新审视货币政策传导的利率和贷款渠道
IF 2.8
Central Bank Review Pub Date : 2020-12-01 Epub Date: 2020-09-25 DOI: 10.1016/j.cbrev.2020.09.002
Abdul-Aziz Iddrisu, Imhotep Paul Alagidede
{"title":"Revisiting interest rate and lending channels of monetary policy transmission in the light of theoretical prescriptions","authors":"Abdul-Aziz Iddrisu,&nbsp;Imhotep Paul Alagidede","doi":"10.1016/j.cbrev.2020.09.002","DOIUrl":"10.1016/j.cbrev.2020.09.002","url":null,"abstract":"<div><p>Although theories on channels of monetary policy transmission emphasize indirect monetary policy effect on inflation and output, empirical literature is surprisingly rooted in a direct approach. The use of variants of vector autoregression, with theoretical ordering of variables, does not only fail to quantify the indirect effect, but are also fraught with disagreements on identification of shocks of monetary policy. We revisit the interest rate and lending channels of monetary policy transmission in an approach that is grounded in theory and elicits step-by-step transmission of monetary policy impulses and the eventual effect on inflation in South Africa. We find interest rate and lending channels to be operative in South Africa. For the interest rate channel, a percentage restriction in monetary policy increases lending rate by 0.29%; a percentage increase in the lending rate reduces investment by 0.063%; and a percentage fall in investment reduces inflation by 0.074%. For the lending channel, a percentage restriction of monetary policy reduces banking sector credit by 0.22%; a percentage fall in private sector credit reduces investment by 0.20%; and a percentage decline in investment reduces inflation by 0.086%. These results are robust to different samples and specifications.</p></div>","PeriodicalId":43998,"journal":{"name":"Central Bank Review","volume":"20 4","pages":"Pages 183-192"},"PeriodicalIF":2.8,"publicationDate":"2020-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.cbrev.2020.09.002","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74658953","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
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 Epub Date: 2020-10-14 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 Epub Date: 2020-11-24 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 Epub Date: 2020-11-07 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 Epub Date: 2020-08-15 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 Epub Date: 2020-03-26 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
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