Central Bank Review

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ISSUES CENTRAL BANK REVIEW ISSUES Choose issue to view: Volume:10, Number:1 - January 2010Volume:9, Number:2 - July 2009Volume:9, Number:1 - January 2009Volume:8, Number:2 - July 2008Volume:8, Number:1 - January 2008Volume:7, Number:2 - July 2007Volume:7, Number:1 - January 2007Volume:6, Number:2 - July 2006Volume:6, Number:1 - January 2006Volume:5, Number:2 - July 2005Volume:5, Number:1 - January 2005Volume:4, Number:2 - July 2004Volume:4, Number:1 - January 2004Volume:3, Number:2 - July 2003Volume:3, Number:1 - January 2003Volume:2, Number:2 - July 2002Volume:2, Number:1 - January 2002Volume:1, Number:1 - May 2001 January 2010 Volume:10, Number:1 Composition of the Government Spending and Behaviour of the Real Exchange Rate in a Small Open Economy Author(s): İbrahim Ünalmış Abstract: The effects of government spending on a small open economy (SOE) have attracted little attention in the New-Keynesian SOE literature. One exception is Monacelli and Perotti (2007). In this paper we extend their work in several dimensions. First, we include both asset holder and non-asset holder households in the model. Second, we assume that the total government spending consists of spending on consumption goods and transfers to households. Modelling the government spending in this way enables us to analyse the responses of macroeconomic variables to different types of government spending shocks. Our results show that the effect of different types of government spending on the real exchange rate is different. Although, a rise in the government consumption spending leads to a depreciation, a rise in transfers to households leads to an appreciation. JEL Classification Codes: E21, E62, E63. Keywords: Government spending, Asset market participation, Fiscal policy, Monetary policy. URL: http://www.tcmb.gov.tr/research/cbreview/jan10-1.pdf Modelling the Daily Currency in Circulation in Turkey Author(s): Halil Güler, Anıl Talaslı Abstract: The main focus of this paper is to model the daily series of currency in circulation in Turkey. The currency in circulation is one of the most significant factors influencing the liquidity of the Turkish banking system. Therefore, the amount of currency in circulation has to be forecasted as accurately as possible. The currency in circulation displays an increasing long-term trend and strong seasonal factors which can be forecasted. This paper introduces the ARIMA-based approach to model seasonality in daily time series and evaluates the forecasting performance of the model. The results indicate that the forecasting performance of the model is better than the expert judgments both in the short-term and the long-term. JEL Classification Codes: C22, C53, E41, E47. Keywords: Currency in circulation, Liquidity management, Time series models, Seasonality. URL: http://www.tcmb.gov.tr/research/cbreview/jan10-2.pdf Exchange Rate Pass-Through and Exposure in the Turkish Economy Author(s): Nazlı Toraganlı Abstract: This paper examines the impact of exchange rate variations on the export prices and the profitability of the firms, at sectoral and at firm level respectively, in the Turkish manufacturing industry for the period 1995-2007. The data set consists of export unit values, bilateral exchange rates, total revenues, cost of goods sold, value of domestic and foreign sales, and Turkey's export trade partner's GDP's and CPI's. The results show that there is a tendency for local currency price stabilization. The average estimate of exchange rate passthrough to export prices is around 0.6. There is a mixed evidence on the relationship between exchange rate variations and profitability. It is found an apparent variation in the magnitude and direction of exposure across firms. However, these results are not robust to the specification used. JEL Classification Codes: F3, L1. Keywords: Exchange rate, Exposure, Pass-through, Industry. URL: http://www.tcmb.gov.tr/research/cbreview/jan10-3.pdf