IMF-土耳其的外汇资产负债表：风险敞口与相互关联（英）

ForeignCurrencyBalanceSheetsinTürkiye

ExposureandInterconnectedness

AlexPienkowski

WP/23/132

IMFWorkingPapersdescriberesearchin

progressbytheauthor(s)andarepublishedto

elicitcommentsandtoencouragedebate.

TheviewsexpressedinIMFWorkingPapersare

thoseoftheauthor(s)anddonotnecessarily

representtheviewsoftheIMF,itsExecutiveBoard,

orIMFmanagement.

2023

JUN

©2023InternationalMonetaryFund

WP/23/132

IMFWorkingPaper

EuropeanDepartment

ForeignCurrencyBalanceSheetsinTürkiye

ExposureandInterconnectedness

PreparedbyAlexPienkowski

AuthorizedfordistributionbyDonalMcGettigan

Month2023

IMFWorkingPapersdescriberesearchinprogressbytheauthor(s)andarepublishedtoelicitcommentsandtoencouragedebate.TheviewsexpressedinIMFWorkingPapersarethoseoftheauthor(s)anddonotnecessarilyrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement.

ABSTRACT:Asaheavily“dollarized”economy,largeforeigncurrencymismatchesexistbetweeninstitutionalsectorswithinTürkiye,aswellaswithnon-residents.Combiningseveralseparatedatasources,thisworkingpaperbuildsapictureoftheaggregateFXexposureofthetotaleconomy.Itexplorestheinterlinkagesbetweensectorsandhowtheyhaveevolvedinrecentyears.Sincethestartofthepandemic,theoverallnetFXpositionoftheeconomydeteriorated,andtherehasalsobeenaconsiderableshiftinFXriskfromtheprivatetothepublicsector.Especiallyforthecentralbank,thisshiftconstrainspolicyspace.

RECOMMENDEDCITATION:Pienkowski,A.(2023),ForeignCurrencyBalanceSheetsinTürkiye,ExposureandInterconnectedness,IMFWorkingPaperWP/23/132.

JELClassificationNumbers:E44,E58,F30

Keywords:Currencyrisk;balancesheets;Türkiye

Author’sE-MailAddress:apienkowski@

WORKINGPAPERS

ForeignCurrencyBalanceSheetsinTürkiye

ExposureandInterconnectedness

PreparedbyAlexPienkowski

TitleofWP

IMFWORKINGPAPERS

INTERNATIONALMONETARYFUND2

Contents

Glossary

3

ExecutiveSummary

4

A.Introduction

5

B.FXbalancesheetsbysector

5

C.Combiningbalancesheets

8

D.Interlinkages

9

E.Conclusion

10

References

12

INTERNATIONALMONETARYFUND3

Glossary

FX-foreignexchange

NFC-non-financialcorporation

NIR-netinternationalreserves

NIIP-netinternationalinvestmentposition

INTERNATIONALMONETARYFUND4

ExecutiveSummary

BalancesheetmismatcheshavehistoricallybeenasourceofvulnerabilityinTürkiye,andemergingmarketsmoregenerally.Financialdeepening,combinedwithgreaterintegrationintoglobalcapitalmarkets,havemeantthatTürkiye’sbalancesheethasbecomemuchmorecomplexinrecentdecades.Whilethiscanbringbenefits—accesstoglobalsaving,informationsharing,diversificationofrisk—italsobringshazards,especiallyifnotwellmanaged.ThispapercombinesseveraldatabasestobuildapictureoftheaggregateFXexposureofTürkiye’stotaleconomy.Itexplorestheinterlinkagesbetweensectorsandhowtheyhaveevolvedinrecentyears.

In2020,thecentralbanknetFXpositiondeterioratedbyaroundUS$66billionasitundertookforeignexchangeinterventiontosupporttheliraattheheightofpandemic.Asignificantshareofthiswasusedtofinancethecurrentaccountdeficit.However,partofthisalsoallowedNFCsandhouseholdsto,directlyorindirectly,improvetheirnetFXposition.Aplausibleargumentcouldbemadethatthisimplicitsupportoftheprivatesectorcouldhavepreventedamorecostlyadjustmentwheneconomicactivitywasalreadyextremelyweak.

Buttheseactionsalsoweakenedthecentralbank,reduceditspolicyspace,andincreasedFXmismatches.NotonlyhastheoverallFXpositionoftheeconomyweakenedsincethestartofthepandemic,butriskhasalsoshiftedfromtheprivatetothepublicsector.WithalargenegativenetFXposition,thecentralbankisvulnerabletoexchangeratedepreciationsandshockstoFXliquidity.Inaddition,thecentralbank’sscopeforpolicyinterventionhasalsoshrunk,asitsabilitytointerveneinFXmarketsintimesofinstabilityhasdiminished.Finally,interlinkagesbetweenthecentralbankandbankshavealsogrown,whichcombinedwiththecentralbanksnegativenetFXposition,increasesFXliquidityriskswithintheeconomy.

Non-financialcorporations,despiterecentsignificantFXdeleveraging,remainasourceofrisk.SupportedbyregulationtoreduceunhedgedFXborrowing,thecorporatenetFXpositionhasdeclinedsignificantlysinceitspeakin2018.Nevertheless,theyremainacentralpartoftheFXnetwork.Theyposeliquidityrisksforbanks—andhencethecentralbank—iftheychoosetowithdrawalFXdeposits.AndtheyposeassetqualityriskstobanksiftheyhaveproblemsservicingtheirFXdebt.Thisshowstheircontinuedsystemicimportance,andtheneedforongoingcarefulmonitoring.

TitleofWP

IMFWORKINGPAPERS

INTERNATIONALMONETARYFUND5

A.Introduction

Balancesheetmismatcheshavehistoricallybeenasourceofvulnerabilityinemergingmarkets.Financialdeepening,combinedwithgreaterintegrationintoglobalcapitalmarkets,havemeantthatemergingmarketbalancesheetshavebecomemuchmorecomplexinrecentdecades.Whilethiscanbringbenefits—accesstoglobalsaving,informationsharing,diversificationofrisk—italsobringshazards,especiallyifnotwellmanaged(Sahayandothers,2015).Inparticular,balancesheetmismatches,inmaturity,currency,andcapitalstructure,canquicklyspill-overintoothersectors,potentiallytriggeringanexternalbalanceofpaymentscrisis(Allenandothers,2002).

Thefocusofthispaperisforeignexchange(FX)mismatchesinTürkiye.Itcombinesseveraldatasourcesfrom

Source

Database

CBRT

Centralbankbalancesheet

Securitiesstatistics

NFCFXbalancesheetNetInternationalInvestmentPosition

BRSA

Bankbalancesheets

MOTF

Externaldebtstatistics

theCBRT,TurkstatandtheBRSAtobuildapictureofFX

assetsandliabilitiesbyinstitutionalsector.Equityholdingsare

excludedastheseinstrumentsdonotrepresentafixedforeign

currencyclaim,suchastheprincipalpaymentonabondor

loan.1Wherepossible,thedatabasealsolinksclaimsbetween

institutionalsectors—socalled,“whom-to-whom”relationships—

forexample,fromhouseholdstobanks.

Thedatahassomelimitations–i)itexcludesnon-bankfinancialinstitutions,suchaspension,insuranceandmoneymarketfunds;andii)somelinksbetweensectorsareinconsistent,forexample,non-financialcorporation(NFC)liabilitiestobanksdonotexactlymatchbanks’assetsfromNFCs.Butoverall,theseomissionsarerelativelyminor.Theremainderofthispaperisstructuredasfollows:i)SectionBexplorestheindividualFXbalancesheetsofeachinstitutionalsectorinturn;ii)SectionCcombinesthesebalancesheetstogiveaneconomy-wideperspective,lookingathowthishasshiftedinrecentyears;iii)SectionDlooksindetailattheinterlinkagesbetweensectorsusingnetworkanalysis,and;iv)SectionEconcludeswithadiscussiononrisk.

B.FXbalancesheetsbysector

Households.ThehouseholdsectorhasbyfarthelargestpositiveFXposition,mainlyintheformofFXdepositsinbanks,butalsoFXloanstoNFCs,oftenfromowners/familymemberstofirms.In2009,theTürkiyeauthoritiesprohibitedlendingtohouseholdsinforeigncurrency,whichmeansthatthissectorhasvirtuallynoFXliabilities.Whilenotcapturedinthisdatabase,householdsalsoholddepositsinthepublic-guaranteedFX-protectedliradepositscheme,introducedattheendof2021.Overall,this‘long’FXpositionmeansthathouseholdsarewellhedgedagainstthedirectimpactofaliradepreciation,providinganimportantsourceofstabilityforthissector.

1Equityclaimsreflecttheunderlyingvalueofacompany,whichwillbeinfluencedbyexchangeratedevelopments,forexamplethroughvaluationeffectsonthefirm’sbalancesheetorexportcompetitiveness.However,theseclaimsarenotfixedandcanprovideanimportantshock-absorbertofirmsandthewidereconomy.

TitleofWP

IMFWORKINGPAPERS

INTERNATIONALMONETARYFUND6

Sources:CBRT;BRSA;HaverAnalytics;andIMFstaffcalculations.

Note:Thebalancesheety-axisisscaledtoprovideeasycomparisonwithothersectors.Latestdata:March,2023.

Non-financialcorporations.WithsignificantFXloansfromdomesticandforeignbanks,NFCshavealargenegativenetFXposition.SupportedbyregulationstoreduceunhedgedFXborrowing,NFCnominalFXindebtednesshasfallensignificantlytoaroundhalfofitspeakin2018,althoughitremainshighcomparedtootheremergingmarketeconomies.Furthermore,thesustainedrealdepreciationofthelirainrecentyearshasincreasedtherealburdenofthisdebtonNFCs.However,FXliquidityriskissubstantiallymitigatedbythehighshareofFXdepositsontheassetsideofthebalancesheet,relativetoshort-termdebt.Thisnetpositiveshort-termpositionprovidessomestabilityagainsttemporaryexchangerateandexternalliquidityshocks,atleastforthesectorinaggregate.Inaddition,manylargeNFCsarealsoexporters,sohaveFXincomethatprovidesanaturalhedge.Indeed,despitetherecentweakeningoftherealexchangerate,corporateprofitmarginshaveremainedrobustandinsolvenciesrateshaveremainedlow.

Sources:CBRT;BRSA;HaverAnalytics;andIMFstaffcalculations.

Note:Thebalancesheety-axisisscaledtoprovideeasycomparisonwithothersectorsLatestdata:March,2023.

Banks.Intheaftermathoftheearly-2000sfinancialcrisis,bankswereprohibitedfromholdinglargenetFXpositions,whichmeansthattheyarewellhedgedagainstthedirecteffectsofexchangerateshocks.ButbankshavethelargestgrossFXbalancesheet,intermediatingdepositsfromhouseholdsandNFCstotherestoftheeconomy.Banksalsoholdsignificantassetsatthecentralbankintheformofdepositsandoff-balancesheetFX-TLswaps.Similarswapswerepreviouslyheldwithoffshorecounterpartsbutweregraduallyprohibitedand

INTERNATIONALMONETARYFUND7

eventuallyentirelyreplacedbyCBRTswaps.Asdiscussedinmoredetailbelow,thisgreatlyincreasedthe(risky)nexusbetweenbanksandthecentralbank.

Sources:CBRT;BRSA;HaverAnalytics;andIMFstaffcalculations.

Note:Thebalancesheety-axisisscaledtoprovideeasycomparisonwithothersectors.Latestdata:March,2023.

Generalgovernment.Perhapsnotsurprisingly,thegeneralgovernmentholdsmoreFXliabilities(mainlyintheformofEurobonds)thanFXassets.TheseEurobondsareheldbybothforeignersanddomesticbanks.WhilethisnegativenetFXpositionexposesthegovernmenttorealexchangerateshocks,itisnotunusualforemergingmarketsgovernmentstoissuedebtinFX.Indeed,inlargepartduetoTürkiye’srelativelylowpublicdebtstock,FXdebtasashareofGDPislowcomparedtocountrypeers.

160

140

120

100

80

60

40

20

0

GovernmentGovernmentGrossDebt

(PercentofGDP)

FXdebt

LCdebt

BRN

PAN

CHN

IRN

ECU

DZA

KOS

THA

RUS

IND

BRA

KWT

ZAF

BWA

KAZ

SAU

CHL

GNQ

GTM

AZE

IDN

POL

VNM

HUN

BGR

MEX

MAR

GUY

NAM

PHL

PER

TTO

NPL

TUR

PAK

BIH

ROU

CRI

UKR

COL

PRY

IRQ

HRV

QAT

URY

ALB

DOM

BLR

GEO

SRB

ARM

NIC

LKA

JOR

OMN

BRB

ATG

KGZ

TUN

GRD

ARG

JAM

MDV

DMA

VCT

BLZ

BHR

MNG

SUR

BTN

Source:WorldEconomicOutlook.

Sources:CBRT;BRSA;HaverAnalytics;andIMFstaffcalculations.

Note:Thebalancesheety-axisisscaledtoprovideeasycomparisonwithothersectors.

Centralbank.SinceMarch2020,thecentralbankhashadanegativenetFXposition.MostliabilitiesareintheformofFXdepositsfromthebankingsystem,buttherealsotheTL-FXbankswapsdiscussedabove.Whilegrossinternationalreserveshavenotfallensignificantlyinrecentyears,therehasbeenasteadydeteriorationinnetinternationalreserves(NIR),whichhaveturnedslightlynegativeinMay2023.Furthermore,onceotherdomesticclaimsonthecentralbankareremoved,“core”NIRisdeeplynegative.

TitleofWP

IMFWORKINGPAPERS

INTERNATIONALMONETARYFUND8

Sources:CBRT;BRSA;HaverAnalytics;andIMFstaffcalculations.

Note:Thebalancesheety-axisisscaledtoprovideeasycomparisonwithothersectors.

C.Combiningbalancesheets

Türkiyehasalargenegativenetforeigncurrencypositionrelativetotherest-of-the-world.Eachofthesesectoralbalancesheetscanbecombinedtoconstructaneconomy-widenetFXposition.Asofend-2022,thisstoodatminusUS$150billion(14percentofGDP).Thisisequivalenttothenon-equityandFX-onlynetinternationalinvestmentposition(NIIP).2Asdiscussed,thehouseholdsectorprovidesvirtuallyalldomesticnetFXtothesystem.ButthisisnotenoughtomatchthesizableFXdebtorpositionofNFCs,thegeneralgovernmentandthecentralbank,withtheremaindercomingfromexternalcreditors.Inthisregard,itisalsopossibletoconsolidatethesectoralFXpositionsandfocusonobligationsrelativetotherest-of-the-world.Heretheoveralleconomy-widenetpositionisunchangedcomparedtothediscussionabove.Onlythecentralbankhasmoreforeignassetsthanliabilities,withallothersectorsactingasnetFXdebtorstotherestoftheworld.Howeverthisisviewed,thislargenegativeFXpositionleavesTürkiyevulnerabletoadversebalancesheeteffectsfromexchangerateshocks.

Sources:CBRT;BRSAHaverAnalytics;andIMFstaffcalculations.

Note:Thebalancesheety-axisisscaledtoprovideeasycomparisonwithothersectors.Latestdata:March,2023.

2Theofficialnon-equity,butallcurrency,NIIPisminusUS$165billion,withthedifferenceattributedtolira-denominatedassetsandliabilities,plusanydiscrepanciesbetweenthedatasets.

TitleofWP

IMFWORKINGPAPERS

INTERNATIONALMONETARYFUND9

Sincethestartofthepandemic,therehasbeenasignificantshiftinFXriskfromtheprivatetothepublicsector.Thecentralbank’snetFXpositionweakenedconsiderablybyaroundUS$70billion,asFXassetsweresoldinlargeamountsinthemiddleof2020withtheaimofsupportingthelira.However,thisdrainonforeignexchangewaspartlyoffsetbytwosectorselsewhereintheeconomy.First,NFCsusedrelativelyinexpensive

lirafinancingtoreduceFXdebtandbuildFX

deposits,improvingtheoverallFXposition.

Second,“dollarization”byhouseholdsincreased

asinflationerodedthevalueofliradeposits–this

peakedinlate2020buthasnowlargelyreversed,

inpartdrivenbythepublic-guaranteedFX-

protectedliradepositscheme,amongother

measures.Thechangeintheoveralltotal

economypositionoverthisperiod—aroundminus

US$35billion—canbethoughtofasresidual

financingforthecurrentaccountdeficitafterFDI,

neterrorsandomissionsandnetlira-

denominatedassetflowsarenettedout.

D.Interlinkages

Networkanalysiscanshedlightonthesystemicimportanceofsectors.Households(HH)andthegeneralgovernment(GG)arerelativelydetachedfromtheFXnetwork,despitehavinglargenetpositions.HouseholdsalmostentirelycredittheirFXtobanks(BS),intheformofdeposits;whilethegeneralgovernmentmainlyborrowsfromabroad(RW).ThebankingsectorhasatinyFXposition(hencethe‘node’inthechartbelowisnotvisible),butplayanimportantroleinintermediatingFXflows.Thecentralbank(CB),NFCs(NC)andtherest-of-the-worldareallhighlyinterlinkedwitheachotherandthebankingsystem.

SectoralNetwork,August2022

Note:SizeofnodeisproportionaltothenetFXposition;bluerepresentsapositivepositionandredrepresentsanegativeposition.Thewidthofthe‘edges’betweenthenodes(whicharebi-directional)representtheownershipofassetsandliabilities(fromdebtortocreditor).

TitleofWP

IMFWORKINGPAPERS

INTERNATIONALMONETARYFUND10

Networkinterlinkagesbetweensectorshavealsoshiftedinimportantways.Toconsiderhowthisnetworkhaschangedovertime,itispossibletobuilda‘networkcentralitymetric’,designedtocapturetheinfluenceofanodeinthenetwork.3ThemetricconsiderstheimportanceofbothFXcreditorsanddebtors.Thefollowingobservationscanbemade:

•Householdshaveplayedanincreasinglyimportantcreditorrole,peakinginearly2021as‘dollarization’increased.ThisisbecausehouseholdFXdepositshavebecomeamuchmoreimportantsourceoffundingforbanks,whichhaveinturnreducedtheirexposuretoexternalfinancing.

•TheNFCnetpositionhasimprovedinrecentyears.Nevertheless,thenetworkcentralitymetricsshowsthissector’scontinuingimportanceasaFXborrower,notonlyasalargedebtor,butalsobecauseitborrowsfrommultiplesectors.

•Banksobviouslyplayanimportantintermediaryrole:theyhaveequalimportanceasacreditoranddebtor.Incontrast,thegovernmentdoesnotplayanimportantroleeitherasanFXdebtororcreditor.

•Thecentralbankhasswitchedfromhavinga‘long’toa‘short’netFXposition.Asthecentralbankrebuiltreservesfollowingthesell-offin2020,newliabilitiesweregeneratedwiththerestoftheworldandwithdomesticbanks,boththroughswaparrangementsandFXdeposits.ThishasincreasedtheimportanceofthissectorasanetFXdebtor.

Sources:CBRT;BRSA;HaverAnalytics;andIMFstaffcalculations.

E.Conclusion

Thelargesell-offofreservesbythecentralbankin2020likelybuiltsomeresilienceinothersectors.In2020,thecentralbanknetFXpositiondeterioratedbyaroundUS$70billionasitundertookforeignexchangeinterventiontosupporttheliraattheheightofpandemic.Asignificantshareofthiswasusedtofinancethecurrentaccountdeficit.However,partofthisalsoallowedNFCsandhouseholdsto,directlyorindirectly,

3Theanalysisusesan‘Eigenvectorcentrality’measuredevelopedbyNetworkXusingPython.Alargernode(greaterthenetFXposition),withmoreconnectionsbetweensectors(sizeofFXgrossrelationships),willgetagreaterscore.

TitleofWP

IMFWORKINGPAPERS

INTERNATIONALMONETARYFUND