IMF-土耳其的外汇资产负债表：风险敞口与相互关联（英）

ForeignCurrencyBalanceSheetsinTürkiyeExposureandInterconnectednessAlexPienkowskiWP/23/132IMFWorkingPapersdescriberesearchinprogressbytheauthor(s)andarepublishedtoelicitcommentsandtoencouragedebate.TheviewsexpressedinIMFWorkingPapersarethoseoftheauthor(s)anddonotnecessarilyrepresenttheviewsoftheIMF,itsExecutive

Board,orIMFmanagement.2023JUN©2023InternationalMonetaryFundWP/23/132IMFWorkingPaperEuropeanDepartmentForeignCurrencyBalanceSheetsin

TürkiyeExposureandInterconnectednessPreparedbyAlexPienkowskiAuthorizedfordistributionby

DonalMcGettiganMonth2023IMFWorkingPapersdescriberesearchinprogressbytheauthor(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:Keywords:E44,E58,F30Currencyrisk;balancesheets;Türkiyeapienkowski@Author’sE-MailAddress:WORKINGPAPERSForeignCurrencyBalanceSheetsinTürkiyeExposureandInterconnectednessPreparedby

AlexPienkowskiIMFWORKINGPAPERSTitleofWPContentsGlossary...............................................................................................................................................................3ExecutiveSummary............................................................................................................................................4A.B.C.D.E.Introduction............................................................................................................................................5FXbalancesheetsbysector

................................................................................................................5Combiningbalancesheets...................................................................................................................8Interlinkages

..........................................................................................................................................9Conclusion...........................................................................................................................................10References.........................................................................................................................................................12INTERNATIONALMONETARYFUND2IMFWORKINGPAPERSTitleofWPGlossaryFX-foreignexchangeNFC-non-financialcorporationNIR-netinternationalreservesNIIP-netinternationalinvestmentpositionINTERNATIONALMONETARYFUND3IMFWORKINGPAPERSTitleofWPExecutiveSummaryBalancesheetmismatcheshavehistoricallybeenasourceofvulnerabilityin

Türkiye,andemergingmarketsmoregenerally.Financialdeepening,combinedwithgreaterintegrationintoglobalcapitalmarkets,havemeantthatTürkiye’sbalancesheet

hasbecomemuchmorecomplexinrecentdecades.Whilethiscanbringbenefits—accesstoglobalsaving,informationsharing,diversificationofrisk—italsobringshazards,especiallyifnotwellmanaged.Thispapercombinesseveraldatabasestobuilda

pictureoftheaggregateFXexposureofTürkiye’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.Supported

byregulationtoreduceunhedgedFXborrowing,the

corporatenetFXpositionhasdeclinedsignificantlysinceitspeakin2018.Nevertheless,

theyremainacentralpartoftheFXnetwork.Theyposeliquidityrisksforbanks—andhencethecentralbank—iftheychoosetowithdrawalFXdeposits.AndtheyposeassetqualityriskstobanksiftheyhaveproblemsservicingtheirFXdebt.Thisshowstheircontinuedsystemicimportance,andtheneedforongoingcarefulmonitoring.INTERNATIONALMONETARYFUND4IMFWORKINGPAPERSTitleofWPA.IntroductionBalancesheetmismatcheshavehistoricallybeenasourceofvulnerabilityinemergingmarkets.

Financialdeepening,combinedwithgreaterintegrationintoglobalcapitalmarkets,havemeantthatemergingmarketbalancesheetshavebecomemuchmorecomplex

inrecentdecades.Whilethiscanbringbenefits—accesstoglobalsaving,informationsharing,diversificationofrisk—italsobringshazards,especiallyifnotwellmanaged(Sahayandothers,2015).Inparticular,balancesheetmismatches,inmaturity,currency,andcapitalstructure,canquicklyspill-overintoothersectors,potentiallytriggeringanexternalbalanceofpaymentscrisis

(Allenandothers,2002).Thefocusofthispaperisforeignexchange(FX)mismatchesinTürkiye.

ItcombinesseveraldatasourcesfromtheCBRT,TurkstatandtheBRSAtobuildapictureofFXSource

Databaseassetsandliabilitiesbyinstitutionalsector.EquityholdingsareCBRTCentral

bank

balance

sheetSecurities

statisticsNFC

FX

balance

sheetNet

International

InvestmentPositionBank

balance

sheetsexcludedastheseinstrumentsdonotrepresentafixedforeigncurrencyclaim,suchastheprincipalpaymentona

bondorloan.1

Wherepossible,thedatabasealsolinksclaimsbetweeninstitutionalsectors—socalled,“whom-to-whom”relationships—forexample,fromhouseholdstobanks.BRSAMOTF

External

debt

statisticsThedatahassomelimitations–i)itexcludesnon-bankfinancialinstitutions,suchaspension,insuranceandmoneymarketfunds;andii)somelinksbetweensectorsareinconsistent,forexample,non-financialcorporation(NFC)liabilitiestobanksdonotexactlymatchbanks’assetsfromNFCs.Butoverall,theseomissionsarerelativelyminor.Theremainderofthispaperisstructuredasfollows:i)SectionBexplorestheindividualFXbalancesheetsofeachinstitutionalsectorinturn;ii)SectionCcombinesthesebalancesheetstogiveaneconomy-wideperspective,lookingathowthishasshiftedin

recentyears;iii)SectionDlooksindetailattheinterlinkagesbetweensectorsusingnetworkanalysis,and;iv)SectionEconcludeswithadiscussiononrisk.B.FXbalancesheetsbysectorHouseholds.Thehouseholdsectorhasbyfarthelargestpositive

FXposition,mainlyintheformofFXdepositsinbanks,butalsoFXloanstoNFCs,oftenfromowners/familymemberstofirms.In2009,theTürkiyeauthoritiesprohibitedlendingtohouseholdsinforeigncurrency,whichmeansthatthissectorhasvirtually

noFXliabilities.Whilenotcapturedinthisdatabase,householdsalsoholddepositsinthepublic-guaranteedFX-protectedliradepositscheme,introducedattheendof2021.Overall,this‘long’FXpositionmeansthathouseholdsarewellhedgedagainstthedirectimpactofaliradepreciation,providinganimportantsourceofstabilityforthissector.1

Equityclaimsreflecttheunderlyingvalueofacompany,whichwillbeinfluencedbyexchangeratedevelopments,forexamplethroughvaluationeffectsonthefirm’sbalancesheetorexportcompetitiveness.However,theseclaimsarenotfixedandcanprovideanimportantshock-absorbertofirmsandthewidereconomy.INTERNATIONALMONETARYFUND5IMFWORKINGPAPERSTitleofWPSources:CBRT;BRSA;HaverAnalytics;andIMFstaffcalculations.Note:Thebalancesheety-axisisscaledtoprovideeasycomparisonwithothersectors.Latestdata:March,2023.Non-financialcorporations.WithsignificantFXloansfromdomesticandforeignbanks,NFCshavealargenegativenetFXposition.SupportedbyregulationstoreduceunhedgedFXborrowing,NFCnominalFXindebtednesshasfallensignificantlytoaroundhalfofitspeakin2018,althoughitremainshigh

comparedtootheremergingmarketeconomies.Furthermore,thesustainedrealdepreciationofthelirainrecentyearshasincreasedthe

realburdenofthisdebtonNFCs.However,FXliquidityriskissubstantiallymitigatedbythehighshareofFXdepositsontheassetsideofthebalancesheet,relativetoshort-termdebt.Thisnetpositiveshort-termpositionprovidessomestabilityagainsttemporaryexchangerateandexternalliquidityshocks,atleastforthesectorinaggregate.Inaddition,manylargeNFCsarealsoexporters,sohaveFXincomethatprovidesanaturalhedge.Indeed,despitetherecentweakeningoftherealexchangerate,corporateprofitmarginshaveremainedrobustandinsolvenciesrates

haveremainedlow.Sources:CBRT;BRSA;HaverAnalytics;andIMFstaffcalculations.Note:Thebalancesheety-axisisscaledtoprovideeasycomparisonwithothersectors.Latestdata:March,2023.Banks.Intheaftermathoftheearly-2000sfinancialcrisis,bankswereprohibitedfromholdinglargenetFXpositions,whichmeansthattheyarewellhedgedagainstthe

directeffectsofexchangerateshocks.ButbankshavethelargestgrossFXbalancesheet,intermediatingdepositsfromhouseholdsandNFCstotherestoftheeconomy.Banksalsoholdsignificantassetsatthecentralbankintheformofdepositsandoff-balancesheetFX-TLswaps.SimilarswapswerepreviouslyheldwithoffshorecounterpartsbutweregraduallyprohibitedandINTERNATIONALMONETARYFUND6IMFWORKINGPAPERSTitleofWPeventuallyentirelyreplacedbyCBRTswaps.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.Government

Government

GrossDebt(Percent

ofGDP)160FX

debtLCdebt140120100806040200Source:WorldEconomic

Outlook.Sources:CBRT;BRSA;HaverAnalytics;andIMFstaffcalculations.Note:Thebalancesheety-axisisscaledtoprovideeasycomparisonwithothersectors.Centralbank.SinceMarch2020,thecentralbankhashadanegativenetFXposition.MostliabilitiesareintheformofFXdepositsfromthebankingsystem,buttherealsotheTL-FXbankswapsdiscussedabove.Whilegrossinternationalreserveshavenotfallensignificantlyinrecentyears,therehasbeenasteadydeteriorationinnetinternationalreserves(NIR),whichhaveturnedslightlynegative

inMay2023.Furthermore,onceotherdomesticclaimsonthecentralbankareremoved,“core”NIRisdeeplynegative.INTERNATIONALMONETARYFUND7IMFWORKINGPAPERSTitleofWPSources:CBRT;BRSA;HaverAnalytics;andIMFstaffcalculations.Note:Thebalancesheety-axisisscaledtoprovideeasycomparisonwithothersectors.C.

CombiningbalancesheetsTürkiyehasalargenegativenetforeigncurrencypositionrelativetotherest-of-the-world.Eachofthesesectoralbalancesheetscanbecombinedto

constructan

economy-widenetFXposition.Asofend-2022,thisstoodatminusUS$150billion(14percentofGDP).Thisisequivalentto

the

non-equity

andFX-only

netinternationalinvestmentposition(NIIP).2

Asdiscussed,thehouseholdsectorprovidesvirtuallyall

domesticnetFXtothesystem.ButthisisnotenoughtomatchthesizableFXdebtorpositionofNFCs,thegeneralgovernmentandthecentralbank,withtheremaindercomingfromexternalcreditors.Inthisregard,itisalsopossibletoconsolidatethesectoralFX

positionsandfocusonobligationsrelativetotherest-of-the-world.Heretheoveralleconomy-widenetpositionisunchangedcomparedtothediscussionabove.Onlythecentralbankhasmoreforeignassetsthanliabilities,withallothersectorsacting

asnetFXdebtorstotherestoftheworld.Howeverthisisviewed,thislargenegativeFXpositionleavesTürkiye

vulnerabletoadversebalancesheeteffectsfromexchangerateshocks.Sources:CBRT;BRSAHaverAnalytics;andIMFstaffcalculations.Note:Thebalancesheety-axisisscaledtoprovideeasycomparisonwithothersectors.

Latestdata:March,2023.2

Theofficialnon-equity,but

all

currency,NIIPisminusUS$165billion,withthedifferenceattributedtolira-denominatedassetsandliabilities,plusanydiscrepanciesbetweenthedatasets.INTERNATIONALMONETARYFUND8IMFWORKINGPAPERSTitleofWPSincethestartofthepandemic,therehasbeenasignificantshiftinFXriskfromtheprivatetothepublicsector.Thecentralbank’snetFXpositionweakenedconsiderablybyaroundUS$70billion,asFXassetsweresoldinlargeamountsinthemiddleof2020withtheaimofsupportingthelira.However,thisdrainonforeignexchangewaspartlyoffsetbytwosectorselsewhereintheeconomy.First,NFCsusedrelativelyinexpensivelirafinancingto

reduceFXdebtandbuildFXdeposits,improvingtheoverallFXposition.Second,“dollarization”byhouseholdsincreasedasinflationerodedthevalueofliradeposits–thispeakedinlate2020buthasnowlargelyreversed,inpartdrivenbythepublic-guaranteedFX-protectedliradepositscheme,amongothermeasures.Thechangeintheoveralltotaleconomypositionoverthisperiod—aroundminusUS$35billion—canbethoughtofasresidualfinancingforthecurrentaccountdeficitafterFDI,neterrorsandomissionsandnetlira-denominatedassetflowsarenettedout.D.

InterlinkagesNetworkanalysiscanshedlightonthesystemicimportanceofsectors.

Households(HH)andthegeneralgovernment(GG)arerelativelydetachedfromtheFXnetwork,despitehavinglargenetpositions.HouseholdsalmostentirelycredittheirFXtobanks(BS),intheformofdeposits;whilethegeneralgovernmentmainlyborrowsfromabroad(RW).ThebankingsectorhasatinyFXposition(hencethe‘node’inthe

chartbelowisnotvisible),butplayanimportantroleinintermediatingFXflows.Thecentralbank(CB),NFCs(NC)andtherest-of-the-worldareallhighlyinterlinkedwitheachotherandthebankingsystem.SectoralNetwork,August2022Note:SizeofnodeisproportionaltothenetFXposition;bluerepresentsapositivepositionandredrepresentsanegativeposition.Thewidthofthe‘edges’betweenthenodes(whicharebi-directional)representtheownershipofassetsandliabilities(fromdebtortocreditor).INTERNATIONALMONETARYFUND9IMFWORKINGPAPERSTitleofWPNetworkinterlinkagesbetweensectorshavealsoshiftedinimportantways.To

considerhowthisnetworkhaschangedovertime,itispossibletobuilda‘networkcentralitymetric’,designedtocapturethe

influenceofanodeinthenetwork.3

ThemetricconsiderstheimportanceofbothFXcreditorsanddebtors.Thefollowingobservationscanbemade:•

Householdshaveplayedanincreasinglyimportantcreditorrole,

peakinginearly2021as‘dollarization’increased.ThisisbecausehouseholdFXdepositshavebecomeamuchmoreimportantsourceoffundingforbanks,whichhaveinturnreducedtheirexposuretoexternalfinancing.•

TheNFCnetpositionhasimprovedinrecentyears.Nevertheless,thenetworkcentrality

metricsshowsthissector’scontinuingimportanceasaFXborrower,notonlyasalargedebtor,butalsobecauseitborrowsfrommultiplesectors.•

Banksobviouslyplayanimportantintermediaryrole:theyhaveequalimportanceasacreditoranddebtor.Incontrast,thegovernmentdoesnotplayanimportantroleeitherasanFXdebtororcreditor.•

Thecentralbankhasswitchedfromhavinga‘long’toa‘short’netFXposition.Asthecentralbankrebuiltreservesfollowingthesell-offin2020,newliabilitiesweregeneratedwiththerestoftheworldandwithdomesticbanks,boththroughswaparrangementsandFXdeposits.ThishasincreasedtheimportanceofthissectorasanetFXdebtor.Sources:CBRT;BRSA;HaverAnalytics;andIMFstaff

calculations.E.ConclusionThelargesell-offofreservesbythecentralbankin2020likelybuiltsomeresilienceinothersectors.In2020,thecentralbanknetFXpositiondeterioratedbyaroundUS$70billionasitundertookforeignexchangeinterventiontosupporttheliraattheheightofpandemic.Asignificantshareofthiswasusedtofinancethecurrentaccountdeficit.However,partofthisalsoallowedNFCsandhouseholdsto,directlyorindirectly,3

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