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Bank of Finland
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A Framework for Evaluating Mobile Payments
March 2, 2009, 12:00am PST
A great number of mobile payment schemes exist in the market. This paper suggests a framework, based on payment type and technology, to classify mobile payment schemes. The framework supports a...
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Erkki Liikanen: Electronic and Mobile Payments-Moving Towards a Cashless Society?
April 1, 2008, 12:00am PDT
The move to a cashless society has been a topic of discussion for a long time. First, in the 1960s and 1970s plastic debit and credit cards were expected to take the place of cash. And then in the...
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What Explains Risk Premia In Crude Oil Futures?
February 15, 2011, 12:00am PST
This paper studies the existence of risk premia in crude oil futures prices with simple regression and Bayesian VAR models. It also studies the importance of three main risk premia models in...
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Financial Factors In The Boom-Bust Episode In Finland In The Late 1980s And Early 1990s
February 4, 2011, 12:00am PST
This paper proposes a framework for studying the boom and bust in Finland in the late 1980s and early 1990s. The authors develop a small open economy DSGE model with balance sheet-constrained...
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White Papers
Simultaneous Monetary Policy Announcements And International Stock Markets Response: An Intraday Analysis
March 10, 2010, 12:00am PST
This paper investigates the return and volatility responses of major European and the US equity indices to monetary policy surprises using extensive intraday data on 5-minute price quotes along...
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Long Cycles In Growth: Explorations Using New Frequency Domain Techniques With US Data
February 24, 2010, 12:00am PST
In his celebrated 1966 Econometrica article, Granger first hypothesized that there is a 'Typical' spectral shape for an economic variable. This 'Typical' shape implies decreasing levels of energy...
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Financial Market Disturbances As Sources Of Business Cycle Fluctuations In Finland
January 26, 2010, 12:00am PST
This paper studies financial market disturbances as sources of investment fluctuations in Finland during 1995 - 2008. The authors construct a DSGE model of the Finnish economy that incorporates...
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White Papers
Effect Of Finance On Growth Through More Efficient Utilization Of Technological Innovations
December 27, 2010, 12:00am PST
This paper models the effects of financial development on economic growth through better or more efficient utilization of technological innovations. The model is based on the endogenous growth...
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White Papers
Central Bank Liquidity Operations During The Financial Market And Economic Crisis: Observations, Thoughts And Questions
December 28, 2010, 12:00am PST
The paper concentrates on illustrating and assessing central banks' liquidity operations during the crisis that started in August 2007. In addition to the ECB, the central banks of Sweden,...
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White Papers
Growth Strategies And Value Creation: What Works Best For Stock Exchanges?
January 11, 2010, 12:00am PST
In recent years, demutualized stock exchanges have increasingly engaged in M&A and alliance activities. To shed light on this topic, the authors investigate short-run share price responses to the...
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White Papers
Realized Volatility And Overnight Returns
December 8, 2010, 12:00am PST
No consensus has emerged on how to deal with overnight returns when calculating realized volatility in markets where trading does not take place 24 hours a day. This paper explores several common...
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White Papers
The Effect Of Openness In A Small Open Monetary Union
December 1, 2010, 12:00am PST
In this paper the authors build a dynamic stochastic general equilibrium model of a small open monetary union with optimal monetary and fiscal policy, to study the transmission of country specific...
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White Papers
A New Approach To Analyzing Convergence And Synchronicity In Growth And Business Cycles: Cross Recurrence Plots And Quantification Analysis
September 28, 2010, 12:00am PDT
Convergence and synchronization of business and growth cycles are important issues in the efficient formulation of euro area economic policies, and in particular European Central Bank (ECB)...
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White Papers
Does Ricardian Equivalence Hold When Expectations Are Not Rational?
May 5, 2010, 12:00am PDT
This paper shows that the Ricardian Equivalence proposition can continue to hold when expectations are not rational and are instead formed using adaptive learning rules. In temporary equilibrium,...
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Stock Market Conditions And Monetary Policy In A DSGE Model For The US
April 1, 2010, 12:00am PDT
This paper investigates the relationship between stock market fluctuations and monetary policy in a DSGE model for the US economy. The authors initially adopt a framework in which fluctuations in...
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White Papers
Law And Stock Markets: Evidence From An Emerging Market
January 11, 2010, 12:00am PST
A sweeping and protracted reform of corporate law took place in Finland in the 1970s. The reform brought significant improvements to investor protection and, similar to the US Sarbanes-Oxley Act,...
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White Papers
Euler Consumption Equation With Non-Separable Preferences Over Consumption And Leisure And Collateral Constraints
March 23, 2009, 12:00am PDT
This paper derives and estimates an aggregate Euler consumption equation which allows one to compare the importance of collateral constraints and non-separability of consumption and leisure as...
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White Papers
Public Infrastructures, Public Consumption And Welfare In A New Open Economy Macro Model
March 3, 2009, 12:00am PST
This paper focuses on the trade-off faced by governments in deciding the allocation of public expenditures between productivity-enhancing public infrastructures and utility-enhancing public...
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White Papers
Financial Interlinkages And Risk Of Contagion In The Finnish Interbank Market
January 28, 2009, 12:00am PST
Using the maximum entropy method, this paper estimates the danger of contagion in the Finnish interbank market in 2005 - 2007 as well as the existence of contagion during a Finnish banking crisis....
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White Papers
The 1990's Financial Crises In Nordic Countries
January 21, 2009, 12:00am PST
The current financial crisis, which has lasted almost one and a half years, is the 19th such crisis in the post-war period in advanced economies. Recent literature classifies the Nordic crises in...
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White Papers
New Small Firms And Dimensions Of Economic Performance
January 21, 2009, 12:00am PST
Using data from US labor market areas, the authors quantify empirical associations between entry by small firms and a vector of economic performance measures encompassing levels, volatilities and...
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White Papers
Bank Relationships And Firms' Financial Performance: The Italian Experience
December 15, 2009, 12:00am PST
The authors examine the connection between the number of bank relationships and firms' performance using a unique data set on Italian small firms for which banks are a major source of financing....
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White Papers
An Analysis Of The Embedded Frequency Content Of Macroeconomic Indicators And Their Counterparts Using The Hilbert-Huang Transform
November 19, 2009, 12:00am PST
Many indicators of business and growth cycles have been constructed by both private and public agencies and are now in use as monitoring devices of economic conditions and for forecasting...
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White Papers
The Quality Of Monetary Policy And Inflation Performance: Globalization And Its Aftermath
November 9, 2009, 12:00am PST
With a few unfortunate exceptions the last three decades have seen reductions in inflation around the world to the point that many would argue that further improvements in price stability would...
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White Papers
Inferring Market Power From Retail Deposit Interest Rates In The Euro Area
October 27, 2009, 12:00am PDT
This paper tests for the existence of market power in banking, using data on demand deposit rates of households and corresponding market rates in five euro area countries. An implicit measure for...
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White Papers
Transmission Of Macro Shocks To Loan Losses In A Deep Crisis: The Case Of Finland
November 17, 2009, 12:00am PST
Building on the work of Sorge and Virolainen (2006), the authors revisit the data on aggregate Finnish bank loan losses from the corporate sector, which covers the 'Big Five' crisis in Finland in...
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White Papers
Risk-Adjusted Measures Of Value Creation In Financial Institutions
October 21, 2009, 12:00am PDT
Measuring value creation by comparing the RAROC of an exposure (the return on risk capital) with a single institution-wide hurdle rate is inconsistent with the standard theory of financial...
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White Papers
Expectations, Deflation Traps And Macroeconomic Policy
September 16, 2009, 12:00am PDT
The authors examine global economic dynamics under infinite-horizon learning in a New Keynesian model in which the interest-rate rule is subject to the zero lower bound. As in Evans, Guse and...
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White Papers
Does State Street Lead To Europe? The Case Of Financial Exchange Innovations
September 14, 2009, 12:00am PDT
The authors study whether and to what extent financial exchange innovations are in practice patentable in Europe. They find that exchange-related applications initially increased significantly...
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White Papers
A New Value-Weighted Total Return Index For The Finnish Stock Market
September 8, 2009, 12:00am PDT
This paper presents a new monthly value-weighted, all-share total return index for the Finnish stock market. The index covers the period from the establishment of the Helsinki Stock Exchange in...
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White Papers
Noncausal Vector Autoregression
August 12, 2009, 12:00am PDT
In this paper, the authors propose a new non-causal Vector Auto Regressive (VAR) model for non-Gaussian time series. The assumption of non-Gaussianity is needed for reasons of identifiability....
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White Papers
Regional Growth And Finance In Europe: Is There A Quality Effect Of Bank Efficiency?
April 28, 2009, 12:00am PDT
In this paper, the authors test whether regional growth in 11 European countries depends on financial development and suggest the use of cost- and profit-efficiency estimates as quality measures...
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White Papers
Evaluating The Stresses From ECB Monetary Policy In The Euro Area
April 7, 2009, 12:00am PDT
This paper investigates the extent to which euro area monetary policy has responded to evolving economic conditions in individual member states as opposed to the euro area as a whole. Based on a...
Provided by Bank of Finland
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White Papers
Corporate Social Responsibility And Shareholder's Value: An Empirical Analysis
January 19, 2009, 12:00am PST
In today's global economy, Corporate Social Responsibility (CSR) is a core component of corporate strategy. Due in part to financial scandals, losses, and the diminished reputation of the affected...
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White Papers
Population Ageing And Fiscal Sustainability Of Finland: A Stochastic Analysis
December 10, 2008, 12:00am PST
This paper analyses the fiscal sustainability of the Finnish public sector using stochastic projections to describe uncertain future demographic trends and asset yields. While current tax rates...
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White Papers
The Co-Movements Along The Forward Curve Of Natural Gas Futures: A Structural View
October 15, 2008, 12:00am PDT
This paper studies the co-movements between the daily returns of forwards on natural gas traded in the NYMEX with maturity of 1, 2 and 3 months. The authors identify a structural multivariate BEKK...
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White Papers
A Continuous-Time Model Of The Term Structure Of Interest Rates With Fiscal-Monetary Policy Interactions
October 15, 2008, 12:00am PDT
The authors study the term structure implications of the fiscal theory of price level determination. They introduce the intertemporal budget constraint of the government in a general equilibrium...
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White Papers
Discretion And The Transmission Lags Of Monetary Policy
August 22, 2007, 12:00am PDT
Monetary policy transmission lags create credibility problems for the inflation targeting policy maker who acts under discretion. The authors show that if prices react to monetary policy with a...
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White Papers
Multiple Safety Net Regulators And Agency Problems In The EU: Is Prompt Corrective Action A Partial Solution?
June 15, 2007, 12:00am PDT
Prompt Corrective Action (PCA) provides a more efficient mechanism for dealing with problem banks operating in more than one European country. In a PCA framework, a bank's losses are likely to be...
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White Papers
Expectations, Learning And Monetary Policy: An Overview Of Recent Research
January 24, 2008, 12:00am PST
Expectations about the future are central for determination of current macroeconomic outcomes and the formulation of monetary policy. Recent literature has explored ways for supplementing the...
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White Papers
Pricing Of The Currency Risk In Stock Markets: Evidence From Finland And Sweden 1970-2005
April 30, 2008, 12:00am PDT
In this paper, the authors investigate whether global, local and currency risks are priced in two Nordic stock markets using conditional international asset pricing models. They take the view of...
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White Papers
The Economic Transmission Of Fiscal Policy Shocks From Western To Eastern Europe
June 15, 2011, 12:00am PDT
This paper studies the transmission of a foreign fiscal policy shock (assumed to be generated in Germany) to key macroeconomic variables in Five Central and Eastern European economies (CEE-5). The...
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White Papers
The Impact Of Chinese Monetary Policy Shocks On East Asia
April 25, 2008, 12:00am PDT
The authors study the effects of Chinese monetary policy shocks on China's major trading partners in East Asia by estimating Structural Vector AutoRegressive (SVAR) models for six economies in the...
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White Papers
The Role Of Banks In Monetary Policy Transmission: Empirical Evidence From Russia
June 30, 2009, 12:00am PDT
This paper focuses on the role of the banking sector in monetary policy transmission in an emerging economy with a rapidly developing financial system. Specifically, the authors examine whether...
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White Papers
China's Monetary Policy And The Exchange Rate
July 19, 2010, 12:00am PDT
The paper models monetary policy in China using a hybrid McCallum-Taylor empirical reaction function. The feedback rule allows for reactions to inflation and output gaps, and to developments in a...
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Mccallum Rule And Chinese Monetary Policy
June 10, 2008, 12:00am PDT
This paper evaluates the usefulness of a McCallum monetary policy rule based on money supply for maintaining price stability in mainland China. The authors examine whether excess money relative to...
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White Papers
Adverse Selection And Financing Of Innovation: Is There Need For R&D Subsidies
October 26, 2008, 12:00am PDT
The authors study the interaction of private and public funding of innovative projects in the presence of adverse-selection based financing constraints. Government programs allocating direct...
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White Papers
Do Markets Perceive Sukuk And Conventional Bonds As Different Financing Instruments?
April 4, 2011, 12:00am PDT
The last decade witnessed a proliferation in issues of sukuk, Islamic financial instruments structured to replicate the cash flows of conventional bonds. Using a market-based approach on Malaysian...
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White Papers
Adverse Selection And Financing Of Innovation: Is There A Need For R&D Subsidies?
September 10, 2008, 12:00am PDT
The authors study the interaction between private and public funding of innovative projects in the presence of adverse-selection based financing constraints. Government programmes allocating...
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White Papers
The Euro And Corporate Financing
April 12, 2011, 12:00am PDT
In this paper, the authors study how the introduction of the euro has affected corporate financing in Europe. They use firm-level data from eleven euro area countries as well as from a control...
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White Papers
History Of Finance Research And Education In Finland: The First Thirty Years
September 10, 2008, 12:00am PDT
This paper reviews the first thirty years of finance research and education in Finland, starting with publication of the first dissertation in finance in 1977. That was also the year when the...
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White Papers
Economic Growth Across Space And Time: Subprovincial Evidence From Mainland China
December 31, 2007, 12:00am PST
This paper considers the persistent differences in economic performance across Chinese regions. The authors introduce a new county- and city-level dataset that spans all of mainland China and...
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White Papers
Growth, Expectations And Tariffs
April 20, 2011, 12:00am PDT
The authors study a many-country endogenous growth model in which decisions about innovation and new investment are influenced by growth expectations. Adaptive learning dynamics determine the...
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White Papers
Global And Regional Links Between Stock Markets - The Case Of Russia And China
November 4, 2008, 12:00am PST
In a broad sample of developed and emerging economies over the past ten years the authors apply the approximate factor model in a search for common global and regional driving-forces in stock...
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White Papers
The Crisis As A Wake-Up Call: Do Banks Tighten Screening And Monitoring During A Financial Crisis?
August 1, 2010, 12:00am PDT
To what extent was the credit contraction during the global financial crisis due to more intense screening and monitoring by banks? The authors address this question by analyzing changes in the...
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White Papers
When Do R&D Subsidies Boost Innovation? Revisiting The Inverted U-Shape
September 10, 2007, 12:00am PDT
The authors show theoretically that a proportional R&D subsidy accelerates innovation activity at all degrees of competition in the modern Schumpeterian growth model, but less so at high degrees...
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White Papers
Managers And Efficiency In Banking
September 18, 2010, 12:00am PDT
This paper presents evidence on the impact of managers on cost efficiency in banking. Stochastic frontier analysis is applied to a unique Finnish data set. The paper finds that manager age and...
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White Papers
Integration Of Financial Supervision
September 25, 2007, 12:00am PDT
The emergence of financial conglomerates and multinational financial institutions as well as the development of new financial products have raised concerns as to the ability of separate sectoral...
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White Papers
Estimating A Small DSGE Model Under Rational and Measured Expectations: Some Comparisons
October 3, 2007, 12:00am PDT
Although beneficial allocational effects have been a central motivation for the Basel II capital adequacy reform, the interaction of these effects with Basel II's procyclical impact has been less...
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White Papers
Financial Fragility, Macroeconomic Shocks And Banks' Loan Losses: Evidence From Europe
October 8, 2007, 12:00am PDT
This paper tests the hypothesis that the more fragile a banking system is, the more likely it is to experience problems when an unexpected shock hits. The empirical framework where this test is...
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White Papers
Bank Ownership And Efficiency In China: What Lies Ahead In The World's Largest Nation?
October 10, 2007, 12:00am PDT
China is reforming its banking system, partially privatizing and permitting minority foreign ownership of three of the dominant 'Big four' state-owned banks. This paper seeks to help predict the...
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White Papers
Long Swings And Chaos In The Exchange Rate In A DSGE Model With A Taylor Rule
November 19, 2007, 12:00am PST
A DSGE model with a Taylor rule is augmented with an evolutionary switching between technical and fundamental analyses in currency trade, where the fractions of these trading tools are determined...
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White Papers
Measuring Potential Market Risk
November 19, 2007, 12:00am PST
The difference between market risk and potential market risk is emphasized and a measure of the latter risk is proposed. Specifically, it is argued that the spectrum of smooth Lyapunov exponents...
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White Papers
Optimal Monetary Policy Under Heterogeneity In Currency Trade
November 14, 2007, 12:00am PST
The authors embed an expectations-based optimal policy rule into a DSGE model for a small open economy that is augmented with trend extrapolation or chartism, which is a form of technical trading,...
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White Papers
Instrument Rules In Monetary Policy Under Heterogeneity In Currency Trade
November 20, 2007, 12:00am PST
The authors embed different instrument rules into a New Keynesian model for a small open economy that is augmented with technical trading in currency trade to examine the prerequisites for...
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White Papers
Exchange Rate Volatility, Macro Announcements And The Choice Of Intraday Seasonality Filtering Method
November 27, 2007, 12:00am PST
Filtering intraday seasonality in volatility is crucial for using high frequency data in econometric analysis. This paper studies the effects of filtering on statistical inference concerning the...
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White Papers
Optimal Monetary Policy In A Hybrid New Keynesian Model With A Cost Channel
December 5, 2007, 12:00am PST
This paper shows that an expectations-based optimal policy rule has desirable properties in a standard macroeconomic model incorporating a cost channel for monetary disturbances and inflation rate...
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White Papers
A Case For Interest Rate Smoothing
December 19, 2007, 12:00am PST
The aim of this paper is to determine whether it would be desirable from the perspective of macroeconomic balance for central banks to take account of nominal exchange rate movements when framing...
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White Papers
GDP At Risk In A DSGE Model: An Application To Banking Sector Stress Testing
December 19, 2007, 12:00am PST
The aim of this paper is to determine whether it would be desirable from the perspective of macroeconomic balance for central banks to take account of nominal exchange rate movements when framing...
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White Papers
Some Unpleasant Fiscal Arithmetic': The Role Of Monetary And Fiscal Policy In Public Debt Dynamics Since The 1970s
January 8, 2008, 12:00am PST
Shocks to monetary and fiscal policy have played a major role in public debt developments in the OECD countries since the mid-1970s. According to the applied VAR approach, these shocks, taken...
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White Papers
The International Transmission Of Monetary Policy In A Dollar Pricing Model
January 16, 2008, 12:00am PST
This paper analyses the international transmission of monetary policy in a case where all export prices are set in US dollars. 'Dollar pricing' implies that the international effects of US...
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White Papers
Robust Learning Stability With Operational Monetary Policy Rules
January 24, 2008, 12:00am PST
The authors consider the robust stability of a rational expectations equilibrium, which they define as stability under discounted (constant gain) least-squares learning, for a range of gain...
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White Papers
Expectations, Learning And Monetary Policy: An Overview Of Recent Research
January 24, 2008, 12:00am PST
Expectations about the future are central for determination of current macroeconomic outcomes and the formulation of monetary policy. Recent literature has explored ways for supplementing the...
Provided by Bank of Finland
-
White Papers
Multiple Safety Net Regulators And Agency Problems In The EU: Is Prompt Corrective Action A Partial Solution?
June 15, 2007, 12:00am PDT
Prompt Corrective Action (PCA) provides a more efficient mechanism for dealing with problem banks operating in more than one European country. In a PCA framework, a bank's losses are likely to be...
Provided by Bank of Finland
-
White Papers
Discretion And The Transmission Lags Of Monetary Policy
August 22, 2007, 12:00am PDT
Monetary policy transmission lags create credibility problems for the inflation targeting policy maker who acts under discretion. The authors show that if prices react to monetary policy with a...
Provided by Bank of Finland
-
White Papers
A Continuous-Time Model Of The Term Structure Of Interest Rates With Fiscal-Monetary Policy Interactions
October 15, 2008, 12:00am PDT
The authors study the term structure implications of the fiscal theory of price level determination. They introduce the intertemporal budget constraint of the government in a general equilibrium...
Provided by Bank of Finland
-
White Papers
The Co-Movements Along The Forward Curve Of Natural Gas Futures: A Structural View
October 15, 2008, 12:00am PDT
This paper studies the co-movements between the daily returns of forwards on natural gas traded in the NYMEX with maturity of 1, 2 and 3 months. The authors identify a structural multivariate BEKK...
Provided by Bank of Finland
-
White Papers
Population Ageing And Fiscal Sustainability Of Finland: A Stochastic Analysis
December 10, 2008, 12:00am PST
This paper analyses the fiscal sustainability of the Finnish public sector using stochastic projections to describe uncertain future demographic trends and asset yields. While current tax rates...
Provided by Bank of Finland
-
White Papers
Corporate Social Responsibility And Shareholder's Value: An Empirical Analysis
January 19, 2009, 12:00am PST
In today's global economy, Corporate Social Responsibility (CSR) is a core component of corporate strategy. Due in part to financial scandals, losses, and the diminished reputation of the affected...
Provided by Bank of Finland
-
White Papers
Evaluating The Stresses From ECB Monetary Policy In The Euro Area
April 7, 2009, 12:00am PDT
This paper investigates the extent to which euro area monetary policy has responded to evolving economic conditions in individual member states as opposed to the euro area as a whole. Based on a...
Provided by Bank of Finland
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