We develop a dynamic multi-region model, with fluctuating regional house prices, where an owner-occupied household’s location choice depends on its current wealth and its current type and involves both consumption and investment considerations. The relative strength of the consumption motive...

Empirical evidence suggests that local jurisdictions are internally more heterogeneous than standard sorting models predict. We develop a dynamic multi-region model, with fluctuating regional house prices, where an owner-occupying household’s location choice depends on its current wealth and...

We study how a household borrowing constraint the the form of a down payment requirement affects house price dynamics in an OLG model with standard preferences. We find that in certain situations the borrowing constraint shapes house price dynamics substantially. The importance of the constraint...

This paper continues the data collection procedure and analysis set forth in Nyberg and Vaihekoski (2009). A number of new time series that are commonly used in finance literature are collected, created, and analyzed for the first time. These series include, among others, monthly dividend yields...

Using data from the Panel Study of Income Dynamics (PSID), I document that childhood experience of father's job loss decreases the propensity to own stocks as an adult. If this experience takes place at the age of 5–10 years, the probability of owning stocks decreases by 2.9 percentage points...

This paper gathers the longest available historical monthly return series for the Finnish equity, bond and money markets as well as inflation. The series are analysed to calculate the statistical characteristics of the returns investors would have received in these markets. We also survey...

We study the basic economic problem of choice between long-term and short-term commitments under a general characterization of uncertainty (aggregate uncertainty). When contingencies are contractible, a perfect market of Arrow-Debreau contingent claims implements the social optimum. When...

There is substantial evidence that new banks and rapidly growing banks are risk prone. We study this problem by designing a relationship-lending model in which a bank operates as a financial intermediary and centralised monitor. In the absence of deposit insurance, the bank’s limited liability...

It is well known that under certain assumptions the strategy of an investor maximizing his expected utility coincides with the mean-variance optimal strategy. In this paper we show that the two strategies are not equal in general and find the connection between a utility maximizing and a...

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 can be utilized in what we call (l, s2)-analysis, which is a method to monitor the aforementioned...