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Forecasting with a forward-looking DGE model: combining long-run views of financial markets with macro forecasting

Männistö, Hanna-Leena - Suomen Pankki - 2005

To develop forecasting procedures with a forward-looking dynamic general equilibrium model, we built a small New … that information into the macro economic forecast. We propose a method of transforming the model in forecasting use in such … called for in the proposed forecasting procedures, which clearly is an advantage from point of view of transparency in …

Persistent link: https://www.econbiz.de/10005423701

Signaling asset price bubbles with time-series methods

Taipalus, Katja - Suomen Pankki - 2012

This paper provides an early warning indicator for bubbles in financial markets. The indicator is based on traditional unit root tests, more precisely on the augmented Dickey-Fuller test and may be used in a repeated manner with rolling samples. The performance of the indicator is tested...

Persistent link: https://www.econbiz.de/10010611666

Financial crises and bank failures: a review of prediction methods

Demyanyk, Yuliya; Hasan, Iftekhar - Suomen Pankki - 2009

In this article we provide a summary of empirical results obtained in several economics and operations research papers that attempt to explain, predict, or suggest remedies for financial crises or banking defaults, as well as outlines of the methodologies used. We analyze financial and economic...

Persistent link: https://www.econbiz.de/10008509430

Detecting asset price bubbles with time-series methods

Taipalus, Katja - Suomen Pankki - 2012

To promote the financial stability, there is a need for an early warning system to signal the formation of asset price misalignments. This research provides two novel methods to accomplish this task. Results in this research shows that the conventional unit root tests in modified forms can be...

Persistent link: https://www.econbiz.de/10010818810

Extracting growth and inflation expectations from financial market data

Kajanoja, Lauri - Suomen Pankki - 2004

This study presents a framework for extracting long-run GDP growth and inflation expectations from financial market data on a real-time basis. The framework uses information from both stock and bond markets. It builds on a dividend discount model of stock valuation and on a linearized...

Persistent link: https://www.econbiz.de/10005207154

Shadow banking : financial intermediation beyond banks

Adrian, Tobias; Chrétien, Edouard; Chui, Michael; … - Shadow Banking: Financial Intermediation beyond Banks …; … - 2018

Persistent link: https://www.econbiz.de/10011790739

Toward robust early-warning models: A horse race, ensembles and model uncertainty

Holopainen, Markus; Sarlin, Peter - Suomen Pankki - 2015

This paper presents first steps toward robust early-warning models. We conduct a horse race of conventional statistical methods and more recent machine learning methods. As early-warning models based upon one approach are oftentimes built in isolation of other methods, the exercise is of high...

Persistent link: https://www.econbiz.de/10011210508

Measuring financial stress – A country specific stress index for Finland

Huotari, Jarkko - Suomen Pankki - 2015

I propose a financial stress index (FSI) for the Finnish financial system that aims to reflect the functionality of the financial system and provide an aggregate measure of financial stress in the money, bond, equity and foreign exchange markets and the banking sector. The FSI is a composite...

Persistent link: https://www.econbiz.de/10011210509

The 1990’s financial crises in Nordic countries

Honkapohja, Seppo - Suomen Pankki - 2009

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 Norway, Sweden and Finland in late 1980's and early 1990’s among the Big Five crises that have...

Persistent link: https://www.econbiz.de/10005207165

Do corporate boards affect firm performance? New evidence from the financial crisis

Francis, Bill; Hasan, Iftekhar; Wu, Qiang - Suomen Pankki - 2012

This study uses the current financial crisis as a quasi-experiment to examine whether and to what extent corporate boards affect the performance of firms. Using cumulative stock returns over the crisis to measure of firm performance, we find that board independence, as traditionally defined,...

Persistent link: https://www.econbiz.de/10010542073