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Limited asset market participation: does it really matter for monetary policy?

Ascari, Guido; Colciago, Andrea; Rossi, Lorenza - Suomen Pankki - 2011

We study the design of monetary policy in an economy characterized by staggered wage and price contracts together with limited asset market participation (LAMP). Contrary to previous results, we find that once nominal wage stickiness, an incontrovertible empirical fact, is considered: i) the...

Persistent link: https://www.econbiz.de/10009643486

Financial shocks and optimal monetary policy rules

Verona, Fabio; Martins, Manuel M. F.; Drumond, Inês - Suomen Pankki - 2014

We assess the performance of optimal Taylor-type interest rate rules, with and without reaction to financial variables, in stabilizing the macroeconomy following financial shocks. We use a DSGE model that comprises both a loan and a bond market, which best suits the contemporary structure of the...

Persistent link: https://www.econbiz.de/10010945110

Quantity rationing of credit

Waters, George A. - Suomen Pankki - 2012

Quantity rationing of credit, when firms are denied loans, has greater potential to explain macroeconomic fluctuations than borrowing costs. This paper develops a DSGE model with both types of financial frictions. A deterioration in credit market confidence leads to a temporary change in the...

Persistent link: https://www.econbiz.de/10009416201

Monetary policy, expected inflation and inflation risk premia

Ravenna, Federico; Seppälä, Juha - Suomen Pankki - 2007

Within a New Keynesian business cycle model, we study variables that are normally unobservable but are very important for the conduct of monetary policy, namely expected inflation and inflation risk premia. We solve the model using a third-order approximation that allows us to study time-varying...

Persistent link: https://www.econbiz.de/10005648925

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

Contagion in the interbank network: An epidemiological approach

Toivanen, Mervi - Suomen Pankki - 2013

on European banks is exploited with simulated scale-free networks. The average contagion affected 70% and 40% of European … banks’ total assets in 2007 and in 2010, respectively. Country-level results suggest that French, British, German and … Spanish banks are the most contagious ones, whereas banks from Ireland, Greece and Portugal induce only limited negative …

Persistent link: https://www.econbiz.de/10010818996

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

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