Showing 1 - 10 of 41
In this paper, we propose a new noncausal vector autoregressive (VAR) model for non-Gaussian time series. The assumption of non-Gaussianity is needed for reasons of identifiability. Assuming that the error distribution belongs to a fairly general class of elliptical distributions, we develop an...
Persistent link: https://www.econbiz.de/10004976734
This work develops likelihood-based unit root tests in the noncausal autoregressive (NCAR) model formulated by Lanne and Saikkonen (2011, Journal of Time Series Econometrics 3, Iss. 3, Article 2). The possible unit root is assumed to appear in the causal autoregressive polynomial and for reasons...
Persistent link: https://www.econbiz.de/10010819004
This paper presents a model on the demand for money market funds (MMFs). These funds are a very close substitute for M1 deposits, except that MMFs do not satisfy immediate transaction requirements. The demand for MMFs strengthens when the intended volume of transactions is low. A high interest...
Persistent link: https://www.econbiz.de/10005423687
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...
Persistent link: https://www.econbiz.de/10010818973
We investigate the causes of the Finnish Great Depression, 1990-1993. We find that the collapse of the overheated financial and banking sectors starting in 1989 was the trigger of the economic crisis. Foreign shocks, which include the collapse of trade with USSR in 1991, can account for at most...
Persistent link: https://www.econbiz.de/10010945114
This report is the basic documentation of the present (fifth) version of the Bank of Finland macroeconomic model, BOF5 …
Persistent link: https://www.econbiz.de/10005648844
In this paper we analyse the empirical relevance of the mechanisms through which the Bank of Finland's actions are … is the impact of a change in the Bank of Finland's one month tender rate on interest rates of longer maturities and on …? To what extent can recent developments in Finnish interest rates be attributed to the Bank of Finland's policies? We find …
Persistent link: https://www.econbiz.de/10005648891
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. The contagion analysis of the early 1990s is able to predict the most troublesome and defaulting...
Persistent link: https://www.econbiz.de/10005648959
This paper is an overview of domestic payment and settlement systems in Finland. It contains an up-to-date description …
Persistent link: https://www.econbiz.de/10005649002
The possible participation of Finland in the Stage III of the European Monetary Union would constitute a major change … cycles in Finland? This is the question the present paper seeks to analyze. <p> In the first part of this paper, we review …-correction system to quantify the extent to which monetary autonomy has served to stabilize the real economy in Finland. This model is …
Persistent link: https://www.econbiz.de/10005190737