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Pricing risky bank loans in the new Basel II environment

Hasan, Iftekhar; Zazzara, Cristiano - Suomen Pankki - 2006

Recently, banking literature has had a quest for appropriate pricing of bank loans under the new Basel II rules and has …

Persistent link: https://www.econbiz.de/10005419677

Bank runs, liquidity and credit risk

Topi, Jukka - Suomen Pankki - 2008

In this paper, I develop a model that addresses the links between banks’ liquidity outlook and their incentives to take … credit risk. Assuming that both bank-specific liquidity shocks and credit losses are necessary to provoke bank runs, the …-specific liquidity shock declines. This suggests that the benign liquidity outlook prevailing prior to the subprime crisis may have …

Persistent link: https://www.econbiz.de/10005648970

Forecasting market crashes: further international evidence

Jokipii, Terhi - Suomen Pankki - 2006

This paper studies the extent to which market crashes are predictable for a set of six countries, focusing in particular on possible differences between transition economies (The Czech Republic, Hungary and Poland) and mature markets (UK, US and EU). We estimate a set of individual country and...

Persistent link: https://www.econbiz.de/10005423692

Return-volatility linkages in the international equity and currency markets

Francis, Bill B; Hasan, Iftekhar; Hunter, Delroy M. - Suomen Pankki - 2002

This paper, which is motivated by the literature on international asset pricing and recent work on exchange rate …

Persistent link: https://www.econbiz.de/10005423700

A descriptive analysis of the Finnish treasury bond market 1991–1999

Keloharju, Matti; Malkamäki, Markku; Nyborg, Kjell G.; … - Suomen Pankki - 2002

This paper presents a descriptive analysis of the primary and secondary market for Finnish treasury bonds. The paper … development of the price of the auctioned bonds, relative to other benchmark bonds, around the time of the auction. We find … bonds was modest. …

Persistent link: https://www.econbiz.de/10005423722

Noncausal vector autoregression

Lanne, Markku; Saikkonen, Pentti - Suomen Pankki - 2009

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

Relevance of uncertainty on the volatility and trading volume in the US Treasury bond futures market

Laakkonen, Helinä - Suomen Pankki - 2015

political uncertainties. Our results might partly explain the sudden freeze and low liquidity in some financial markets during …

Persistent link: https://www.econbiz.de/10011207864

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

Welfare and bond pricing implications of fiscal stabilization policies

Christoffel, Kai; Jaccard, Ivan; Kilponen, Juha - Suomen Pankki - 2013

How do cyclical fiscal stabilisation policies affect welfare and government bond risk premia? Using a new Keynesian model we find that the effects of fiscal policy rules on the bond premium and welfare crucially depend on the source of business cycle fluctuations. The overall effect is estimated...

Persistent link: https://www.econbiz.de/10010818989

Why is price discovery in credit default swap markets news-specific?

Marsh, Ian W.; Wagner, Wolf - Suomen Pankki - 2012

We analyse daily lead-lag patterns in US equity and credit default swap (CDS) returns. We first document that equity returns robustly lead CDS returns. However, we find that the CDS-lag is due to common (and not firm-specific) news and arises predominantly in response to positive (instead of...

Persistent link: https://www.econbiz.de/10010818994