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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

Why do growth rates differ? Evidence from cross-country data on private sector production

Kilponen, Juha; Viren, Matti - Suomen Pankki - 2008

We estimate a standard production function with a new cross-country data set on business sector production, wages and R&D investment for a selection of 14 OECD countries including the United States. The data sample covers the years 1960–2004. The data suggest that growth differences can...

Persistent link: https://www.econbiz.de/10005648937

Lumpy investment in sticky information general equilibrium

Verona, Fabio - Suomen Pankki - 2013

In this paper, I introduce lumpy micro-level capital adjustment into a sticky information general equilibrium model. Lumpy adjustment arises because of inattentiveness in capital investment decisions instead of the more common assumption of non-convex adjustment costs. The model features...

Persistent link: https://www.econbiz.de/10010698832

Monetary policy, inflation expectations and the price puzzle

Castelnuovo, Efrem; Surico, Paolo - Suomen Pankki - 2009

This paper re-examines the VAR evidence on the price puzzle and proposes a new theoretical interpretation. Using actual data and two identification strategies based on zero restrictions and model-consistent sign restrictions, we find that the positive response of prices to a monetary policy...

Persistent link: https://www.econbiz.de/10008509439

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-Keynesian model and calibrated it to euro area data. It was essential in this context that we allowed for long-run growth in GDP. We brought additional asset price equations based on...

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

Stable price level and changing prices

Suvanto, Antti; Hukkinen, Juhana - Suomen Pankki - 2004

The paper investigates the relationship between relative price movements and changes in the aggregate price level using monthly data on Finland’s Consumer Price Index and its components from the period covering the past eight and a half years. This was a period of very low inflation. The rate...

Persistent link: https://www.econbiz.de/10005648879

Testing the structural interpretation of the price puzzle with a cost channel model

Castelnuovo, Efrem - Suomen Pankki - 2009

We estimate a new-Keynesian DSGE model with the cost channel to assess its ability to replicate the price puzzle ie the inflationary impact of a monetary policy shock typically arising in VAR analysis. In order to correctly identify the monetary policy shock, we distinguish between a standard...

Persistent link: https://www.econbiz.de/10008577786

Legislation, investor protection and financial growth

Rainio, Elina - Suomen Pankki - 2006

measured by different indices. The impact on stock returns was assessed by examining how news reports on the reform affected … returns during the 1970s. Only the most important news had a significant impact on the returns. Otherwise there were no big …

Persistent link: https://www.econbiz.de/10005648829

The impact of macroeconomic news on exchange rate volatility

Laakkonen, Helinä - Suomen Pankki - 2004

and European macroeconomic news on the volatility of USD/EUR 5-minute returns was tested by using the Flexible Fourier … Form method. The results were consistent with earlier studies. Macroeconomic news increased volatility significantly, and … news on the United States was the most important. The much-tested hypothesis of bad news having a greater impact on …

Persistent link: https://www.econbiz.de/10005648850

Volatility transfers between cycles: A theory of why the "great moderation" was more mirage than moderation

Crowley, Patrick; Hughes Hallett, Andrew - Suomen Pankki - 2014

In this paper we use a New Keynesian model to explain why volatility transfer from high frequency to low frequency cycles can and did occur during the period commonly referred to as the "great moderation". The model suggests that an increase in inflation aversion and/or a reduction to a...

Persistent link: https://www.econbiz.de/10010945112