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Central bank liquidity auction mechanism design and the interbank market

Ollikka, Kimmo; Tukiainen, Janne - Suomen Pankki - 2013

We study whether the mechanism design in the central bank liquidity auctions matters for the interbank money market interest rate levels and volatility. Furthermore, we compare different mechanisms to sell liquidity in terms of revenue, efficiency and auction stage interest rate levels and...

Persistent link: https://www.econbiz.de/10010698833

Diagnostics for the financial markets – computational studies of payment system: Simulator Seminar Proceedings 2009–2011

Hellqvist, Matti; Laine, Tatu - Suomen Pankki - 2012

This publication consists of fifteen studies on payment and settlement systems conducted using computational or simulation techniques. The studies have been presented at the simulator seminars arranged by the Bank of Finland during the years 2009–2011. The main focus of the studies is on the...

Persistent link: https://www.econbiz.de/10010584387

The risk of financial intermediaries

Delis, Manthos D.; Hasan, Iftekhar; Tsionas, Efthymios G. - Suomen Pankki - 2014

This paper reconsiders the formal estimation of bank risk using the variability of the profit function. In our model, point estimates of the variability of profits are derived from a model where this variability is endogenous to other bank characteristics, such as capital and liquidity. We...

Persistent link: https://www.econbiz.de/10010945115

Household loan loss risk in Finland – estimations and simulations with micro data

Herrala, Risto; Kauko, Karlo - Suomen Pankki - 2007

This discussion paper presents a microsimulation model of household distress. We use logit analysis to estimate the extent to which a household’s risk of being financially distressed depends on net income after tax and loan servicing costs. The impact of assumed macroeconomic shocks on this...

Persistent link: https://www.econbiz.de/10005190733

Contagion in the interbank network: An epidemiological approach

Toivanen, Mervi - Suomen Pankki - 2013

method to model the spreading of the contagion in the interbank network by implementing an epidemiologic model. Actual data … on European banks is exploited with simulated scale-free networks. The average contagion affected 70% and 40% of European … of contagion. Bank clustering, large incoming interbank loans and bank reputation are more prominent explanatory …

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

The transparency of the banking industry and the efficiency of information-based bank runs

Chen, Yehning; Hasan, Iftekhar - Suomen Pankki - 2005

In this paper, we investigate the relationship between the transparency of banks and the fragility of the banking system. We show that information-based bank runs may be inefficient because the deposit con-tract designed to provide liquidity induces depositors to have excessive incentives to...

Persistent link: https://www.econbiz.de/10005648950

Financial interlinkages and risk of contagion in the Finnish interbank market

Toivanen, Mervi - Suomen Pankki - 2009

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 … that five of ten deposit banks are possible starting points for contagious effects. The magnitude of contagion is …

Persistent link: https://www.econbiz.de/10005648959

Money market volatility, A simulation study

Kempa, Michal - Suomen Pankki - 2006

This paper analyses different operational central bank policies and their impact on the behaviour of the money market interest rate. The model combines profit maximising behaviour by commercial banks with the central bank supplying the liquidity that keeps the market rate on target. It seems...

Persistent link: https://www.econbiz.de/10005771141

Simulation analyses and stress testing of payment networks

Leinonen (ed), Harry - Suomen Pankki - 2009

This publication consists of ten separate studies on payment and settlement systems employing simulation techniques. Most of these were carried out using the payment and settlement system simulator BoF-PSS2 provided by the Bank of Finland. The preliminary versions were presented at the annual...

Persistent link: https://www.econbiz.de/10008774214

Simulation studies of liquidity needs, risks and efficiency in payment networks

Leinonen (ed), Harry - Suomen Pankki - 2007

This publication consists of nine separate studies on payment and settlement systems conducted using simulation techniques. Most have been carried out using the payment and settlement system simulator BoF-PSS2 provided by the Bank of Finland. The preliminary versions were presented at the annual...

Persistent link: https://www.econbiz.de/10008774230

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