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Forecasting the macroeconomy with current financial market information: Europe and the United States
Junttila, Juha - Suomen Pankki - 2002
Using recently developed modelling methodology of Economic Tracking Portfolios (ETP), we find that it is possible to forecast future values of inflation and changes in industrial production in the United States and at least three core euro countries – Italy, France and Germany – utilising...
Persistent link: https://www.econbiz.de/10005648907
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Contagion and interdependence: measuring CEE banking sector co-movements
Jokipii, Terhi; Lucey, Brian - Suomen Pankki - 2006
largest Central and Eastern European Countries (CEECs) can be attributed to contagion or to interdependence. Our tests based … on simple unadjusted correlation analysis uncover evidence of conta-gion between all pairs of countries. Adjusting for … market volatility during turmoil, however, produces dif-ferent results. We then find contagion from the Czech Republic to …
Persistent link: https://www.econbiz.de/10005648954
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Liquidity and market efficiency : alive and well?
Liikanen, Erkki; Jylhä, Petri; Pennacchi, George G.; … - Joint Conference with the Bank of Finland in Helsinki …; … - 2015
On 3 July 2015, SUERF organized its sixth joint conference with the Bank of Finland in Helsinki on the subject of liquidity and market efficiency. The one-day program consisted of an opening speech, six presentations, including three keynotes, and a lunchtime address. The present SUERF Study...
Persistent link: https://www.econbiz.de/10011414459
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Do networks in the stock exchange industry pay off? European evidence
Hasan, Iftekhar; Schmiedel, Heiko - Suomen Pankki - 2003
The economic theory of network externalities provides the rationale for this paper, which investigates whether adoption of network strategies in European stock exchanges creates additional value in the provision of trading services. Using unbalanced panel data from all major European exchanges...
Persistent link: https://www.econbiz.de/10005648905
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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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Leading indicators of systemic banking crises: Finland in a panel of EU countries
Lainà, Patrizio; Nyholm, Juho; Sarlin, Peter - Suomen Pankki - 2014
This paper investigates leading indicators of systemic banking crises in a panel of 11 EU countries, with a particular focus on Finland. We use quarterly data from 1980Q1 to 2013Q2, in order to create a large number of macro-financial indicators, as well as their various transformations. We make...
Persistent link: https://www.econbiz.de/10010818986
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Essays on financial crises in emerging markets
Komulainen, Tuomas - Suomen Pankki - 2004
-fulfilling crises were possible. Essay 3 studies financial contagion and develops a model of the international financial system. It uses … contagion. Essay 4 analyses the causes of financial crises in 31 emerging market countries in 1980–2001. A probit model is …
Persistent link: https://www.econbiz.de/10008692076
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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
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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
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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