Via the use of rolling regression technique and a specific procedure for analyzing strong structural breaks in a univariate time series model, we forecast the rate of future inflation in Finland for the time period of unregulated financial markets since the beginning of 1987. We are able to...

In this paper we augment the famous Fisher hypothesis by introducing foreign interest rate and exchange rate variables to a tradional Fisherian test equation for the Finnish money market interest rates. Theoretically this augmentation is based on the use of uncovered interest rate parity for...

We examine ESG-based investment performance in 48 countries using data from two providers: MSCI ESG IVA and Refinitiv ASSET4. Developed markets’ high ESG-rated portfolios underperform compared to low-rated portfolios, in line with investors’ demands for higher returns as compensation for...

We investigate the connections between some specific commodity prices and global macroeconomic performance in a two-stage approach. At the first stage we employ machine learning techniques to identify from a large set of globally traded commodities the ones with the strongest predictive power on...

In the new hybrid methodology the calculation of EURIBOR benchmark reference rates should be grounded in fully comprehensive euro money market transactions. We analyze the role of financial corporate paper (CP) market in the development of EURIBOR interest rates by applying a DCC-GARCH framework...

Based on quarterly data from the US commercial real estate market we find that a short position on the Dow-Jones US Real Estate index (DJUSRE) can serve as a useful and effective hedge against the price risk of U.S. direct commercial real estate investments. According to our results, when...

This study uses a sample of Western European banks to examine the development in bank asset liquidity during the era of low interest rates. The results suggest that asset liquidity has converged during this period; the least liquid banks have improved their liquidity whereas the most liquid banks...

In the new Benchmark Determination Methodology (BDM), the calculation of Euro Interbank Offered Rates (EURIBOR) should be based on fully comprehensive euro unsecured money market transactions. As this set of eligible transactions contains a number of different instruments, it cannot be...

We identify the most significant factors that have influenced the profitability of European banking sector during the negative interest rate period (NIRP), with a particular focus on the bank size, loan portfolio quality, ownership structure, and location. Based on a panel dataset from 560 banks...

We examine exchange rate pass-through into aggregate import prices for several industrialized countries in view of Taylor's (2000) suggestion that the degree of pass-through is dependent on importing country inflation. Extending the standard mark-up pricing model under monopolistic competition...