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Forecasting inflation with the New Keynesian Phillips curve : Frequency matters
(21.04.2020)
Bank of Finland Research Discussion Papers 4/2020
Bank of Finland Research Discussion Papers 4/2020
We show that the New Keynesian Phillips Curve (NKPC) outperforms standard benchmarks in forecasting U.S. inflation once frequency-domain information is taken into account. We do so by decomposing the time series (of inflation ...
Time-frequency forecast of the equity premium
(27.04.2020)
Bank of Finland Research Discussion Papers 6/2020
Bank of Finland Research Discussion Papers 6/2020
Any time series can be decomposed into cyclical components fluctuating at different frequencies. Accordingly, in this paper we propose a method to forecast the stock market's equity premium which exploits the frequency ...
Testing the Q theory of investment in the frequency domain
(20.12.2016)
Bank of Finland Research Discussion Papers 32/2016
Bank of Finland Research Discussion Papers 32/2016
We revisit the empirical performance of the Q theory of investment, explicitly taking into account the frequency dependence of investment, Tobin’s Q, and cash flow. The time series are decomposed into orthogonal components ...
Leading indicators of systemic banking crises: Finland in a panel of EU countries
(16.06.2014)
Bank of Finland Research Discussion Papers 14/2014
Bank of Finland Research Discussion Papers 14/2014
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 ...
Analysis of seasonal and other short-term variations with applications to Finnish economic time series
(01.04.1968)
Suomen Pankki. B 28
Suomen Pankki. B 28
Aikasarjamallit apuna Suomen talouden seurannassa
(14.10.2019)
Kansantaloudellinen aikakauskirja 3/2019
Kansantaloudellinen aikakauskirja 3/2019
Viimeisten vuosikymmenien aikana kansainvälisessä ekonometrisessa tutkimuskirjallisuudessa on esitetty useita makrotaloudellista tilaa kuvaavien muuttujien informaatiota yhdistäviä lyhyen aikavälin mallinnus- ja ...