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Use of unit root methods in early warning of financial crises
(03.11.2016)
Bank of Finland Research Discussion Papers 27/2016
Bank of Finland Research Discussion Papers 27/2016
Unit root methods have long been used in detection of financial bubbles in asset prices. The basic idea is that fundamental changes in the autocorrelation structure of relevant time series imply the presence of a rational ...
Weaker global economic activity one of the key risks
(27.01.2017)
Bank of Finland. Bulletin 5/2016
Bank of Finland. Bulletin 5/2016
Exports will finally begin to grow in response to export demand, with net exports gradually beginning to support growth alongside domestic demand. However, one of the key risks to the forecast is a weaker-than-forecast ...
Growth potential and public finances need further strengthening
(18.12.2017)
Bank of Finland. Bulletin 5/2017
Bank of Finland. Bulletin 5/2017
The current news on the Finnish economy is positive, and the outlook has improved. Economic growth has continued and is now more broadly based than before. Exports and corporate investment are both growing, in addition to ...
Assessment of public finances in December 2016
(27.01.2017)
Bank of Finland. Bulletin 5/2016
Bank of Finland. Bulletin 5/2016
Finland's fiscal situation is challenging. The general government deficit is still high, and public debt is on an upward trend. Attainment of more balanced public finances is hampered not only by high unemployment-related ...
Forecast for 2017–2019
(13.12.2016)
Bank of Finland. Bulletin 5/2016
Bank of Finland. Bulletin 5/2016
The equity risk premium and the low frequency of the term spread
(03.04.2018)
Bank of Finland Research Discussion Papers 7/2018
Bank of Finland Research Discussion Papers 7/2018
We extract cycles in the term spread (TMS) and study their role for predicting the equity risk premium (ERP) using linear models. The low frequency component of the TMS is a strong and robust out-of-sample ERP predictor. ...
On the long-run calibration of the credit-to-GDP gap as a banking crisis predictor
(22.02.2019)
Bank of Finland Research Discussion Papers 6/2019
Bank of Finland Research Discussion Papers 6/2019
The trend deviation of the Credit-to-GDP ratio (“Basel gap”) is a widely used early warning indicator of banking crises. It is calculated with the one-sided Hodrick-Prescott filter using an extremely large value of the ...
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 ...
Specifying a Bayesian vector autoregression for short-run macroeconomic forecasting with an application to Finland
(14.03.1991)
Bank of Finland Research Discussion Papers 4/1991
Bank of Finland Research Discussion Papers 4/1991
The aim of this paper is to specify a small econometric model capable of generating adjustment-free, short-run forecasts of key macroeconomic variables on a monthly basis. The aim is carried out using the vector autoregression ...