Haku

There is scant evidence on how risk-taking incentives impact specific firm risks. This has implications for board oversight of managerial risk taking, firms’ development of comparative advantage in taking particular risks, ...

To study the presence of a risk-taking channel in the US, we build a comprehensive dataset from the syndicated corporate loan market and measure monetary policy using different measures, most notably Taylor (1993) and Romer ...

The 2008 global financial crisis highlights the importance of securitization and crash risk. Yet there is a dearth of papers exploring the link between securitization and crash risk. We analyze 7,096 securitization deals ...

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 ...

We examine the welfare effects of bailouts in economies exposed to sovereign default risk. When a government of a small open economy requests a bailout from an international financial institution, it receives a non-defaultable ...

This paper examines the Sharpe-Lintner Capital Asset Pricing Model (CAPM) in which time-varying-parameter models are altemative to the static market model. Prior evidence does not support the CAPM and suggests that market ...

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. ...

This paper studies the implication of extreme shocks for monetary policy. The analysis is based on a small-scale New Keynesian model with sticky prices and wages where shocks are drawn from asymmetric Generalized Extreme ...

European banks have been criticized for holding excessive domestic government debt during economic downturns, which may have intensified the diabolic loop between sovereign and bank credit risks. By using a novel bank-level ...

Valuuttamarkkinoiden volyymin nopea kasvu on lisännyt tuntuvasti valuuttakauppoihin liittyviä transaktiokustannuksia ja riskejä. Pankit ovat ottaneet käyttöön viime vuosina erilaisia valuuttakauppojen netotusmenetelmiä ...