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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 ...
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 ...
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 ...
Formation of inflation expectations in turbulent times : Can ECB manage inflation expectations of professional forecasters?
(28.06.2017)
Bank of Finland Research Discussion Papers 13/2017
Bank of Finland Research Discussion Papers 13/2017
This paper studies the formation of inflation expectations in the euro area. We first analyse the forecast accuracy of ECB inflation projections relative to private sector forecasts. Then, using the ECB Survey of Professional ...
Forecasting the equity risk premium with frequency-decomposed predictors
(03.01.2017)
Bank of Finland Research Discussion Papers 1/2017
Bank of Finland Research Discussion Papers 1/2017
We show that the out-of-sample forecast of the equity risk premium can be signi ficantly improved by taking into account the frequency-domain relationship between the equity risk premium and several potential predictors. ...
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 ...
How to explain errors in budget balance forecasts in euro area countries? Empirical evidence based on real-time data
(17.06.2016)
Bank of Finland Research Discussion Papers 17/2016
Bank of Finland Research Discussion Papers 17/2016
The aim of this study is to explore budget planning in the euro area countries in 2004-2014. Our analyses are based on annual real-time data from the IMF World Economic Outlook publications. As forecasts made by different ...
How informative are aggregated inflation expectations? Evidence from the ECB Survey of Professional Forecasters
(24.05.2016)
Bank of Finland Research Discussion Papers 15/2016
Bank of Finland Research Discussion Papers 15/2016
This study examines aggregated short- and long-term inflation expectations in the unbalanced panel of the ECB Survey of Professional Forecasters. The focus of the study is on heterogeneity of expectations and changing panel ...
Analysis of aggregated inflation expectations based on the ECB SPF survey
(28.11.2014)
Bank of Finland Research Discussion Papers 29/2014
Bank of Finland Research Discussion Papers 29/2014
This paper examines aggregated inflation expectations based on the ECB Survey of Professional Forecasters (ECB SPF). We analyse possible impacts of changing panel composition on short and long term point forecasts and ...