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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 ...
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 ...
Political changes increase uncertainty surrounding global economic outlook
(27.01.2017)
Bank of Finland. Bulletin 5/2016
Bank of Finland. Bulletin 5/2016
The global economy is envisaged to grow at a pace of well over 3% in 2017–2019, i.e. slightly faster than in 2016. World trade growth will accelerate during the forecast period, but will remain slow relative to GDP, as in ...
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 ...