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Securitization and crash risk : Evidence from large European banks
(11.12.2018)
Bank of Finland Research Discussion Papers 26/2018
Bank of Finland Research Discussion Papers 26/2018
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 ...
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 ...
Domestic banks as lightning rods? Home bias and information during Eurozone crisis
(05.02.2019)
Bank of Finland Research Discussion Papers 3/2019
Bank of Finland Research Discussion Papers 3/2019
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 ...
Measuring financial stress – A country specific stress index for Finland
(11.03.2015)
Bank of Finland Research Discussion Papers 7/2015
Bank of Finland Research Discussion Papers 7/2015
I propose a financial stress index (FSI) for the Finnish financial system that aims to reflect the functionality of the financial system and provide an aggregate measure of financial stress in the money, bond, equity and ...
Wavelet decomposition of the financial cycle : An early warning system for financial tsunamis
(31.05.2017)
Bank of Finland Research Discussion Papers 11/2017
Bank of Finland Research Discussion Papers 11/2017
We propose a wavelet-based approach for construction of a financial cycle proxy. Specifically, we decompose three key macro-financial variables – private credit, house prices, and stock prices – on a frequency-scale basis ...
Learning from financial crisis: the experience of Nordic banks
(09.12.2016)
Bank of Finland Research Discussion Papers 30/2016
Bank of Finland Research Discussion Papers 30/2016
To study whether banks retain their lessons from the experience of a severe financial crisis, we examine the effects of the systemic banking crisis of the early 1990s in three Nordic countries (Finland, Norway, and Sweden). ...
Securitization: a financing vehicle for all seasons?
(15.12.2016)
Bank of Finland Research Discussion Papers 31/2016
Bank of Finland Research Discussion Papers 31/2016
Securitization is considered to be one of the biggest financial innovations of the last century. It is also regarded as both a catalyst and solution to the 2008 financial crisis. Once a popular method of financing the ...
International propagation of financial shocks in a search and matching environment
(25.11.2016)
Bank of Finland Research Discussion Papers 28/2016
Bank of Finland Research Discussion Papers 28/2016
This paper develops a two-country model in which transmission of financial shocks arises despite a flexible exchange rate regime and substitutable financial assets, contrary to the open-economy literature results under ...
Relevance of uncertainty on the volatility and trading volume in the US Treasury bond futures market
(02.03.2015)
Bank of Finland Research Discussion Papers 4/2015
Bank of Finland Research Discussion Papers 4/2015
This paper studies the impact of uncertainty on the investors' reactions to news on macroeconomic statistics. With daily data on realized volatility and trading volume, we show that the investors in the US Treasury bond ...
Saving Wall Street or main street
(10.05.2016)
Bank of Finland Research Discussion Papers 12/2016
Bank of Finland Research Discussion Papers 12/2016
We build a dynamic stochastic general equilibrium model, where the balance sheets of both banks and non-financial firms play a role in macro-financial linkages. We show that in equilibrium bank capital tends to be scarce, ...