Haku
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The Aino 2.0 model
(31.05.2016)
Bank of Finland Research Discussion Papers 16/2016
Bank of Finland Research Discussion Papers 16/2016
This paper presents Aino 2.0 – the dynamic stochastic general equilibrium (DSGE) model currently used at the Bank of Finland for forecasting and policy analysis. The paper provides a detailed theoretical description of the ...
Forecasting stock market returns by summing the frequency-decomposed parts
(28.11.2016)
Bank of Finland Research Discussion Papers 29/2016
Bank of Finland Research Discussion Papers 29/2016
We generalize the Ferreira and Santa-Clara (2011) sum-of-the-parts method for forecasting stock market returns. Rather than summing the parts of stock returns, we suggest summing some of the frequency-decomposed parts. The ...
Banking crisis prediction with differenced relative credit
(06.06.2019)
BoF Economics Review 4/2019
BoF Economics Review 4/2019
Indicators based on the ratio of credit to GDP have been found to be highly useful predictors of banking crises. We study the difference in this ratio as an early warning indicator. We test a large number of different ...