Haku
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When uncertainty decouples expected and unexpected losses
(26.01.2022)
Bank of Finland Research Discussion Papers 4/2022
Bank of Finland Research Discussion Papers 4/2022
A parsimonious extension of a well-known portfolio credit-risk model allows us to study a salient stylized fact – abrupt switches between high- and low-loss phases– from a risk-management perspective. As uncertainty about ...
Forecasting expected and unexpected losses
(21.12.2020)
Bank of Finland Research Discussion Papers 18/2020
Bank of Finland Research Discussion Papers 18/2020
Extending a standard credit-risk model illustrates that a single factor can drive both expected losses and the extent to which they may be exceeded in extreme scenarios, ie “unexpected losses.” This leads us to develop a ...
Deposit insurance, market discipline and bank risk
(27.06.2019)
BOFIT Discussion Papers 10/2019
BOFIT Discussion Papers 10/2019
Using evidence from Russia, we explore the effect of the introduction of deposit insurance on bank risk. Drawing on within-bank variation in the ratio of firm deposits to total household and firm deposits, so as to capture ...
The effects of ratings-contingent regulation on international bank lending behavior: Evidence from the Basel 2 accord
(21.10.2014)
Bank of Finland Research Discussion Papers 25/2014
Bank of Finland Research Discussion Papers 25/2014
We investigate the effects of credit ratings-contingent financial regulation on foreign bank lending behavior. We examine the sensitivity of international bank flows to debtor countries’ sovereign credit rating changes ...
Does bank liquidity creation contribute to economic growth? Evidence from Russia
(04.03.2015)
BOFIT Discussion Papers 7/2015
BOFIT Discussion Papers 7/2015
The financial crisis has shown that the liquidity creation function of banks is critical for the economy. In this paper, we empirically investigate whether bank liquidity creation fosters economic growth in a large emerging ...
Persistent and transient inefficiency: Explaining the low efficiency of Chinese big banks
(20.07.2018)
BOFIT Discussion Papers 16/2018
BOFIT Discussion Papers 16/2018
Considering the evidence that China’s five largest state-owned banks (the Big Five) suffer from low cost efficiency, this paper decomposes overall efficiency of Chinese banks into: persistent efficiency and transient ...
Why are bank runs sometimes partial?
(09.04.2015)
Bank of Finland Research Discussion Papers 10/2015
Bank of Finland Research Discussion Papers 10/2015
Concern that government may not guarantee bank deposits in a future crisis can cause a bank run. The government may break its guarantee during a severe crisis because of time-inconsistent preferences regarding the use of ...
Switching costs in the Finnish retail deposit market
(05.09.2019)
Bank of Finland Research Discussion Papers 15/2019
Bank of Finland Research Discussion Papers 15/2019
I calibrate switching cost for the Finnish retail deposit market by using the approach developed by Oz Shy (2002). It turns out that switching costs faced by deposit customers of the main banks are high, ranging from 200 ...
Cyclicality of bank liquidity creation
(10.03.2017)
BOFIT Discussion Papers 5/2017
BOFIT Discussion Papers 5/2017
This paper investigates the cyclicality of bank liquidity creation. Since liquidity creation is a major economic function of banks, their liquidity creation behavior may amplify business cycle fluctuations. Using the ...
The formation of hidden negative capital in banking : A product mismatch hypothesis
(03.04.2019)
BOFIT Discussion Papers 6/2019
BOFIT Discussion Papers 6/2019
This paper investigates the phenomenon of hidden negative capital (HNC) associated with bank failures and introduces a product mismatch hypothesis to explain the formation of HNC. Given that troubled banks tend to hide ...