Haku
Viitteet 1-10 / 18
Estimating the real effects of uncertainty shocks at the zero lower bound
(01.02.2017)
Bank of Finland Research Discussion Papers 6/2017
Bank of Finland Research Discussion Papers 6/2017
We employ a parsimonious nonlinear Interacted-VAR to examine whether the real effects of uncertainty shocks are greater when the economy is at the Zero Lower Bound. We find the contractionary effects of uncertainty shocks ...
Uncertainty across volatility regimes
(30.11.2017)
Bank of Finland Research Discussion Papers 35/2017
Bank of Finland Research Discussion Papers 35/2017
We propose a new non-recursive identification scheme for uncertainty shocks, which exploits breaks in the unconditional volatility of macroeconomic variables. Such identification approach allows us to simultaneously address ...
Toward robust early-warning models: A horse race, ensembles and model uncertainty
(04.03.2015)
Bank of Finland Research Discussion Papers 6/2015
Bank of Finland Research Discussion Papers 6/2015
This paper presents first steps toward robust early-warning models. We conduct a horse race of conventional statistical methods and more recent machine learning methods. As early-warning models based upon one approach are ...
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 ...
Inference in structural vector auto regressions when the identifying assumptions are not fully believed : Re-evaluating the role of monetary policy in economic fluctuations
(20.06.2018)
Bank of Finland Research Discussion Papers 14/2018
Bank of Finland Research Discussion Papers 14/2018
Reporting point estimates and error bands for structural vector autoregressions that are only set identified is a very common practice. However, unless the researcher is persuaded on the basis of prior information that ...
Global Uncertainty
(11.02.2021)
Bank of Finland Research Discussion Papers 1/2021
Bank of Finland Research Discussion Papers 1/2021
We estimate a novel measure of global financial uncertainty (GFU) with a dynamic factor framework that jointly models global, regional, and country-specific factors. We quantify the impact of GFU shocks on global output ...
Inflationary household uncertainty shocks
(14.02.2022)
Bank of Finland Research Discussion Papers 5/2022
Bank of Finland Research Discussion Papers 5/2022
I construct a novel measure of household uncertainty based on survey data for European countries. I show that household uncertainty shocks do not universally behave like negative demand shocks. Notably, household uncertainty ...
Why does risk matter more in recessions than in expansions?
(05.10.2021)
Bank of Finland Research Discussion Papers 13/2021
Bank of Finland Research Discussion Papers 13/2021
This paper uses a nonlinear vector autoregression and a non-recursive identification strategy to show that an equal-sized uncertainty shock generates a larger contraction in real activity when growth is low (as in recessions) ...
The global effects of Covid-19-induced uncertainty
(08.06.2020)
Bank of Finland Research Discussion Papers 11/2020
Bank of Finland Research Discussion Papers 11/2020
We estimate a three-variate VAR using proxies of global financial uncertainty, the global financial cycle, and world industrial production to simulate the effects of the jump in financial uncertainty observed in correspondence ...
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 ...