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The adverse selection problem in imperfectly competitive credit markets
(05.09.2006)
Bank of Finland Research Discussion Papers 26/2006
Bank of Finland Research Discussion Papers 26/2006
We study the adverse selection problem in imperfectly competitive credit markets and illustrate the circumstances where a separating equilibrium emerges, even without collateral.The borrowers are heterogeneous in their ...
Contagion and interdependence: measuring CEE banking sector co-movements
(08.05.2006)
Bank of Finland Research Discussion Papers 15/2006
Bank of Finland Research Discussion Papers 15/2006
Making use of ten years of daily data, this paper examines whether banking sector co-movements between the three largest Central and Eastern European Countries (CEECs) can be attributed to contagion or to interdependence. ...
Exchange rate volatility without the contrivance of fundamentals and the failure of PPP
(05.03.2006)
Bank of Finland Research Discussion Papers 8/2006
Bank of Finland Research Discussion Papers 8/2006
Since the magnitude of exchange rate overshooting may not be the same for different exchange rates of a currency, a monetary expansion or contraction in, for example, the EMU, will affect the exchange rate between the U.S. ...
The stability of electricity prices : estimation and inference of the Lyapunov exponents
(08.03.2006)
Bank of Finland Research Discussion Papers 9/2006
Bank of Finland Research Discussion Papers 9/2006
The aim of this paper is to illustrate how the stability of a stochastic dynamic system is measured using the Lyapunov exponents. Specifically, we use a feedforward neural network to estimate these exponents as well as ...
Why the marginal MRO rate exceeds the ECB policy rate?
(05.07.2006)
Bank of Finland Research Discussion Papers 20/2006
Bank of Finland Research Discussion Papers 20/2006
In the Eurosystem, banks' interest rate expectations should no longer have resulted in a non-zero tender spread, the difference between marginal and minimum price for liquidity, when the ECB reformed its operational framework ...
Population ageing in a small open economy : some policy experiments with a tractable general equilibrium model
(01.10.2006)
Bank of Finland Research Discussion Papers 28/2006
Bank of Finland Research Discussion Papers 28/2006
This paper extends Gertler's (1999) tractable overlapping generations model with life-cycle features by allowing for distortionary taxation, demographic transition and stochastic variation in demographic structure.The model ...
Pricing risky bank loans in the new Basel II environment
(08.01.2006)
Bank of Finland Research Discussion Papers 3/2006
Bank of Finland Research Discussion Papers 3/2006
Recently, banking literature has had a quest for appropriate pricing of bank loans under the new Basel II rules and has been in pursuit of possible outcomes for undertaking such credit risk.In this paper, we propose a ...
ATM networks and cash usage
(08.07.2006)
Bank of Finland Research Discussion Papers 21/2006
Bank of Finland Research Discussion Papers 21/2006
This paper deals with the issue of how the market structure in banking affects the choice of means of payment.In particular, the demand for cash is analysed from this point of view.The analysis is based on a simple spatial ...
The cyclical behaviour of European bank capital buffers
(05.06.2006)
Bank of Finland Research Discussion Papers 17/2006
Bank of Finland Research Discussion Papers 17/2006
Using an unbalanced panel of commercial, savings and co-operative banks for the years 1997 to 2004 we examine the cyclical behaviour of European bank capital buffers.After controlling for other potential determinants of ...
Forecasting market crashes : further international evidence
(01.08.2006)
Bank of Finland Research Discussion Papers 22/2006
Bank of Finland Research Discussion Papers 22/2006
This paper studies the extent to which market crashes are predictable for a set of six countries, focusing in particular on possible differences between transition economies (The Czech Republic, Hungary and Poland) and ...