Haku
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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) ...
Precision of Public Information Disclosures, Banks’ Stability and Welfare
(04.03.2021)
Bank of Finland Research Discussion Papers 3/2021
Bank of Finland Research Discussion Papers 3/2021
We study the optimal precision of public information disclosures about banks assets quality. In our model the precision of information affects banks' cost of raising funding and asset profile riskiness. In an imperfectly ...
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 ...
Investor monitoring, money-likeness and stability of money market funds
(12.02.2021)
Bank of Finland Research Discussion Papers 2/2021
Bank of Finland Research Discussion Papers 2/2021
An asset is money-like if investors have no incentives to acquire costly private information on the underlying collateral. However, privately provided money-like assets—like prime money market fund (MMF) shares—are prone ...
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 ...
Frequency-domain information for active portfolio management
(09.01.2020)
Bank of Finland Research Discussion Papers 2/2020
Bank of Finland Research Discussion Papers 2/2020
We assess the benefits of using frequency-domain information for active portfolio management. To do so, we forecast the bond risk premium and equity risk premium using a methodology that isolates frequencies (of the ...
Monetary policy and stock market valuation
(18.09.2020)
Bank of Finland Research Discussion Papers 16/2020
Bank of Finland Research Discussion Papers 16/2020
This paper estimates the effect of monetary policy on the term structure of stock market risk premia. Stock market risk premia are solved using analysts’ dividend forecasts and dividend future prices. Although risk-free ...
Lone (Loan) Wolf Pack Risk
(16.03.2023)
Bank of Finland Research Discussion Papers 4/2023
Bank of Finland Research Discussion Papers 4/2023
This paper proposes an early-warning bank risk measure based on the syndicate concentration of recent syndicated loans that a bank participates in. At the bank level, higher values of the measure predict greater risks ...
Yield curve momentum
(16.11.2021)
Bank of Finland Research Discussion Papers 15/2021
Bank of Finland Research Discussion Papers 15/2021
I analyze time series momentum along the Treasury term structure. Past bond returns predict future returns both due to autocorrelation in bond risk premia and because unexpected bond return shocks increase the premium. ...
Stress test precision and bank competition
(02.02.2024)
Bank of Finland Research Discussion Papers 3/2024
Bank of Finland Research Discussion Papers 3/2024
We study a competitive banking sector in which banks choose the level of risk of their asset portfolios and, upon the public disclosure of stress test results, raise funding by promising investors a repayment. We show that ...