Haku

It has been proposed that the potential procyclicality of Basel II could be alleviated by using through-the-cycle (TTC) ratings in IRBA models. A TTC rating would be based on the structural component of the debtor s credit ...

This paper examines how housing loan rates are determined, using data on new housing loans in Finland. Finland is an example of a bank-based euro area country where the majority of loans are granted at variable rates. The ...

No consensus has emerged on how to deal with overnight returns when calculating realized volatility in markets where trading does not take place 24 hours a day. This paper explores several common volatility applications, ...

I find quantitative evidence of a significant effect for credit constraints on durable consumption during a post-deregulation consumer spending spree. The effect varied markedly across age and educational groups. Young ...

This paper studies financial market disturbances as sources of investment fluctuations in Finland during 1995 2008. We construct a DSGE model of the Finnish economy that incorporates two domestic financial market shocks ...

In this paper we build a dynamic stochastic general equilibrium model of a small open monetary union with optimal monetary and fiscal policy, to study the transmission of country specific shocks and associated exchange ...

In his celebrated 1966 Econometrica article, Granger first hypothesized that there is a typical spectral shape for an economic variable. This typical shape implies decreasing levels of energy as frequency increases, ...

The paper concentrates on illustrating and assessing central banks liquidity operations during the crisis that started in August 2007. In addition to the ECB, the central banks of Sweden, Switzerland, the United Kingdom, ...

Convergence and synchronisation of business and growth cycles are important issues in the efficient formulation of euro area economic policies, and in particular European Central Bank (ECB) monetary policy. Although several ...

We improve the precision of the test of the implicit contract model that Beaudry and DiNardo proposed twenty years ago. Our data set allows us to define the precise industry and plant of a particular employment relationship, ...