Browsing by Author "Research Department"

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  • Willman, Alpo (1987)
    Tutkimusyksikkö. Monistettuja tutkimuksia 16/1987
    We show that if domestic and foreign bonds are imperfect substitutes for each other and the exchange rate is fixed, then, unlike under the perfect substitutability assumption, uncertainty about monetary policy reactions affects the timing of balance-of-payments crises.
  • Mörttinen, Leena (2002)
    Suomen Pankin keskustelualoitteita 12/2002
    This paper contributes to the discussion on the measurement of banking sector output.It is also a prelude to discussion on possible causes of productivity change in banking.We demonstrate how the banking sector's service production can be measured using aggregate financial statement and payment transactions data.We compute banking sector labour productivity Tornqvist indices for six countries (Finland, Sweden, United Kingdom, Germany, France and Italy) over a period varying from 11 to 20 years.According to the results, Finnish banking sector productivity has improved via a substantial reduction size of labour force, whereas output growth has been rather modest.Although in most of the other countries the restructuring process has been less intense, most of the sectors studied have improved in terms of overall output and labour productivity, especially since the mid-1990s. Key words: banks, service production, productivity JEL classification numbers: D24, G21
  • Starck, Christian; Virén, Matti (1992)
    Bank of Finland Research Discussion Papers 25/1992
    This paper explores the determinants of aggregate economic fluctuations in Finland. The analysis makes use of aggregate monthly time series for some financial and non-financial variables. covering the period 1922-1990. In particular, we scrutinize the role of bankruptcies in the propagation mechanism of aggregate economic shocks. In analyzing the role of bankruptcies we also try to find out whether money or credit helps more in predicting the movements in corporate failures and overall economic activity. The empirical analyses indicate that bankruptcies constitute an important ingredient as regards the determination of other variables. It also tuI1J.s out that overall liquidity and firm failures are c10sely related. In comparing money and credit the former appears to be much more important as regards the .propagation mechanism. We also find that the basic relationships are strikingly stable over long periods. Finally, we find some evidence of non-linearities' in the financial and non-financial time series.
  • Malkamäki, Markku (1992)
    Bank of Finland Research Discussion Papers 31/1992
    This paper studies the driving forces of predictable variation in Finnish stock returns. The dynamics of Ferson and Harvey's (1991) methodology are extended and applied within the Sharpe-Lintner CAPM. We find that market risk is conditionally priced in the thin Finnish stock market. Most of the predictable variation of stock returns is attributed to the time-varying risk premium, which supports the hypothesis of rational behavior by Finnish investors in setting stock prices. However, the conditional residual term accounted for a larger part of the predictable variation of the stock returns than is found in the US market.
  • Huang, Shumin (1993)
    Bank of Finland Research Discussion Papers 1/1993
    This empirical investigation aims to identify the economic factors that determine a country's creditworthiness. Published country risk ratings are used as direct creditworthy measurement and logit analysis is applied in the present work. The pooled data includes observations of 34 sample countries for the period from 1980 to 1989. Different from earlier country risk studies which have focused only on developing country's rescheduling cases, this research also pays attention to industrial countries in order to seek the common determinants for both LDCs and DCs. Five macroeconomic ratios have been found significant in affecting country creditworthiness. In addition, this work suggests that these five basic indicators have both progressive and joint effects on creditworthiness. That is, the empirical results show that quadratic model is better than the generally assumed linear model.
  • Willman, Alpo (1987)
    Tutkimusyksikkö. Monistettuja tutkimuksia 5/1987
    There is general agreement that a regime of fixed exchange rates can be sustained only if domestic economic policy is consistent with it. An excessively expansive monetary policy, for instance, leads to the depletion of foreign reserves, eventually forcing the central bank to either devalue the currency or allow it to float. However, speculative attacks on the currency have typically been preceded by a change in the foreign exchange target.
  • Lehtinen, Hanna-Leena (1988)
    Tutkimusyksikkö. Monistettuja tutkimuksia 3/1988
    BOF4 on Suomen Pankin kokonaistaloudellinen neljännesvuosimalli, joka on tarkoitettu lähinnä ennusteiden ja talouspoliittisten vaikutuslaskelmien tuottamiseen. Mallin yhtälöt on dokumentoitu Suomen Pankin tutkimusosaston monistettujen tutkimusten sarjassa (6/1987), varsinaisesta mallijulkaisusta on saatavissa vielä tällä hetkellä julkaisematon käsikirjoitus. Malli muistuttaa suuresti edeltäjäänsä BOF3:a, joka on dokumentoitu Suomen Pankin julkaisuna D:59, 1985. Tässä Energiakomiteaa varten laaditussa muistiossa tarkastellaan BOF4-simulointien avulla talouden sopeutumista energian hinnan nousuun ja bilateraalikaupan osuutta tässä sopeutumisessa (välitysöljykauppa mukaan lukien) sekä vuonna 1986 toteutettua energiaverouudistusta. Lisäksi tarkastellaan eräitä vaihtoehtoisiin energian hintaoletuksiin perustuvia vuoteen 1999 ulottuvia skenaarioita.
  • Bärlund, Ragni (1992)
    Bank of Finland Research Discussion Papers 42/1992
    Ragni Bärlund worked in the Bank of Finland Institute for Economic Research (tilI 1944 The Statistical Department) from 1938 to. 1963. During those years one of her main interests was to colIect Finland's balance of payments. Ragni Bärlund's calculations for the interwar. period 'were published in the Bank of Finland Monthly Bulletin and in the Yearbook of the League of Nations. After she had retired in 1963, RagIii Bärlund" continued collecting balance of payments data conceming the years 1890-1913. Because of some uncertainty and missing data, Bärlund hesitated to publish her manuscript after finishing the study in the mid-1960s. Now, after twentyfive years there are still no better calculations of the balance of payments statistics for the end of the autonomous time. In addition, recent studies seem to prove that Bärlund's figures are reliable both from a historical and a macroeconomic point of view. Of course, there are always some parts of the balance of payments that cannot be calculated exactly. The worst problems are in regard to trade of services. Anyhow, Bärlund's figures do not contradict other historians' more descriptive calculations. The footnotes in the following article are mostly Bärlund's own comments considering sources and calculating methods. The editor's footnotes include mostly comparisons to other studies published after the 1960s. Besides, all figures are in current prices and in millions of "old marks" (100 mark 1962 = 1 mark of 1963).
  • Solttila, Heikki; Vihriälä, Vesa (1994)
    Suomen Pankin keskustelualoitteita 23/1994
    The paper focuses on the proximate causes of the Finnish savings and cooperative banks' non-performing assets in the current banking crisis.Specifically, the effects of the lending structure at the outset of the crisis and the rate of growth of lending in the latter half of the 1980s are investigated.The main findings are: (1) Lending structure alone is not sufficient to explain the variation in the share of non-performing assets among the local banks.(2) Growth of lending is a major explanatory factor: the faster the growth in the second half of the 1980s, the higher the later share of non-performing assets.(3) Growth of lending is a particularly important "cause" in the case of the savings banks, where lending structure does not seem to have had much of an impact.(4) Lending to manufacturing, construction and trade has had a significant negative effect on the cooperative banks' asset quality.(5) Differences in the rate of lending growth go a long way in explaining why there are on average much more problem loans in the savings bank group than in the cooperative bank group.(6) The share of foreign currency loans is not an important factor when the effect of growth is accounted for, although the roles cannot be fully separated due to multicollinearity.(7) Assuming that growth of lending is more under the control of a bank than the structure of lending, the findings support the view that "bad luck" is not the only explanation of the Finnish banking problems but "bad banking" in the form of either ignorance of risks or deliberate risk taking is a major factor as well.
  • Snellman, Jussi; Vesala, Jukka (1999)
    Bank of Finland Research Discussion Papers 8/1999
    This paper examines the electronification of noncash payments in Finland and the extent to which noncash payment means are used as substitutes for cash. We model the processes of cash substitution and electronification of payments as 'S'-shaped learning curves and generate forecasts by extrapolating these curves. The 'S'-shaped learning curves fit the data well. Our results indicate that in Finland the cash substitution process as a whole is approaching the saturation point. Although the electronification process is clearly ongoing as regards larger-value bill payments, for small-value point-of-sale payments we seem to have reached saturation. Electronification of payments, having progressed swiftly and extensively in Finland, is already beginning to slow down. We conclude the paper with a discussion of the reasons for this turn of events and of the different factors that affect the speed of diffusion of new means of payment. Key words: payments, electronification, learning curves
  • Tarkka, Juha (1994)
    Bank of Finland Research Discussion Papers 1/1994
    1n this paper the theory af nonlinear multiproduct pricing is applied to the problem of determining the terms af liquid bank deposits such as cheque accounts. The prafit maximizing interest rate and service charge schedules are characterized within a madel of a manopolybank with a heterogeneous clientele. It is shown that the practice of "implicit interest", meaning below-cost pricing of payment services parallel with large interest margins on deposits, may well be part of the optimal price discrimination strategy. It is also shown that necessary conditians for that kind of cross subsidization to be optimal exist in an inventary theoretic madel of the demand for cheque account services. It is argued that the failure to take (second-degree) price discrimination into account invalidates much of the previous research on demand deposit pricing.
  • Vesala, Jukka (1992)
    Bank of Finland Research Discussion Papers 29/1992
    This paper analyzes factors affecting the pass-through from exchange rates to import prices. The prevailing market ·structure, product differentiation, intertemporal optimization and the role of expectations regarding the exchange rate are the elements whose explicit modelling enable the rationalization of the empirically observed incomplete and sluggish price response to exchange rate movements. Further, recent theories concerning hysteresis in trade prices and quantities are reviewed in order to demonstrate how large exchange rate changes may cause changes in market structure through foreign entry or exit, and/or changes in distribution capacity, and market share investments. These results are then applied to examine the dynamics of price adjustment, which is shown to be the slower the higher is the level of exchange rate uncertainty and the more significant ate the sunk investments required for market entry. An empirical study of export pricing of Finnish paper manufactures is carried out by estimating export price equations based on a mark-up pricing rule and a general error correction model as a dynamic empirical specification. The exchange rate pass-through estimates are significantly incomplete, also in the long run, and distinctly lower in exports to the USA than to West European markets. These results are generally consistent with the derived theoretical results. The huge appreciation of the US dollar during the first half of the 1980's seems to have evoked hysteretic effects in the US market for paper products as well as in Finnish exports to the USA, which show up as significant instabilities in the price equations. However, at the level of aggregate exports there is no clear evidence of such effects "following the devaluations of the Finnish mark in the observation period 1975-1991.
  • Tarkka, Juha (1983)
    Tutkimusyksikkö. Monistettuja tutkimuksia 5/1983
    Tähän monisteeseen on koottu kolme allekirjoittaneen eri tilaisuuksissa pitämää esitelmää kokonaistaloudellisten mallien rakentamisesta ja käytöstä. Käytännön esimerkkinä on Suomen Pankin tutkimusosaston neljännesvuosimalli BOF3, johon liittyviin kokemuksiin esitykset suurelta osin perustuvat.
  • Virolainen, Kimmo (2003)
    Suomen Pankin keskustelualoitteita 18/2004
    In the discussion paper, we employ data on industry-specific corporate sector bankruptcies over the time period from 1986 to 2003 and estimate a macroeconomic credit risk model for the Finnish corporate sector.The sample period includes a severe recession with significantly higher-than-average default rates in the early 1990s.The results suggest a significant relationship between corporate sector default rates and key macroeconomic factors including GDP, interest rates and corporate indebtedness.The estimated model is employed to analyse corporate credit risks conditional on current macroeconomic conditions.Furthermore, the paper presents some examples of applying the model to macro stress testing, ie analysing the effects of various adverse macroeconomic events on the banks credit risks stemming from the corporate sector.The results of the stress tests suggest that Finnish corporate sector credit risks are fairly limited in the current macroeconomic environment. Key words: banking, credit risk, stress tests JEL classification numbers: C15, G21, G28, G33
  • Dufwenberg, Martin; Koskenkylä, Heikki; Södersten, Jan (1994)
    Suomen Pankin keskustelualoitteita 8/1994
    SCANDINAVIAN JOURNAL OF ECONOMICS 1994 ; 96 ; 3 http://www.jstor.org/journal/scanjecon
    This paper analyzes the accumulation of fixed productive capital in the manufacturing industries in Denmark, Finland, Norway, and Sweden over the years 1965-1990.Particular attention is given to the effect of taxes on this process.The following conclusions appear fairly robust across countries: Cointegrating long-run relationships can be found within the framework of the neo-classical model.The error-correction estimations indicate that investment is relatively sensitive to economic shocks.Taxes seem not to have had significant effects on long-run capital levels nor on the timing of investment behavior.
  • Golan, Amos; Kim, Moshe (1992)
    Bank of Finland Research Discussion Papers 26/1992
    A non-parametric framework for testing the existence of aggregates is developed. The framework is based on the notion of the maximum entropy formalism which is applied to model the size distribution of firms. The theory, once presented, is applied to the US banking industry in order to test for the existence 'of a consistent output-aggregate. The existence of an output-aggregate in banking can facilitate much of the empirical research in this industry and shed some light on the industry's long-run market structure.
  • Miikkulainen, Pirkko (1985)
    Tutkimusyksikkö. Monistettuja tutkimuksia 15/1985
    Maksutasetutkimusten pääpaino on yleensä ollut kauppataseessa ja pääomataseessa. Palvelujen ulkomaankauppaa ei ole pidetty kokonaistaloudellisesti merkittävänä, joten siihen on kiinnitetty vain vähän huomiota. Viime vuosikymmenien kansainvälistymisen myötä palvelukauppa on kuitenkin kasvanut. Kasvu on ollut merkittävää myös siksi, että palvelukauppaa rajoitetaan monilla kansallisilla säännöksillä. Sikäli, kun teollisuusmaiden pyrkimykset poistaa palvelukaupan esteitä onnistuvat, on odotettavissa kaupan merkityksen edelleen kasvavan. Palvelujen ulkomaankaupan esteiden poistamiseen pyrkivissä neuvotteluissa tarvitaan myös runsaasti tietoa. Tämän tutkimuksen tarkoituksena on tuottaa uutta tietoa mm. kuvaamalla tilastointia, tulkitsemalla palveluerien tietosisältöä ja esittämällä aikaisemin julkaisemattomia aikasarjoja. Tämän selvityksen tarkoituksena on valaista tilastoinnin perusteita ja käsitteistöä, antaa yleiskuva palvelujen ulkomaankaupan kehityksestä vuosina 1970-1983 ja konstruoida palvelujen ulkomaankaupalle ja sen alaerille ennustetyötä helpottavat yksinkertaiset ekonometriset selitysmallit .
  • Vasara, Ilkka (1977)
    Tutkimusyksikkö. Monistettuja tutkimuksia 4/1977
    Perinteisen tavaraviennin rinnalle on viime vuosina noussut laaja-alaisempi, yhdistetty tavaroiden, palvelusten, suunnittelun ja työpanoksen vienti, ns.projektivienti, jonka kehitysmahdollisuudet näyttävättulevaisuudessakin melko suotuisilta. Kun projektivienti on jokseenkin uusi ilmiö, on katsottu tarpeelliseksi tehdä siitä erityisselvitys. Makrotasolla ja viranomaisten kannalta selvitystarve koskee ensi sijaisesti projektiviennin kokonaisvaikutuksia talous elämän eri aloilla, yksityisten yritysten, ts. projektiviejien ongelmia tutkitaan samaan aikaan esimerkiksi Teollisuuden Keskusliitossa ja Helsingin Teknillisessä korkeakoulussa.
  • Leinonen, Harry (2003)
    Suomen Pankin keskustelualoitteita 7/2003
    Securities settlement is an area, where nobody seems to be content with the current international processing systems, but neither has a proposal for improvement emerged that has attracted common support.This paper describes a possible solution based on an international, harmonised and simplified institutional structure operating in an open real-time network structure.All deals are settled in immediate, t+0, real-time, which means that all assets and funds are delivered immediately and thereby removing settlement risk.Inter-custodian delivery problems of securities will disappear, because only securities available on investors' accounts can be settled, which continuously equals the amount on the omnibus-accounts.This will also take out the risks related to 'naked' short selling, because in most cases investors have to make securities and funds available before trading.This may divide the current market in a spot t+0 and a short term t+3 futures' market. Corporate actions can be organised in coordination and executed in synchronisation through the infrastructure network in which all custodians and registrars/CSDs participate.The paper describes the concrete new methods required (eg international custody account number system, ICAN, and DVP-codes for matching) also the probable impact of immediate real-time settlement on trading patterns, liquidity issues and risk containment.These are all areas, where the proposed new infrastructural solutions would bring benefits to the users, mainly faster/immediate delivery, less risks, lower processing costs, more competition and more efficient processing of corporate actions.Custodians' liquidity management will need to focus on the sufficiency of the real-time balance of settlement money, which might be more or less strained compared to the current situation depending on the off-setting patterns of incoming and outgoing settlements during the day.International implementation will require coordination and engagement by key players. Key words: Securities settlement, securities settlement infrastructure, DVP processing, securities trading interfaces
  • Leinonen, Harry; Soramäki, Kimmo (2003)
    Suomen Pankin keskustelualoitteita 23/2003
    Published in Journal of Financial Transformation, No. 12, December 2004: 79-84
    The simulation technique provides a new means for analysing complex interdependencies in payment and securities settlement processing. The Bank of Finland has developed a payment and settlement system simulator (BoF-PSS2) that can be used for constructing simulation models of payment and securities settlement systems.This paper describes the main elements of payment and settlement systems (system structures, interdependencies, processing steps, liquidity consumption, cost and risk dimensions) and how these can be treated in simulation studies.It gives also examples on how these elements have been incorporated in the simulator, as well as an overview of the structure and the features of the BoF-PSS2 simulator. Key words: simulations, simulator, payment systems, clearing/settlement, and liquidity