Browsing by Subject "ekonometria"

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  • Marzo, Massimiliano; Romagnoli, Silvia; Zagaglia, Paolo (2008)
    Bank of Finland Research Discussion Papers 25/2008
    We study the term structure implications of the fiscal theory of price level determination. We introduce the intertemporal budget constraint of the government in a general equilibrium model in continuous time. Fiscal policy is set according to a simple rule whereby taxes react proportionally to real debt. We show how to solve for the prices of real and nominal zero coupon bonds. Keywords: bond pricing, fiscal policy, mathematical methods JEL classification numbers: D9, G12
  • Crowley, Patrick M.; Schultz, Aaron (2010)
    Bank of Finland Research Discussion Papers 16/2010
    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 studies in the economics literature address the issue of synchronicity of growth within the euro area, this is the first to address the issue using cross recurrence analysis. The main findings are that member state growth rates had largely converged before the introduction of the euro, but there is a wide degree of different synchronisation behaviours which appear to be non-linear in nature. Many of the euro area member states display what is termed here intermittency in synchronization, although this is not consistent across countries or members of the euro area. These differences in synchronization behaviors could introduce further challenges in managing the country-specific effects of the common monetary policy in the euro area. Keywords: Euro area, business cycles, growth cycles, recurrence plots, nonstationarity, complex systems, surrogate analysis. JEL classification numbers: C65, E32, F15 Note: A previous shortened version of the second part of this paper was previously published as Crowley (2008).
  • Bank of Finland (1972)
    Bank of Finland. Series D 29
    This is a report on the research project begun in 1970 to construct and simulate an econometric model for Finland. The goals of the project and the structure of the model as well as the reasoning behind the specification of the equations are discussed in this report. More detailed reports on the various blocks of the model in addition to the results of the first simulations and forecast experiments are to be published later in 1972 and in 1973.
  • Huhtala, Heli (2008)
    Bank of Finland Research Discussion Papers 5/2008
    It is well known that under certain assumptions the strategy of an investor maximizing his expected utility coincides with the mean-variance optimal strategy. In this paper we show that the two strategies are not equal in general and find the connection between a utility maximizing and a mean-variance optimal strategy in a continuous semimartingale model. That is done by showing that the utility maximizing strategy of a CARA investor can be expressed in terms of expectation and the expected quadratic variation of the underlying price process. It coincides with the mean-variance optimal strategy if the underlying price process is a local martingale. Keywords: mean-variance portfolios, utility maximization, dynamic portfolio selection, quadratic variation JEL classification numbers: G11, C61
  • Crowley, Patrick M. (2005)
    Bank of Finland Research Discussion Papers 1/2005
    Published in Journal of Economic Surveys, Volume 21, Issue 2, April 2007: 207-267
    Wavelet analysis, although used extensively in disciplines such as signal processing, engineering, medical sciences, physics and astronomy, has not yet fully entered the economics discipline. In this discussion paper, wavelet analysis is introduced in an intuitive manner, and the existing economics and finance literature that utilises wavelets is explored. Extensive examples of exploratory wavelet analysis are given, many using Canadian, US and Finnish industrial production data. Finally, potential future applications for wavelet analysis in economics are also discussed and explored. Keywords: statistical methodology, multiresolution analysis, wavelets, business cycles, economic growth. JEL classification numbers: C19, C65, C87, E32.
  • Ahlstedt, Monica (1998)
    Suomen Pankki. E 11
    This study uses GARCH modelling to estimate and forecast conditional variances and covariances of returns calculated from a set of financial market series: twelve markka exchange rates, twelve corresponding shortterm euro interest rates and the Finnish short-term interest rate, the Finnish long-term interest rate, the Finnish all-share index and real estate prices. The variances are specified through univariate estimation and the analysis is then extended to a portfolio of assets by presenting and applying two alternative methods for covariance modelling.The first method is based on the assumption of identical autocorrelation structure for variances and covariances.The other method is based on the assumption of constant correlation.Both methods are flexible and enable the extension of the analysis to a large number of return series. The study then derives a forecast function from the models estimated from pooled data for variances and covariances of exchange rates and interest rates and from individual data for the other rates, in the form of a weighted moving average of past squared residuals.GARCH forecasts for the variances of individual return series as well as portfolios are compared in an ex post context, on the one hand, to two alternative forecasts based on piecewise homoscedastic variance models and, on the other, to actual data on squared returns. The empirical results in the study show that the estimated variance-covariance models display a high degree of similarity both across the variables and across subsamples (ie across exchange rate regimes); GARCH(1,1) seems to represent the underlying conditional variance process fairly well.In terms of persistence in the variance processes, which is nearly IGARCH(l,1), the estimated models are also remarkably similar both for the individual variables and for pooled data.Hence parsimony suggests using an integrated process to represent volatility in the sample.The study also argues that the estimated GARCH models represent a methodological and empirical improvement over those estimates typically used eg in value-at-risk calculations. Keywords: time-dependent volatility, GARCH estimation, value-at-risk models
  • Kukkonen, Pertti (1968)
    Suomen Pankin taloustieteellisen tutkimuslaitoksen julkaisuja. B 28
    1. INTRODUCTION 9 2. THE METHOD OF ITERATED MOVING AVERAGES 2.1. General Remarks 12 2.2. Weighted Moving Averages 13 2.3. Computational Steps 15 3. THE METHOD OF ITERATED MOVING AVERAGES AS A METHOD OF ESTIMATION 3.1. Constant Seasonal Patterns 18 3.1.1. The Method of Moving Averages in Operator Notation 19 3.1.2. Some Concepts of Spectral Analysis 21 3.1.3. The Efficiency of Iteration 22 3.1.4. HANNAN's Estimator for Constant Seasonal Patterns 24 3.2. Changing Seasonal Patterns 25 3.2.1. The Frequency Response Function of the Filters C 26 3.2.2. Expectation of the Estimate of the Seasonal Component 31 3.2.3. Iteration and the Slutzky-Yule Effect 36 3.2.4. On the Treatment of the First and Last Observations in a Time Series 42 3.3. Examples of the Application of the Method of Iterated Moving Averages 45 3.4. Alternative Methods 48 4. REGRESSION ANALYSIS AS A METHOD OF ESTIMATING SHORT-TERM VARIATIONS 4.1. Effect of the Residual Component on the Forecast Error in the Case of Optimal Linear Filters 51 4.2. On Defining the Seasonal and Calendar Variations in Regression Analysis 53 4.3. Various Types of Models Employed in the Regression Analysis of Seasonal and Calendar Variations 59 4.4. The Least Squares of Differences Method 61 4.4.1. The Criterion Suggested by RUIST 62 4.4.2. The Least-squares Criterion for Differences and the Classical Linear Regression Model 63 4.4.3. Restrictions on the Parameters 67 4.4.4. The Method of Restricted Least Squares 69 4.4.5. A Computational Procedure for the Method of Restricted Least Squares 70 4.5. Elimination of Seasonal and Calendar Variations from the Time-series Data for Econometric Models through the Regression Method 75 4.5.1. LOVELL's Theorem 76 4.5.2. The Effect of Linear Restrictions 79 4.5.3. The Trend-cycle Component, Calendar Variations and Short-term Changes in the Seasonal Pattern 82 4.6. Applications of the Regression Method 84 4.6.1. Specification of the Trend-cycle Component in Applications of the Least Squares of Differences Method 85 4.6.2. Abrupt Changes in the Seasonal Pattern 97 4.6.3. Calendar Variations100 4.6.4. The Special Seasonal Variations due to Unseasonal Weather Conditions103 4.6.5. The Impact of the Choice of a Seasonal Adjustment Method on the Estimation of a Demand for Labour Model109 4.6.6. A Summary of the Application of the Least Squares of Differences Method114 REFERENCES 115 LIST OF SYMBOLS 117 APPENDIX 1. The Bank of Finland Method of Iterated Moving Averages for the Analysis of Seasonal Variations 119 APPENDIX 2. The Weights of Alternative Smoothing Formulae in the Method of Iterated Moving Averages 123 APPENDIX 3. Finnish Economic Time Series Data Used in Applications 128
  • Pesola, Jarmo (2005)
    Bank of Finland Research Discussion Papers 13/2005
    The macroeconomic determinants of banking sector distresses in the Nordic countries, Belgium, Germany, Greece, Spain and the UK are analysed using an econometric model estimated on panel data from partly the early 1980s to 2002.The dependent variable is the ratio of banks' loan losses to lending.In addition to the lagged dependent variable, the explanatory variables include a surprise change in incomes and real interest rates, both variables as a separate cross-product term with lagged aggregate indebtedness.The underlying macroeconomic account that this paper puts forward is that loan losses are basically generated by strong adverse aggregate shocks under high exposure of banks to such shocks.The underlying innovations to income and real interest rates are constructed using published macro-economic forecast for these variables.According to the results, high customer indebtedness combined with adverse macroeconomic surprise shocks to income and real interest rates contributed to the distress in banking sector. Loan losses also display strong autoregressive behaviour which might indicate a feedback effect from loan losses back to macroeconomic level in deep recessions.The results can be used in macro stresstesting the banking sector. Key words: financial fragility, shock, loan loss, banking crisis JEL Classification numbers: G21, E44
  • Taipalus, Katja (Edita Prima, 2006)
    Suomen Pankki. E 35
    Tests for unit roots in log dividend yields, which are consistent with 'rational bubbles' in stock prices, are conducted for the SP500 and Finnish stock market indexes.In addition to the traditional unit root tests, we split the data into 10-year segments and use frequency domain analysis to test for the presence of unit roots in the dividend yield data.The results strongly suggest the existence of bubbles in both the US and Finnish markets.Finally we develop a novel dividend yield-based method to track periods when stock prices divert their fundamental levels. This indicator produces promising results, as it seems to have some forecasting ability concerning booms and busts in the stock markets. Key words: equity price, bubble, rolling ADF
  • Vilmunen, Jouko; Palmroos, Peter (2013)
    Bank of Finland Research Discussion Papers 17/2013
    In this study we present a closed form solution to the moments and, in particular, correlation of two log-normally distributed random variables, where the underlying log-normal distribution is potentially truncated and censored at both tails. Throughout the analysis we further assume that the parameters of the unconstrained bivariate log-normal distribution are known. The closed form solution also covers the cases where one tail is truncated and the other is censored. Keywords: Bivariate log-normal distribution, Pearson's product-moment correlation, Truncated, Censored, Tail correlation, Solvency II JEL Classification C18, C46, G28
  • Ripatti, Antti; Saikkonen, Pentti (1998)
    Suomen Pankin keskustelualoitteita 29/1998
    We extend the conventional cointegrated VAR model to allow for general nonlinear deterministic trends.These nonlinear trends can be used to model gradual structural changes in the intercept term of the cointegrating relations.A general asymptotic theory of estimation and statistical inference is reviewed and a diagnostic test for testing the correct specification of an employed nonlinear trend is developed.The methods are applied to Finnish interest rate data.A smooth level shift of the logistic form between the own-yield of broad money and the short-term money market rate is found appropriate for these data.The level shift is motivated by the deregulation of issuing certificates of deposit and its inclusion in the model solves the puzzle of 'missing cointegration vector' found in a previous study. Keywords: cointegrated VAR model, gradual structural change, nonlinear deterministic trend
  • Crowley, Patrick M.; Lee, Jim (2005)
    Bank of Finland Research Discussion Papers 12/2005
    This article analyses the frequency components of European business cycles using real GDP by employing multiresolution decomposition (MRD) with the use of maximal overlap discrete wavelet transforms (MODWT).Static wavelet variance and correlation analysis is performed, and phasing is studied using co-correlation with the euro area by scale.Lastly dynamic conditional correlation GARCH models are used to obtain dynamic correlation estimates by scale against the EU to evaluate synchronicity of cycles through time. The general findings are that euro area members fall into one of three categories: i) high and dynamic correlations at all frequency cycles (eg France, Belgium, Germany), ii) low static and dynamic correlations, with little sign of convergence occurring (eg Greece), and iii) low static correlation but convergent dynamic correlations (eg Finland and Ireland). Key words: business cycles, growth cycles, European Union, multiresolution analysis, wavelets, co-correlation, dynamic correlation JEL Classification numbers: C65, E32, O52
  • Crowley, Patrick M.; Mayes, David G. (2005)
    Bank of Finland. Bulletin 4
    The wavelet approach looks beyond the more usual areas of growth pattern analysis of trends and cycles.Comparative analyses show considerable similarities in euro area growth rates, particularly at business cycle frequencies, most notably among the original. European Community founding members.Non-business cycle frequencies highlight some concerns for policy-making.
  • Mehrotra, Aaron; Rautava, Jouko (2007)
    BOFIT Discussion Papers 11/2007
    Published in Journal of Chinese Economic and Business Studies, Vol. 6, No. 3, 2008, pp. 225-239
    This paper evaluates the usefulness of business sentiment indicators for forecasting developments in the Chinese real economy.We use data on diffusion indices collected by the People's Bank of China for forecasting industrial production, retail sales and exports.Our bivariate vector autoregressive models, each composed of one diffusion index and one real sector variable, generally outperform univariate AR models in forecasting one to four quarters ahead.Similarly, principal components analysis, combining information from various diffusion indices, leads to enhanced forecasting performance.Our results indicate that Chinese business sentiment indicators convey useful information about current and future developments in the real economy.They also suggest that the official data provide a fairly accurate picture of the Chinese economy. Keywords: forecasting, diffusion index, VAR, China. JEL: E32, E37, P27
  • Babetskii, Ian; Campos, Nauro F. (2007)
    BOFIT Discussion Papers 13/2007
    Published in Journal of Comparative Economics, Volume 39, Issue 2, June 2011, Pages 140-158
    Why are socially beneficial reforms not implemented? One simple answer to this question (which has received little attention in the literature) is that this may be caused by generalised uncertainty about the effectiveness of reforms. If agents are unsure about whether a proposed reform will work, it will be less likely to be adopted. Despite the numerous benefits economists assign to structural reforms, the empirical literature has thus far failed to establish a positive and significant effect of reforms on economic performance. We collect data from 43 econometric studies (for more than 300 coefficients on the effects of reform on growth) and show that approximately one third of these coefficients is positive and significant, another third is negative and significant, and the final third is not statistically significant different from zero. In trying to understand this remarkable variation, we find that the measurement of reform and controlling for institutions and initial conditions are main factors in decreasing the probability of reporting a significant and positive effect of reform on growth.
  • Sarajevs, Vadims (2000)
    BOFIT Discussion Papers 4/2000
    This paper examines a price-level target in a model with a forward-looking CalvoTaylor Phillips curve.Contrary to conventional wisdom, it is found that price-level targeting leads to a better trade-off between inflation and output-gap variability than inflation targeting, when the central bank acts under discretion.In some cases, price-level targeting under discretion results in the same equilibrium as inflation targeting under commitment.The paper provides a comprehensive econometric analysis of currency substitution for Latvia.Rather than drawing inferences on the degree of currency substitution from domestic money demand modelling, the most common approach to empirical analysis of the phenomenon, direct modelling of currency substitution ratio is applied.Extensive model construction, estimation, evaluation and testing are performed.Methodological issues are also discussed.No simple policy recommendations can be made at this stage of research, but a number of instruments are identified, which can be used by the authorities to influence currency substitution behaviour.
  • Ripatti, Antti (1994)
    Bank of Finland. Series D 79
    The study is organized in four parts as follows: In part 1, we survey the theoretical models of the demand for money and derive a dynamic framework. Part 2 presents the econometric methods to be used in part 4 of the study. The data and the institutions as well as earlier results and testable hypotheses are presented in part 3.
  • Willman, Alpo (1976)
    Suomen Pankki. D 38
    Tämä tutkimus keskittyy kokonaismallin julkisen talouden lohkon esittelyyn sekä erilaisten finanssipoliittisten toimenpiteiden vaikutusten mittaamiseen. Tutkimus on kolmivaiheinen. Ensimmäisessä vaiheessa, joka muodostuu luvuista II - VI, rakennetaan julkisen talouden lohkolIe malli ja esitellään lohkon kytkennät kokonaismallin muihin osiin. Lohko muodostuu välittömien verojen kantoa kuvaavasta systeemistä sekä valtiontalouden, kansaneläkelaitoksen ja kuntien talouden osalohkoista. Sekä julkiset tulot että menot on melko pitkälle disaggregoitu ja niiden kehitystä on pyritty selittämään toisaalta julkisen vallan kontrollissa olevien päätösmuuttujien ja toisaalta kokonaismallin kannalta endogeenisten muuttujien avulla. Koska tulosten luotettavuus riippuu käytettävän menetelmän validisuudesta, tutkitaan toisessa vaiheessa kokonaismallin ennustekykyä. Tarkastelu suoritetaan ns. ex post ennusteiden valossa, jolloin ennalta määrätyistä muuttujista käytetään niiden toteutuneita arvoja. Kokonaismallin ennustekykyä käsitellään tutkimuksen VII luvussa. VIII luvussa, jossa kuvataan tutkimuksen kolmatta vaihetta, esitetään erilaisten finanssipoliittisten toimenpiteiden vaikutusten mittaamista. Niitä mitataan toisaalta keskeisten kokonaistaloudellisten tavoitemuuttujien kannalta ja toisaalta valtion budjetti tasapainon kannalta. Myös valtion tulojen ja menojen erotuksena syntyvän valtion rahoitustarpeen rahoitusmarkkinoiden kautta tapahtuvan vaikutuksen suuruutta tutkitaan.
  • Pohjola, Immo (1974)
    Suomen Pankki. D 35
    Seuraavassa esitetään aluksi rahateoriaa siltä osin kuin se koskee mallin rakentamista ja sitten selostetaan eräiden muiden maiden empiir.isiä rahamarkkinamalleja, joita on saatu käytettäväksi. Tämän jälkeen hahmotetaan Suomen rahamarkkinamallin kehikko .ja yhtälöt spesifioidaan ja estimoidaan. Estimoiduista yhtälöistä kootaan erilaisin oletuksin toimivia rahamarkkinakokonaisuuksia, minkä jälkeen käsitellään rahamarkkinoiden vaikutuskanavia kansantalouden reaalipuolen kehitykseen. Lopuksi esitetään lyhyesti eräitä parannusmahdollisuuksia rahamarkkinamalliin. Käytettävä aineisto sekä estimointimenetelmät selostetaan liitteissä. Tässä yhteydessä mainittakoon kuitenkin, että aineisto on neljännesvuosipohjaista ja kausipuhdistettua. Estimointiperiodi on 1958 - 1968.
  • Égert, Balázs; Lommatzsch, Kirsten (2004)
    BOFIT Discussion Papers 9/2004
    This paper sets out to estimate equilibrium real exchange rates for the Czech Republic, Hungary, Po-land, Slovakia and Slovenia.A theoretical model is developed that provides an explanation for the ap-preciation of the real exchange rate based on tradable prices in the acceding countries.Our model can be considered as a competing but also completing framework to the traditional Balassa-Samuelson model.With this as a background, alternative cointegration methods are applied to time series (Engle-Granger, DOLS, ARDL and Johansen) and to three small-size panels (pooled and fixed effect OLS, DOLS, PMGE and MGE), which leaves us with around 5,000 estimated regressions.This enables us to examine the uncertainty surrounding estimates of equilibrium real exchange rates and the size of the underlying real misalignments. Keywords: Real exchange rate, equilibrium exchange rate, tradable prices, transition, cointegration JEL: F31