Browsing by Subject "ekonometriset mallit"

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  • Deryugina, Elena; Ponomarenko, Alexey (2014)
    BOFIT Discussion Papers 22/2014
    Published in Emerging Markets Finance and Trade, vol. 51(6), pages 1261 – 1275, October 2015 as Accounting for Post-Crisis Macroeconomic Developments in Russia: A Large Bayesian Vector Autoregression Model Approach.
    We apply an econometric approach developed specifically to address the ‘curse of dimensionality’ in Russian data and estimate a Bayesian vector autoregression model comprising 14 major domestic real, price and monetary macroeconomic indicators as well as external sector variables. We conduct several types of exercise to validate our model: impulse response analysis, recursive forecasting and counter factual simulation. Our results demonstrate that the employed methodology is highly appropriate for economic modelling in Russia. We also show that post-crisis real sector developments in Russia could be accurately forecast if conditioned on the oil price and EU GDP (but not if conditioned on the oil price alone). Publication keywords: Bayesian vector autoregression, forecasting, Russia
  • 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.
  • 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
  • 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.
  • 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.
  • 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.
  • Lahdenperä, Harri (1991)
    Bank of Finland. Series D 76
    The aim of this study is to analyze the female labour supply. In Finland very little work has thus far been done on the cross-section analysis of the labour supply. Even though our study focuses on the estimation of labour supply functions we also estimate a wage' equation which gives us information about the effects on hourly wage rates of education, age, work experience and occupational status. Cross-section analysis of hourly wage determination has thus far been almost non-existent in Finland. Lilja & Vartia (1980) studied the effects of education on household income using the 1971 Household Survey data. The labour supply studies mentioned above also contain estimated wage equations which, however, are not as detailed as in our study. Our study is largely based on a stochastic choice approach, and we utilize various econometric techniques. Special attention is devoted to the estimation of wage and income elasticities, as well as to the effects of fixed working costs and progressive taxes on the female labour supply in Finland. We use microdata from 1980 and concentrate on married women because in the last ten years the most important changes in the labour supply have taken place in this group and because other empirical studies of labour supply have pointed to this group as being the most sensitive to economic incentives.
  • Eusepi, Stefano; Gibbs, Chris; Preston, Bruce (2021)
    Bank of Finland Research Discussion Papers 11/2021
    We study zero interest-rate policy in response to a large negative demand shock when long-run expectations can fall over time. Because falling expectations make monetary policy less effective by raising real interest rates, the optimal forward guidance policy makes large front-loaded promises to stabilize expectations. Policy is too stimulatory in the event of transitory shocks, but provides insurance against persistent shocks. The optimal policy is well-approximated by a constant calendar-based forward guidance, independent of the shock’s realised persistence. The insurance property distinguishes our paper from other bounded rationality papers that solve the forward guidance puzzle and generates important quantitative differences.
  • Angrick, Stefan; Naoyuki, Yoshino (2018)
    BOFIT Discussion Papers 4/2018
    Monetary policy in most major economies has traditionally focused on control of the interbank interest rate to achieve an inflation target. Monetary policy in transition economies, in contrast, relied on a mixed system of price-based and quantity based instruments and targets. Japanese monetary policy up to the 1990s was based on such a mix, and echoes of this system are today found in China’s monetary policy set-up. We explore the transition of these two monetary policy regimes historically and quantitatively with institutional comparison and Structural Vector Autoregressive (SVAR) models. Specifically, we examine the role of the interbank rate and “window guidance,” a policy by which authorities use “moral suasion” to communicate target quotas for lending growth directly to commercial banks. In Japan’s case, we compile historical statistics on window guidance from newspapers and industry sources. For China, we apply Romer–Romer text analysis and computational linguistic techniques to policy reports to quantify information on window guidance.We empirically demonstrate the declining effectiveness of quantity measures and the increasing importance of price measures. We end with a policy assessment of managing the transition of monetary policy from a quantity-based system to a price-based system.
  • Kaliva, Kasimir (2006)
    Insurance Supervisory Authority. Research report 1
    The aimof this paper is to study the dynamics of inflation and survey inflation expectations under sudden random level shifts in the inflation process. We suggest that the recently introduced mixture autoregressive MAR model is suitable for modelling this kind of behaviour. We arrived a a model where the inflation expectations are not fully rational in a sense that survey participants of the Livingston Survey adjust their expectations too conservatively in response to new evidence.
  • 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.
  • Taivalaho, Timo (1980)
    Keskustelualoitteita. Discussion Papers 3/1980
    1. YLEISET LÄHTÖKOHDAT .... 1 2. AINEISTO JA MENETELMÄT ... 4 2.1. Käytettävät muuttujat... 4 2.2. Toimialajako... 7 2.3. Menetelmät .... 8 3. ESTIMOINTITULOKSET... 10 3.1. Tekstiili-, vaate- ja nahkateollisuus... 10 3.2. Puutavarateollisuus ... 15 3.3. Paperiteollisuus .... 21 3.4. Kemian teollisuus .... 27 3.5. Metallien perusteollisuus 32 3.6. Metallituote- ja koneteollisuus 36 4. JOHTOPÄÄTÖKSIÄ 43 LIITE 1 Kysyntä- ja hintamuuttujien painorakenteet 46 LIITE 2 Kirjallisuusluettelo 47
  • Pang, Ke; Siklos, Pierre L. (2015)
    BOFIT Discussion Papers 2/2015
    Published in Journal of International Money and Finance, Volume 65, July 2016, Pages 195–212
    ​Relying on quarterly data since 1998 we estimate, for China and the U.S., small scale econometric models that economize on the number of variables employed and yet are rich enough to provide useful insights about spillover effects between the two countries under different maintained assumptions about the exogeneity of the macroeconomic relationship between them. We conclude that inflation in China responds to credit shocks. Indeed, the monetary transmission mechanism in China resembles that of the US even if the channels through which monetary policy affects their respective economies differ. We also find that the monetary policy stance of the PBOC was helpful in mitigating the impact of the global financial crisis of 2008-9. Finally, spillovers from the US to China are significant and originate from both through the real and financial sectors of the US economy. Publication keywords: spillovers, monetary policy in China, dynamic factor models, credit
  • Hirvonen, Juhani (1975)
    Bank of Finland. Series D 36
    This study is a part of the work carried out at the Bank of Finland under the direction of Dr. Pertti Kukkonen on the construction of an econornetric model for the Finnish economy. The original Finnish version of this report has been completed in spring 1974.
  • Gulan, Adam (2018)
    Bank of Finland Research Discussion Papers 22/2018
    Since the Global Financial Crisis, academic economists and policymakers have had to deal with uncomfortable questions about the quality of their models and the state of macroeconomics as a profession. This note offers a summary of this discussion, focusing on the Dynamic Stochastic General Equilibrium (DSGE) framework and its underpinnings. This class of models reflects both theoretical advances and perennial modeling challenges. While DSGE modeling developed in times of scarce micro data and limited computational resources, it has much room for improvement given progress along these dimensions and advances in other branches of economics. Key tasks on the to-do-list for model improvement include the modeling on the financial sector, departures from the representative agent and rationality, as well as clarification of the empirical relevance of the Lucas critique. The framework is likely to remain a major research and policy tool, although its limitations call for greater robustness, validation and open recognition of uncertainty in drawing real-life quantitative conclusions.
  • Hämäläinen, Timo (1979)
    Keskustelualoitteita. Discussion Papers 9/1979
    Tämän tutkimuksen tarkoituksena on selvittää lyhytaikaisiin pääomaliikkeisiin vaikuttavia tekijöitä ja pyrkiä mittaamaan näiden vaikutuksia kvantitatiivisesti. Kvantitatiivisen tarkastelun taustalla on pyrkimys lyhytaikaisten pääomaliikkeiden ennustettavuuden parantamiseen vuosiaineistona ja myös neljännesvuosiaineistona esitettäviä suhdanne-ennusteita silmälläpitäen ja toisaalta vuoden sisäisen kansantalouden nettorahoituskehityksen kannalta. Edelleen pyrkimyksenä on edesauttaa Suomen Pankin kansantalouden osaston ennustemenetelmäkehikon laatimista ottamalla huomioon tämän edellyttämä kansantalouden disaggregointi.
  • Ahlstedt, Monica (1986)
    Bank of Finland. Series D 63
    Let us define a macroeconomic model as a system of simultaneous equations describing the behaviour of the economic units that we observe around us and want to explain. Models are the most widely known and used quantitative instruments for economic forecasting and evaluation of the effects of alternative government actions on the econorny1. When models are used for economic policy purposes, it is important that policy makers should be provided with a measure of reliability along with the forecasts. This study is concerned with the uncertainty inherent in economic models. The aim of the study is twofold: first to investigate how to improve the reliability of the model by minimizing the uncertainty the estimation phase of the model and then how to calculate the variance-covariance matrix of forecasts so as to rneasure the reliability of a model.
  • Halttunen, Hannu; Hirvonen, Juhani; Lahtinen, Simo (1974)
    Keskustelualoitteita. Discussion papers 5/1975
    Tässä muistiossa esitetään näkökohtia suhdannemallin koekäytöstä lähimmän vuoden aikana Kansantalouden osaston ennustekäytännön yhteydessä. Koska suhdannemalli perustuu olennaisesti ATK:n hyväksikäyttöön, sivutaan tässä samalla ATK:n käytön tehostamista Kansantalouden osaston työssä. Muistion liiteosassa esitetään alustava esimerkki mallin ennustekäytöstä.
  • Tarkka, Juha (1986)
    Suomen Pankki. D 61
    Tämän tutkimuksen tarkoituksena on osoittaa, että suomalaiset rahamarkkinat voidaan mallittaa uusklassisen rahateorian mukaisesti. Tutkimuksen teoreettisessa osassa laajennetaan uusklassista näkökulmaa siten, että pankkiluottomarkkinoiden korkosäännöstelytilanteen käsittely yhtenä mallin erikoistapauksena tulee mahdolliseksi. Tutkimuksen empiirisessä osassa taas sovitetaan kehitetty malli Suomen tilastoaineistoon.
  • Suomen Pankki; Tarkka, Juha; Willman, Alpo (1985)
    Suomen Pankki. D 59
    Oheinen julkaisu koostuu BOF3-mallin makroteoreettista kehikkoa, mallin eri osalohkoja ja mallin toimivuutta koskevista luvuista sekä mallin yhtälö- ja muuttujaluettelosta. Eri luvut ovat mallin tätä versiota tehneiden tutkijoiden laatimia, suhteellisen itsenäisiä tutkimusraportteja.