Browsing by Subject "hinnoittelu"

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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
  • Tarkka, Juha (1995)
    Suomen Pankki. E 2
    Sisällysluettelo: 1 Introduction 11 2 Price parameters of the deposit relationship 15 2.1 Dimensions of pricing 15 2.2 The tariff function 18 3 On the historical development of demand deposit pricing 22 3.1 The classical period of deposit pricing 22 3.2 The period of regulated banking 26 3.3 The new competition 30 4 Theories of deposit account pricing 35 4.1 The free competition model 35 4.2 The monopolistic approach 36 4.3 The implicit interest question 39 4.4 The multiproduct approach 43 5 Developing the theory of deposit pricing 45 5.1 Essay I: The risk sharing explanation 46 5.2 Essay II: The tax explanation 48 5.3 Essay III: The price discrimination explanation 49 5.4 Essay IV: Switching costs 51 6 Conclusions 52 References 54 Appendix The deposit account terms offered by a Finnish bank in 1995 59
  • Marrouch, Walid; Turk-Ariss, Rima (2012)
    BOFIT Discussion Papers 1/2012
    Published in Journal of International Financial Markets, Institutions and Money, Volume 31, Issue 1, July 2014, Pages 253-267 as Joint market power in banking: Evidence from developing countries.
    We propose a generic oligopsony-oligopoly model to study bank behavior under uncertainty in developing countries. We derive a pricing structure that acknowledges market power in both the deposit and loan markets and identify two theoretical components to the loan rate: a rent extraction component resulting from the interaction between the choke price of loans and prevailing banking structures, and a markup on deposit funding costs that captures the transformation efficiency of financial intermediation. We then test our structural specification with longitudinal data for 103 non-OECD countries and find that both the market structure under uncertainty and the deposit rate matter significantly in pricing. However, the role played by the rent-extraction share in pricing, on average, dominates funding costs in developing countries, and so underscores the importance of market structure in banks? pricing power. Keywords: intermediation, bank pricing, market structure, uncertainty, developing countries JEL codes: C33, G21, L13
  • Helenius, Jyri (2021)
    Finanssivalvonta. Blogi 10/2021
    Baselin pankkivalvontakomitean suosituksilla varmistetaan, että pankkisääntely säilyy riittävän yhdenmukaisena globaaleilla pankkimarkkinoilla. Jos EU:ssa ei noudateta Baselin komiteassa yhdessä sovittuja suosituksia, on vaarana, että muissakin maissa (esim. USA:ssa tai Isossa-Britanniassa) livetään suositusten noudattamisesta. Tällöin vaarana on, että ajaudutaan kilpailuun, jossa eri maat löysentävät pankkien vakavaraisuussääntöjä antaakseen (lyhyen aikavälin) kilpailuetua omille pankeilleen. Finanssikriisien taloudelliset ja inhimilliset kustannukset ovat niin suuria, että tällaiseen kierteeseen emme saa joutua.
  • Luoma, Arto; Puustelli, Anne; Koskinen, Lasse (2008)
    In this paper a Bayesian approach is utilized to analyze the role of the underlying asset and interest rate model in the market consistent valuation of life insurance policies. The focus is on a novel application of advanced theoretical and computational methods. A guaranteed participating contract embedding an American-style option is considered. This option is valued using the regression method. We exploit the flexibility inborn in Markov Chain Monte Carlo methods in order to deal with a fairly realistic valuation framework. The Bayesian approach enables us to address model and parameter error issues. Our empirical results support the use of elaborated instead of stylized models for asset dynamics in practical applications. Furthermore, it appears that the choice of model and initial values is essential for risk management.
  • Bui, Dien Giau; Chen, Yan-Shing; Hasan, Iftekhar; Lin, Chih-Yung (2018)
    Journal of Banking and Finance February
    We investigate the effect of managerial ability versus luck on bank loan contracting. Borrowers showing a persistently superior managerial ability over previous years (more likely due to ability) enjoy a lower loan spread, while borrowers showing a temporary superior managerial ability (more likely due to luck) do not enjoy any spread reduction. This finding suggests that banks can discern ability from luck when pricing a loan. Firms with high-ability managers are more likely to continue their prior lower loan spread. The spread-reduction effect of managerial ability is stronger for firms with weak governance structures or poor stakeholder relationships, corroborating the notion that better managerial ability alleviates borrowers’ agency and information risks. We also find that well governed banks are better able to price governance into their borrowers’ loans, which helps explain why good governance enhances bank value.
  • Malkamäki, Markku (1992)
    Bank of Finland Research Discussion Papers 9/1992
    This paper examines the sensitivity of tests of the Sharpe-Lintner Capital Asset Pricing Model (CAPM) to different estimation methods and asset return samples in a thin European asset market, i.e. the Finnish asset market. A time-varying-parameter model is introduced as an altemative to the static market model. We run a regression over a pooled data set in addition to the second-pass Fama-McBeth regressions. Our tests are carried out with four asset specific samples. In every case, cross-sectional OLS estimation of the betas leads to the rejection of the mean-variance efficiency of the market index. The price of market risk is statistically significant, but negative. Our tests on the time-varying betas indicate just the opposite. We are. not able to reject the mean-variance efficiency of the market index in any of the samples. The price of market risk is positive and statistically significant for the stock return data set that most closely resemble the normal distribution.
  • Kurri, Samu (2005)
    Bank of Finland. Bulletin 3
  • Vesala, Jukka (1998)
    Suomen Pankin keskustelualoitteita 18/1998
    Sisällysluettelo: The paper presents a method of measuring bank differentiation in terms of branch and ATM networks and uses the measures thus obtained to explain the pricing of deposits as well as corporate and household loans.Structural system models of demand and pricing equations are also estimated to separate network differentiation effects from collusion in loan and deposit rates.Pricing power due to network differentiation is found to exist mostly in household lending, while the benefits of differentiation are found to decrease trend-wise in all lending and deposit-taking activities. This result is in line with predictions concerning the technological transformation of services' delivery in banking. Differentiation is found to be the primary source of pricing power in lending, while collusion dominates in deposit-taking.Thus, European liberalization has greater potential to increase the contestability of the deposit market.Identified impacts of technological change imply more efficient pass-through of money market rate changes to loan and deposit rates in the future. Keywords: banking, delivery networks, differentiation, collusion
  • Delis, Manthos D.; Hasan, Iftekhar; Ongena, Steven (2020)
    Journal of Financial Economics 2 ; May
    Published in Bank of Finland Discussion Paper 18/2018 "Democratic development and credit".
    Does democratization reduce the cost of credit? Using global syndicated loan data from 1984 to 2014, we find that democratization has a sizable negative effect on loan spreads: a 1-point increase in the zero-to-ten Polity IV index of democracy shaves at least 19 basis points off spreads, but likely more. Reversals to autocracy hike spreads more strongly. Our findings are robust to the comprehensive inclusion of relevant controls, to the instrumentation with regional waves of democratization, and to a battery of other sensitivity tests. We thus highlight the lower cost of loans as one relevant mechanism through which democratization can affect economic development.
  • Delis, Manthos D.; Hasan, Iftekhar; Ongena, Steven (2018)
    Bank of Finland Research Discussion Papers 18/2018
    Does democratization reduce the cost of credit? Using global syndicated loan data from 1984 to 2014, we find that democratization has a sizeable negative effect on loan spreads: a one-point increase in the zero-to-ten Polity IV index of democracy shaves at least 19 basis points off spreads, but likely more. Reversals to autocracy hike spreads more strongly. Our findings are robust to the comprehensive inclusion of relevant controls, to the instrumentation with regional waves of democratization, and to a battery of other sensitivity tests. We thus highlight the lower cost of loans as one relevant mechanism through which democratization can affect economic development.
  • Juselius, Mikael; Kim, Moshe; Ringbom, Staffan (2009)
    Bank of Finland Research Discussion Papers 12/2009
    Persistent shifts in equilibria are likely to arise in oligopolistic markets and may be detrimental to the measurement of conduct, related markups and intensity of competition. We develop a cointegrated VAR (vector autoregression) based approach to detect long-run changes in conduct when data are difference stationary. Importantly, we separate the components in markups which are exclusively related to long-run changes in conduct from those explained solely by fundamentals. Our approach does not require estimation of markups and conduct directly, thereby avoiding complex problems in existing methodologies related to multiple and changing equilibria. Results from applying the model to US and five major European banking sectors indicate substantially different behavior of conventional raw markups and conduct-induced markups. Keywords: markups, cointegration, VAR, macroeconomic fundamentals, competition, banking JEL classification numbers: C32, C51, G20, L13, L16
  • Francis, Bill B.; Hasan, Iftekhar; Hunter, Delroy M. (2008)
    Bank of Finland Research Discussion Papers 14/2008
    Published in Journal of Financial Economics, Volume 90, Issue 2, November 2008, Pages 169-196
    While the importance of currency movements to industry competitiveness is theoretically well established, there is little evidence that currency risk impacts US industries. Applying a conditional asset-pricing model to 36 US industries, we find that all industries have a significant currency premium that adds about 2.47 percentage points to the cost of equity and accounts for approximately 11.7% of the absolute value of total risk premia. Cross-industry variation in the currency premium is explained by foreign income, industry competitiveness, leverage, liquidity and other industry characteristics, while its time variation is explained by US aggregate foreign trade, monetary policy, growth opportunities and other macro variables. The results indicate that methodological weakness, not hedging, explains the insignificant industry currency risk premium found in previous work, thus resolving the conundrum that the currency risk premium is important at the aggregate stock market level, but not at industry level
  • Takala, Kari; Virén, Matti (2008)
    Bank of Finland Research Discussion Papers 11/2008
    This paper deals with optimal payment systems. The issue boils down to how large are the costs of different payment media, which can be interpreted as a question of the efficiency of the means of payment. However, there are other qualifications related to the choice of payment media. Here, at least three issues can be distinguished. First is the question of optimal payment medium for each individual payment (size, location, EFTPOS etc.). This choice is not independent of the individual characteristics of the payer and payee. Secondly, there is the question of cost effectiveness of payments for different institutions and sectors. The final issue concerns the social optimum for each payment medium. These issues have been particularly controversial in the case of cash, which is still the dominant payment medium in most euro countries. Part of the controversy arises from the fact that the costs and benefits of different payment media affect different market participants in quite different ways, so that a possible social optimum might not correspond eg to the optima for different firms. The paper contains a short review of calculation methods and empirical results for a sample of countries. It also provides new evidence from Finland, which is to an extent one of the front-runners in payment technology and institutional design in payment systems. This shows up in relatively low overall costs of payments. Our estimate of total costs of payment media is 0.3 per cent of GDP, which is very low by international standards.
  • Deli, Yota; Delis, Manthos D.; Hasan, Iftekhar; Liu, Liuling (2018)
    Bank of Finland Research Discussion Papers 19/2018
    Available also as Journal of Banking and Finance 2019 ; 101 ; April.
    We show that borrowing firms benefit substantially from important enforcement actions issued on U.S. banks for safety and soundness reasons. Using hand-collected data on such actions from the main three U.S. regulators and syndicated loan deals over the years 1997-2014, we find that enforcement actions decrease the total cost of borrowing by approximately 22 basis points (or $4.6 million interest for the average loan). We attribute our finding to a competition-reputation effect that forces banks to lower their cost of credit, irrespective of other changes in their business models after the enforcement action.
  • Deli, Yota; Delis, Manthos D.; Hasan, Iftekhar; Liu, Liuling (Elsevier, 2019)
    Journal of Banking and Finance April
    Available also as Bank of Finland Research Discussion Papers 19/2018
    We show that borrowing firms benefit substantially from important enforcement actions issued on U.S. banks for safety and soundness reasons. Using hand-collected data on such actions from the main three U.S. regulators and syndicated loan deals over the years 1997–2014, we find that enforcement actions decrease the total cost of borrowing by approximately 22 basis points (or $4.6 million interest for the average loan). We attribute our finding to a competition-reputation effect that works over and above the lower risk of punished banks post-enforcement and survives in a number of sensitivity tests. We also find that this effect persists for approximately four years post-enforcement.
  • Malkamäki, Markku (1993)
    Suomen Pankki. B = Bank of Finland. B 48
    Acknowledgements 5 1 Aim and Scope of the Study 9 2 Methodological Aspects of the Tests 12 2.1 Beta Estimation 14 2.2 Estimation of the Risk Premium 18 2.3 Cointegration and Causality 20 2.4 A Note on the Data 22 3 Concluding Remarks 24 References 25 Essays: I In the Defence of the CAPM: Evidence Using Time-Varying Betas on a Thin Stock Market 29 II Conditional Betas and the Price of Risk in a Thin Asset Market: A Sensitivity Analysis 65 III Cointegration and Causality of Stock Markets in Two Small Open Economies and Their Major Trading Partners 105 IV Conditional Risk and Predictability of Finnish Stock Returns 141
  • Freystätter, Hanna (2012)
    Suomen Pankki. E 43
    Chapter 1: Introduction 9 Chapter 2: Price setting behaviour in an open economy and the determination of Finnish foreign trade prices 29 Chapter 3: Financial market disturbances as sources of business cycle fluctuations in Finland 79 Chapter 4: Financial factors in the boom-bust episode in Finland in the late 1980s and early 1990s 127
  • Malkamäki, Markku (1992)
    Bank of Finland Research Discussion Papers 8/1992
    This paper examines the Sharpe-Lintner Capital Asset Pricing Model (CAPM) in which time-varying-parameter models are altemative to the static market model. Prior evidence does not support the CAPM and suggests that market risk is not priced or the price of the beta risk is significantly negative for a thin European stock market, e.g. the Finnish stock market. We show that this phenomenom is due to static ordinary least squares beta estimates that are spurious. We reduce the errors-in-variables problem by estimating the firm-specific betas using the Kalman filter technique and employ the forecasted beta values in cross-sectional analysis. It tums out that in our analysis of pooled data the sign for caefficient of the price of risk becomes positive and we are no longer able to reject the mean-variance efficiency of the market index. The data cavers all Finnish cammon stocks listed on the Helsinki Stock Exchange throughout the years 1972-1989.
  • Leinonen, Harry (2009)
    Bank of Finland. Expository studies. A 113
    This publication consists of seven studies on retail payment issues presented as preliminary versions at the annual Bank of Finland Payment Habits Seminar in 2008. Interest in retail payment services has recently been growing at a fast pace among authorities and the general public. For this, there are several reasons: developments in technology, changes in the competitive framework and globalization. Authorities have become increasingly concerned about the efficiency and standardization issues of retail payments. A key topic of research appears to be the extent to which the payment habits of the general public can and should be switched to options that are more efficient for the society as a whole, as well as the means of achieving this. The current marketing setup seems to bias customers against change and to promote the use of legacy solutions and old habits instead of the modern solutions. However, recent trends for change seem to be pointing in new directions for the evolution of payment habits. Keywords: payment services, payment costs and pricing, card payments, electronic and mobile payments JEL classification numbers: G10, G18, F15, H4, L86, 033