Browsing by Subject "kuplat"

Sort by: Order: Results:

Now showing items 1-15 of 15
  • Funke, Michael; Paetz, Michael (2012)
    BOFIT Discussion Papers 11/2012
    In the wake of the 2008-2009 global financial crisis, the macroeconomic discussion has returned to the topic of proactive macroprudential policies. One proactive approach, the use of loan-to-value (LTV) policies to curb booming property markets, has long been used by Hong Kong's monetary authorities to actively manage and mitigate the potential fallout from housing price bubbles. Here, we analyse the merits of this countercyclical macroprudential policy in a New Keynesian DSGE model. We conclude that nonlinear LTV policy rules implemented in reaction to episodes of high property price inflation can limit transmission of housing price cycle effects to the real economy. Keywords: Macroprudential policy, DSGE model, loan-to-value ratio, Hong Kong. JEL classification: C63, E21, E32, E69, F41.
  • Taipalus, Katja (2006)
    Bank of Finland Research Discussion Papers 29/2006
    The dividend yield ratio in the stock markets is, to an extent, comparable to the rent-price ratio in the housing market.Taking advantage of this definitional similarity, one can then use the traditional unit root test for log dividend yield in this case, the log rent-price ratio to test for the existence of real estate bubbles.Such unit root tests are conducted for Finland, USA, UK, Spain and Germany, and the simple test results strongly suggest the existence of bubbles in nearly all of these countries.In addition to this, we develop a continuous and monthly rent-price information-based method to track the periods when real estate prices diverge from their fundamental levels.This indicator seems to work quite well in most cases, indicating bubbles during periods which, according to the consensus literature, are seen as periods of sizable upward or downward shifts in house prices. Key words: house price, bubble, unit root JEL classification numbers: G12
  • Freystätter, Hanna (2012)
    Euro & talous. Rahapolitiikka ja kansainvälinen talous 4
    Espanjan asuntojen hintakuplan puhkeamisen aiheuttama varallisuussokki on vaikutuksiltaan voimakas ja pitkäkestoinen. Kuplan puhkeamisen seurauksena ns. rahoitustekijät, kuten taseiden heikkeneminen ja rahoituskustannusten kasvu, vähentävät yritysten ja kotitalouksien mahdollisuuksia investoida ja kuluttaa. Tässä artikkelissa havainnollistetaan mallilaskelman avulla rahoitustekijöiden laskusuhdannetta voimistavaa vaikutusta Espanjassa. Maan talouden tervehdytysohjelma tulee perustaa talouskehityksen realistiseen arvioon, jossa rahoitustekijöiden merkittävä ja pitkäaikainen kasvua hidastava vaikutus tulee otetuksi huomioon. Talouspolitiikalla tulee pyrkiä estämään Espanjaa uhkaava tasetaantuma ja kriisin pysyvät vaikutukset talouden tuotantopotentiaaliin.
  • 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
  • Freystätter, Hanna (2012)
    Bank of Finland. Bulletin. Monetary policy and the global economy 4
    The wealth shock caused when the housing price bubble burst in Spain will have strong, long-lasting effects. As a consequence of the bursting of the bubble, financial factors (such as weaker balance sheets and higher costs of funding) weigh on the investment and consumption potential of companies and households. In this article, we use a model simulation to illustrate the procyclical effect of financial factors on the economic downswing in Spain. The economic programme of the country must be based on a realistic assessment of economic development that captures the significant and long-term negative growth contribution of financial factors. Economic policy measures should be adopted to avert the threat of balance sheet recession facing Spain and avoid any permanent effects of the crisis on the output potential of the economy.
  • Taipalus, Katja (2012)
    Suomen Pankki. E 47
    To promote the financial stability, there is a need for an early warning system to signal the formation of asset price misalignments. This research provides two novel methods to accomplish this task. Results in this research shows that the conventional unit root tests in modified forms can be used to construct early warning indicators for bubbles in financial markets. More precisely, the conventional augmented Dickey-Fuller unit root test is shown to provide a basis for two novel bubble indicators. These new indicators are tested via MC simulations to analyze their ability to signal emerging unit roots in time series and to compare their power with standard stability and unit root tests. Simulation results concerning these two new stability tests are promising: they seem to be more robust and to have more power in the presence of changing persistence than the standard stability and unit root tests. When these new tests are applied to real US stock market data starting from 1871, they are able to signal most of the consensus bubbles, defined as stock market booms for example by the IMF, and they also flash warning signals far ahead of a crash. Also encouraging are the results with these methods in practical applications using equity prices in the UK, Finland and China as the methods seem to be able to signal most of the consensus bubbles from the data. Finally, these early warning indicators are applied to data for several housing markets. In most of the cases the indicators seem to work relatively well, indicating bubbles before the periods which, according to the consensus literature, are seen as periods of sizeable upward or downward movements. The scope of application of these early warning indicators could be wide. They could be used eg to help determine the right timing for the start of a monetary tightening cycle or for an increase in countercyclical capital buffers. Key words: asset prices, financial crises, bubbles, indicator, unit-root JEL classification: C15, G01, G12
  • Ponomarenko, Alexey (2012)
    BOFIT Discussion Papers 22/2012
    Published in Emerging Markets Review 15, 92–106 (2013)
    We apply recently developed early warning indicators systems to a cross-section of emerging markets. We find that, with little or no modification, models designed to predict asset price booms/busts in advanced countries may be useful for emerging markets. The concept of monitoring a set of asset prices, real activity (especially investment) and financial (especially credit) indicators is generally found to be efficacious. Keywords: early warning indicators, asset prices, emerging markets JEL classification: E37, E44, E51.
  • Melolinna, Marko; Taipalus, Katja (2006)
    EURO & TALOUS 4
    Niin akateemisessa kuin talouspoliittisessakin keskustelussa on viime aikoina yhä useammin kiinnitetty huomiota osake- ja asuntomarkkinoiden hintojen suuriin vaihteluihin.Näiden vaihteluiden yhteyksiä rahoitusmarkkinoiden vakauden ja reaalitalouden toiminnan kannalta on pohdittu.Samoin on keskusteltu siitä, pitäisikö ja jos pitäisi, niin millä tavalla keskuspankkien reagoida varallisuusesineiden voimakkaisiin hintavaihteluihin. Tässä artikkelissa selostetaan osake- ja asuntomarkkinoiden hintakuplia, niiden vaikutuksia taloudessa sekä niiden merkitystä keskuspankin keskeisten tavoitteiden kannalta.Lisäksi artikkelissa esitellään lyhyesti Suomen Pankissa kehitetty menetelmä, jonka avulla varallisuusesineiden hintojen ylilyöntejä voidaan havaita ja ennakoida.
  • (2002)
    Euroopan keskuspankki. Kuukausikatsaus Helmikuu
    Tämä artikkeli käsittelee osakemarkkinoiden merkitystä taloudessa ja EKP:n rahapolitiikan strategiassa.Euroalueen taloudessa osakemarkkinat eivät ole yleensä olleet niin tärkeässä asemassa kuin esimerkiksi Yhdysvaltain taloudessa.On kuitenkin merkkejä siitä, että osakemarkkinoiden merkitys euroalueella on viime vuosina lisääntynyt. Tehokkailla markkinoilla osakkeiden hinnat määräytyvät osinkojen odotetun diskontatun nykyarvon perus-teella.Tässä suhteessa osakkeiden hinnat ovat luonteeltaan odotuksiin perustuvia, ja niihin vaikuttavat nopeasti kaikki uudet tiedot, jotka saavat markkinaosapuolet muuttamaan odotuksiaan osakkeiden hintoihin liittyvistä perustekijöistä.Kokemuksen perusteella näyttäisi kuitenkin siltä, että markkinapsykologian muutokset voivat ajoittain synnyttää hintakuplia eli tilanteita, joissa osakkeiden markkinahinnat ovat tilapäisesti huomattavasti korkeammat kuin niiden perustekijöihin perustuva arvo.Tällaisia tilanteita on kuitenkin erittäinvaikea tunnistaa. Osakkeiden hinnat voivat vaikuttaa talouskehitykseen pääomakustannus-, varallisuus-, luottamus- ja tasevaikutusten kautta.Lisäksi osakkeiden hinnoista voi saada informaatiota markkinaosapuolten odotuksista talouden tulevan kehityksen suhteen.Koska osakkeiden hinnat antavat viitteitä kokonaiskysynnän ja -tarjonnan kehityksestä, keskuspankkien on seurattava niitä hintavakauteen kohdistuvien riskien tunnistamiseksi.Vaikka osakkeiden hinnat eivät sovellu rahapolitiikan tavoitteeksi, uskottava ja hintavakauteen tähtäävä rahapolitiikka voi merkittävästi edistää osakemarkkinoiden tehokasta toimintaa.
  • Melolinna, Marko; Taipalus, Katja (2006)
    Bank of Finland. Bulletin 2006 ; 4
    Recent discussions, in academia and among policymakers, have increasingly paid attention to price gyrations in the stock and housing markets.A major concern has been the connection between these price movements and both financial stability and real economic performance.A related concern has been whether - and if so, how - central banks should respond to wide fluctuations in asset values.This article discusses price bubbles in the stock and housing markets, their effect on the economy, and their importance vis-à-vis the primary objectives of central banks.In addition, we briefly introduce a method that was developed at the Bank of Finland as an aid to identifying and predicting overshooting in asset prices.
  • Chen, Xi; Funke, Michael (2012)
    BOFIT Discussion Papers 27/2012
    Published in The National Institute Economic Review, February 2013, 223 (1), pp. 39-48
    The recent increase in Chinese house prices has led to concerns that China is vulnerable to asset price shocks. In this paper, we apply recently developed recursive unit root tests to spot the beginning and the end of potential speculative bubbles in Chinese house price cycles. Overall, we find that except for 2009-2010 actual house prices are not significantly disconnected from fundamentals. Thus, the evidence for speculative house price bubbles in China is in general weak. Keywords: house prices, China, speculative bubbles, recursive unit root tests JEL-Classification: C15, G01, G12, R31
  • Taipalus, Katja (2012)
    Bank of Finland Research Discussion Papers 7/2012
    This paper provides an early warning indicator for bubbles in financial markets. The indicator is based on traditional unit root tests, more precisely on the augmented Dickey-Fuller test and may be used in a repeated manner with rolling samples. The performance of the indicator is tested extensively via Monte Carlo simulations and comparisons of the results with the most powerful standard (stability) tests. The new indicator seems to be more robust and to have more power than the standard tests. In empirical application to US stock market data for 1871-2010, the new indicator signals most of the consensus bubbles and gives warning signals well ahead of the crash, in most cases as early as 12 months ahead. The indicator also signals most of the 'negative bubbles' before their turning points. The author would like to thank Matti Viren, Esa Jokivuolle, Jouko Vilmunen, Pentti Saikkonen, Heikki Kauppi and Ari Hyytinen for their comments at various stages of this work. I would also like to thank Nina Björklund and Tarja Yrjölä for research assistance. Keywords: asset prices, financial crises, bubble, indicator, unit-root JEL classification numbers: G12, C15, G01
  • Kaliva, Kasimir; Koskinen, Lasse (2006)
    Insurance Supervisory Authority. Research reports 2
    This paper proposes an autoregressive regime-switching model of stock price dynamics in which the process creates pricing bubbles in one regime while error-correction prevails in the other. In the bubble regime the stock price depends negatively on inflation. In the error-correction regime it depends on the price-dividend -ratio. We find that the probability of regime-switch depends on exogenous inflation and lagged price. The model is consistent with Shleifer and Vishny’s theoretical noise trader and arbitrageur model and Modigliani’s inflation illusion phenomenon. The results emphasize the importance of inflation and the price-dividend -ratio when assessing investment risk.
  • Suomen Pankki (2011)
    Tutkimustiedote 1/2011
    Pääkirjoitus: Kuplat, reaalitalouden resurssien väärä kohdentuminen ja rahoitussektorin koko 1 Suomen Pankki uudistaa tutkimusorganisaationsa 2 Miten ennustaa Kiinan taloutta? 4 Tieteellisiä kokouksia ja seminaareja 6 Tuoreita Suomen Pankin tutkimusjulkaisuja 7
  • Virtanen, Timo; Tölö, Eero; Virén, Matti; Taipalus, Katja (2016)
    Bank of Finland Research Discussion Papers 27/2016
    Unit root methods have long been used in detection of financial bubbles in asset prices. The basic idea is that fundamental changes in the autocorrelation structure of relevant time series imply the presence of a rational price bubble. We provide cross-country evidence for performance of unit-root-based early warning systems in ex-ante prediction of financial crises in 15 EU countries over the past three decades. We then combine the identified early warning signals from multiple time series into a composite indicator. We also show that a mix of data with different frequencies may be useful in providing timely warning signals. Our results suggest and an early warning tool based on unit root methods provides be a valuable accessory in financial stability supervision.