Browsing by Subject "makrotaloustiede"

Sort by: Order: Results:

Now showing items 1-20 of 39
  • 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.
  • Peura, Tapio (1989)
    Bank of Finland Research Discussion Papers 36/1989
    An earlier version of this Discussion Paper was published by the Kiel Institute ofi World Economics in May 1989 (Kiel Advanced Studies Working Paper No. 167).
    The seriousness of an external imbalance should be assessed with respect its macroeconomic connections and intertemporal nature. A current account deficit reflects differences in time of saving and investment decicions of the economic agents - the households, the companies and the publie sector - as well as the international dimensions of these decisions, made possible by liberalized capital markets. In principle, respect for intertemporal budget constraints, which bind economic units, will keep foreign indebtedness on an equilibrium path and ensure the solvency of the economy in the long term. Distor~ions relating to the functioning' of markets may, however, lead to sub-optimal consumption and investment decisions and disequilibrium. The rate of growth of foreign indebtedness should be kept within the'limits set by the solvency constraint of the economy, which depends on the real rate of interest on the foreign debt and on the growth rate of the economy.
  • Hukkinen, Juhana; Virén, Matti (1995)
    Suomen Pankin keskustelualoitteita 5/1995
    This paper contains a description of a small quarterly model for the Finnish economy model (formerly, the QMED model).In addition to the basic features of this macroeconomic model, we report results from some stochastic simulations which illustrate the model's properties.Thus, the role of uncertainty in both endogenous and exogenous variables is scrutinized.We also report some simulations in which we try assess the importance of various factors which (presumably) contributed to the economic depression in Finland in 1991-1994.
  • Tarkka, Juha; Willman, Alpo; Männistö, Hanna-Leena (1989)
    Bank of Finland Research Discussion Papers 9/1989
    This report describes the determination of private consumption and investment in the BOF4 model. The consumption function of the model is largely based on thepermanent income hypothesis. Relative prices and the level of aggregate consumption determine the shares of the three consumption subgroups included in the aggregate. The non-residential investment equations are derived from the capital owners' intertemporal profit maximization problem in accordance with the neoclassical investment theory. Modelling of residential investment is based on Tobin's approach and that of inventories on the buffer stock-accelerator approach. The properties of the equations are illustrated by means of tables of dynamic elasticities throughout the paper.
  • Mehrotra, Aaron (Edita Prima, 2006)
    Suomen Pankki. E 34
    This thesis consists of four essays in empirical macroeconomics. The first three essays examine the conduct of monetary policy during a disinflationary and deflationary era, with the policy interest rates close to or at the zero bound.The questions of interest include the potency of the interest rate channel, the stability of broad money demand, and the possibility to use the exchange rate channel in order to affect economic activity and the price level.We use time series econometrics techniques, mainly vector autoregressions, focusing on Japan.While we find that basic relationships between the variables appear unaltered by deflation, a further stimulative impact is difficult to implement once the zero bound is hit.This can be due to political reasons, as in the case of introducing a tax on currency in order to bring about negative interest rates, or because the needed stimulus is very big, as in the case of yen depreciation to increase the price level.The last essay focuses on the fiscal policy aspects of the European Union's most recent enlargement.We examine whether the fiscal austerity required by the Maastricht criteria and the Stability and Growth Pact would be harmful for the socio-economic development of the new Member States.Introducing an indicator for socio-economic development and utilizing instrumental variables regressions, we find that fiscal retrenchment, including a lower level of public debt, would be advantageous for development.A policy implication is to maintain the Stability and Growth Pact or an equivalent intergovernmental fiscal rule to curb public spending and debt. Keywords: deflation, disinflation, zero lower bound, broadly defined liquidity, socio-economic development, Stability and Growth Pact, EU enlargement
  • Tarkka, Juha; Willman, Alpo (1988)
    Bank of Finland Research Discussion Papers 3/1988
    Specification of the volume and price equation of Finlands multilateral exports of goods is based on the assumption that Finnish products enjoy only temporary monopoly power. In the context of the whole model this implies that the price of exports of goods as well as short-run marginal costs converge towards a level determined solely by competing foreign prices. The modelling of Finlands bilateral trade is based on the assumption that the value of bilateral exports adjusts to the value of bilateral imports, which, in turn, is determined by Finnish demand for imports from eastern markets. Modelling of the trade in services and imports, excluding imports of oil, fuels and lubricants, is quite conventional: the volume of exports of services and the volumes of imports depend on relevant relative price and activity variables. The modelling of imports of crude oil, fuel and lubricants is based on the assumption that imports of energy are a residual determined by the demand for and the domestic supply of energy.
  • Tarkka, Juha; Willman, Alpo (1990)
    Bank of Finland Research Discussion Papers 1/1990
    This paper describes the modelling of financial markets and the balance of payments in BOF4, a quarterly macroeconomic model developed by the Bank of Finland. The short-term interest rate is determined as a result of the interaction of the demand for money and money supply, as in the conventional IS-LM approach. Alternatively, the model may be solved under the assumption that monetary policy is based on pegging interest rates. In that case, the domestic credit of the Central Bank is the equilibrating variable.
  • Crowley, Patrick M.; Hudgins, David (2014)
    Bank of Finland Research Discussion Papers 32/2014
    Published in Economic Modelling. Volume 51, December 2015, Pages 502–514
    In this paper discrete wavelet filtering techniques are applied to decompose macroeconomic data so that they can be simultaneously analyzed in both the time and frequency domains. The MODWT (Maximal Overlap Discrete Wavelet Transform) is applied to U.S. quarterly GDP data from 1947–2012 to obtain the underlying cyclical structure of the GDP components. A MATLAB program is then used to design optimal fiscal policy within a LQ-tracking model with wavelet decomposition, and the results are compared with an aggregate model with no frequency decomposition. The results show that fiscal policy is more active under the wavelet-based model, and that the consumption and investment trajectories under the aggregate model are misaligned. We also simulate FHEC (Frequency Harmonizing Emphasis Control) strategies that allow policymakers to concentrate the policy thrust on tracking frequencies that are optimally aligned with policy goals under different targeting priorities. These strategies are only available by using time-frequency analysis. This research is the first to construct fiscal policy in an applied optimal control model on the short and cyclical lag structures obtained from wavelet analysis. Our wavelet-based optimal control procedure allows the policymaker to construct a pragmatic tracking policy, avoid suboptimal policies gleaned from an aggregate model, and reduce the potential for destabilization that might otherwise result due to improper thrust and timing. Keywords: LQ tracking, macroeconomics, optimal control, discrete wavelet analysis, fiscal policy
  • Junttila, Juha (2002)
    Suomen Pankin keskustelualoitteita; Bank of Finland. Discussion papers 2/2002
    Using recently developed modelling methodology of Economic Tracking Portfolios (ETP), we find that it is possible to forecast future values of inflation and changes in industrial production in the United States and at least three core euro countries - Italy, France and Germany - utilising only current and past financial market information.The longer the forecasting horizon, the better the forecasts based solely on financial market information compared to results from other methods.Of the analysed countries, the overall forecasting performance of the tracking portfolios is the best for the United States, and the method employed here clearly outperforms the forecasting performance of a more traditional VAR approach. Key words: financial markets, forecasting, macroeconomy, euro area, USA
  • Tarkka, Juha; Willman, Alpo (1990)
    Bank of Finland Research Discussion Papers 7/1990
    This paper describes how income distribution and government finances are modelled i n BOF4, a quarterly econometric model of the Bank of Finland. The equations eomprising the ineome distribution and government finanees bloek in the model eonsist of tax equations, behavioural equations for the local government sector and a large number of accounting identities linking produetion and prices to incomes ofhouseholds and other seetors of the economy.
  • Hirvonen, Juhani (1971)
    Suomen Pankki. D 27
    Tämän tutkimuksen tarkoituksena on kokeilla vuosiaineistoon perustuvan yksinkertaisen kansainvälisen talouden ekonometrisen simultaanimallin muodostamista ja estimointia.
  • Aurikko, Esko (1988)
    Bank of Finland Research Discussion Papers 1/1988
    Tässä tutkimuksessa tarkastellaan sekä teoreettisesti että empiirisesti koron ja/tai valuuttakurssin jouston suotavuutta talouden eristämiseksi erilaisilta häiriöiltä. Kurssisopeutumisen tarve riippuu ratkaisevasti eräistä talouden keskeisistä rakennepiirteistä sekä häiriöiden luonteesta. BOF4-mallilla tehtyjen simulointien mukaan millään politiikkayhdistelmäll,ä ei voida täydellisesti eristää kotimaista hintatasoa tai tuotantoa. optimaalisen politiikan valinta riippuu siten häiriöstä ja aikavälistä.
  • Tarkka, Juha; Willman, Alpo; Rasi, Chris-Marie (1989)
    Bank of Finland Research Discussion Papers 6/1989
    This paper describes the supply of labour and the determination of wages and prices in the BOF4 model. Labour supply is modelled as a function of real wage, income and discouraged worker effects. Wages are a functi on of the unemployment rate. Besides that they respond to the deviation of actual wages from equilibrium wages dictated by nominal marginal productivity. Expected inflation and taxation are entered through the separate treatment of negotiated wages. Manufacturing is assumed to be the wage leader in the economy so that developments in other sectors are affected by the wage drift in manufacturing and are tied to manufacturing wages also in the long-run.
  • Evans, George W.; Honkapohja, Seppo (2011)
    Bank of Finland Research Discussion Papers 8/2011
    Expectations play a central role in modern macroeconomics. The econometric learning approach, in line with the cognitive consistency principle, models agents as forming expectations by estimating and updating subjective forecasting models in real time. This approach provides a stability test for RE equilibria and a selection criterion in models with multiple equilibria. Further features of learning such as discounting of older data, use of misspecified models or heterogeneous choice by agents between competing models generate novel learning dynamics. Empirical applications are reviewed and the roles of the planning horizon and structural knowledge are discussed. We develop several applications of learning with relevance to macroeconomic policy: the scope of Ricardian equivalence, appropriate specification of interest-rate rules, implementation of price-level targeting to achieve learning stability of the optimal RE equilibrium and whether, under learning, price-level targeting can rule out the deflation trap at the zero lower bound.
  • Tarkka, Juha; Männistö, Hanna-Leena; Willman, Alpo (1990)
    Bank of Finland Research Discussion Papers 2/1990
    This paper describes the structure and simulation properties of the Bank of Finland's macroeconometric model BOF4. BOF4 is a quarterly, medium-sized macro model of the Finnish economy, consisting of about 70 behavioural equations. Including accounting identities and technical linkages of variables, the overall size of the model is about 270 equations. It replaced the previous (BOF3) model version in 1987, and has been used regularly thereafter for forecasting and policy analysis.
  • Sarajevs, Vadims (1999)
    BOFIT Discussion Papers 7/1999
    Published in Ekonomia vol 4, no 2 (2000), pp. 192-219
    An integrated stochastic macroeconomic model of transition economy at the early stage of reforms with optimising representative risk averse agents is constructed.The equilibrium growth rate of the economy, real asset returns, domestic money demand, and expected inflation rate are determined as functions of the exogenous risks in the economy.The main issue addressed are: domestic money demand, currency substitution ratio, expected rate of inflation, real asset returns, the equilibrium growth rate of the economy as well as government ability to control these variables.Analysis of the model finds that the equilibrium growth rate of the economy is not independent on the monetary and fiscal policies but can be affected by the government through its ability to fix the real cost of capital for the firm, expenditure and monetary policy parameters. JEL Classification Numbers: D80, D90, E41, E44, E52, F41, O11, O23
  • 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.
  • Bask, Mikael (2007)
    Suomen Pankin keskustelualoitteita 24/2007
    This study shows that an expectations-based optimal policy rule has desirable properties in a standard macroeconomic model incorporating a cost channel for monetary disturbances and inflation rate expectations that are partly backward-looking. Specifically, optimal monetary policy under commitment is associated with a determinate REE that is stable under learning, whereas, under discretion, the central bank has to be sufficiently inflation averse for the equilibrium to have these properties. Keywords: commitment, determinacy, discretion, expectations-based rule, least squares learning JEL classification numbers: E52, E61
  • 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.