Browsing by Subject "mittarit"

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  • Vuorenmaa, Tommi A. (2005)
    Bank of Finland Research Discussion Papers 27/2005
    This paper investigates the dependence of average stock market volatility on the timescale or on the time interval used to measure price changes, which dependence is often referred to as the scaling law.Scaling factor, on the other hand, refers to the elasticity of the volatility measure with respect to the timescale.This paper studies, in particular, whether the scaling factor differs from the one in a simple random walk model and whether it has remained stable over time.It also explores possible underlying reasons for the observed behaviour of volatility in terms of heterogeneity of stock market players and periodicity of intraday volatility.The data consist of volatility series of Nokia Oyj at the Helsinki Stock Exchange at five minute frequency over the period from January 4, 1999 to December 30, 2002.The paper uses wavelet methods to decompose stock market volatility at different timescales.Wavelet methods are particularly well motivated in the present context due to their superior ability to describe local properties of times series.The results are, in general, consistent with multiscaling in Finnish stock markets.Furthermore, the scaling factor and the long-memory parameters of the volatility series are not constant over time, nor consistent with a random walk model.Interestingly, the evidence also suggests that, for a significant part, the behaviour of volatility is accounted for by an intraday volatility cycle referred to as the New York effect. Long-memory features emerge more clearly in the data over the period around the burst of the IT bubble and may, consequently, be an indication of irrational exuberance on the part of investors. Key words: long-memory, scaling, stock market, volatility, wavelets JEL classification numbers: C14, C22
  • Loehmus, Uelle; Demekas, Dimitri G. (1998)
    IDÄNTALOUKSIEN KATSAUKSIA. REVIEW OF ECONOMIES IN TRANSITION 6/1998
    This paper reviews the theoretical methodology on economic indicators, and constructs an aggregate index of coincident economic indicators for Estonia.The index tracks economic activity fairly well for the sample period.The evolution of the index in the first eight months of this year suggests that the pace of economic expansion in Estonia is slowing down significantly: from a growth rate of 10.5 percent in the first eight months of 1997, to 6.0 percent in the same period of 1998.
  • Haajanen, Jyrki (2015)
    Euro & talous 2/2015
    Riskipainojen avulla määritellään, kuinka paljon pankilla täytyy vähintään olla omia varoja suhteessa luottojensa määrään, jotta pankki kykenee kattamaan niihin liittyvän luottotappioriskin. Pankin valitsemalla riskipainojen laskentamenetelmällä voi olla merkittävä vaikutus pääomavaatimuksiin ja viime kädessä luottojen hintaan. Asuntoluottojen riskipainolaskennan yhtenäistäminen tukisi pankkien tasavertaista kilpailua.
  • Lehto, Jaakko (2005)
    Bank of Finland. Financial market report 3
    The distance-to-default indicator is a measure of a company's default risk. The indicator, which captures market outlook, has generated interest in connection with private sector risk management as well as banks' stability analysis. The predictive properties of the indicator are enhanced by the fact that it is based on market prices of shares.
  • Lehto, Jaakko (2005)
    Suomen Pankki. Rahoitusmarkkinaraportti 3
    Distance-to-default indikaattori kuvaa yrityksen konkurssiriskiä. Tämä markkinanäkemvksen sisältävä indikaattori on herättänyt kiinnostusta niin yksityisen sektorin riskienhallinnassa kuin pankkien vakausanalyysissakin. Mittarin ennakoivaa ominaisuutta tukee sen pohjautuminen osakemarkkinahintoihin.
  • Sarlin, Peter; Ramsay, Bruce A. (2014)
    Bank of Finland Research Discussion Papers 11/2014
    This paper operationalizes early theoretical contributions of Hyman Minsky and applies these in the context of economic sectors and nations. Following the view of boom-bust asset cycles, depicted by the endogenous build-up of risks and their abrupt unraveling, Minsky highlighted the relationship between debt obligations and cash flows. While leverage is oftentimes linked to the vulnerability of a nation, and hence systemic risk, one less explored measure of leverage is the debt-to-cash flow ratio (Debt/CF). Cash flows certainly have a well-known, academically verified connection to the ability of corporations to service and repay corporate debt. This paper investigates whether the relationship between the flow of a nation's savings to its stock of total debt provides a means for understanding systemic risks. For a panel of 33 nations, we explore historic Debt/CF trends, as well as apply the same procedure to individual economic sectors. This assessment of systemic risk is arranged for presentation within a four-zone framework. In terms of an early-warning indicator, we show that the Debt/CF ratio e effectively stratifies systemic risks, and offers a useful platform toward macro-financial sustainability. Keywords: debt-to-cash flow, debt-to-gross saving, systemic risk, four-zone framework JEL codes: E210, F340, G010, H630
  • Melolinna, Marko (2010)
    Suomen Pankki. BoF online 4/2010
    Tuotantokuilu on tärkeä kansantaloustieteen käsite, jonka merkitys on viime aikoina korostunut erityisesti maailmantaloutta kohdanneen syvän taantuman johdosta. Tuotantokuilulla on myös olennaista merkitystä rahapolitiikan kannalta, koska se on keskeinen tulevia inflaatiopaineita kuvaava mittari. Tässä selvityksessä esitellään tuotantokuilun käsitettä ja esitetään yksinkertaisiin aikasarjamenetelmiin perustuvia tuotantokuilulaskelmia euroalueelta ja Suomesta. Samalla tarkastellaan tapoja tilastollisiin menetelmiin pohjautuvan potentiaalisen tuotannon laskemiseksi. Tarkoitus ei ole tehdä kattavia, talousteoreettisiin malleihin perustuvia laskelmia, vaan luoda yleiskuva alan käsitteisiin ja painottaa yksinkertaisia aikasarjamenetelmiä.
  • (2001)
    Euroopan keskuspankki. Kuukausikatsaus Heinäkuu
    EKP:n ensisijaisena tavoitteena on ylläpitää hintavakautta euroalueella.EKP:n neuvosto on määritellyt hinta-vakauden euroalueen yhdenmukaistetun kuluttajahintaindeksin (YKHI) alle 2 prosentin vuotuiseksi nousuk-si. Lisäksi neuvosto on ilmoittanut, että hintavakauden tavoitteeseen pyritään keskipitkällä aikavälillä. YKHI - euroalueella kulutettujen monien yksittäisten tavaroiden ja palveluiden hintojen painotettu keskiarvo - valittiin ilmaisemaan kvantitatiivisesti EKP:n ensisijaista tavoitetta, koska se on euroalueen yksityisten kotitalouksien ostamien kulutustavaroiden ja palveluiden korin hintaa tarkimmin kuvaava homogeeninen tunnusluku. YKHI-inflaatiovauhtiin tai ns.YKHIn kokonaisindeksiin vaikuttavat lyhyellä aikavälillä monet alakohtaiset häiriöt.Jos tällaiset häiriöt ovat merkittäviä, kuluttajahintojen pitkäaikaista kehitystä saattaa tilapäisesti olla vaikea havaita, mikä hankaloittaa kokonaisindeksilukujen tulkintaa. Koska tämä on yleistä kaikkien maiden kuluttajahintaindekseissä, on alettu kehittää sopivasti muutettuja indeksejä, joilla pyritään eliminoimaan satunnaiset tai alakohtaiset vaikutukset ja mittaamaan yleisiin trendeihin liittyvää ns. taustamuuttujaa.Vaikka EKP:n tavoite on yksiselitteisesti määritelty YKHIn kokonaisindeksin vuotuisen nousun perusteella, pohja-inflaation mittareista saattaa olla hyötyä pyrittäessä kartoittamaan ja kuvaamaan pitkän aikavälin hintakehitystä ja sitä, millaisia yleisen hintakehityksen dynamiikkaan vaikuttavat tekijät ovat luonteeltaan ja mistä ne johtuvat. Intuitiivisesti katsottuna pohjainflaatio on mielenkiintoinen, mutta se on käytännön sovelluksissa osoittautunut vaikeasti määriteltäväksi.Sitä on pyritty kuvaamaan monin vaihtoehtoisin menetelmin.Tässä artikkelissa tarkastellaan tiivistetysti eri lähestymistapojen ominaisuuksia ja esitellään joitakin indikaattoreita, joita euro-alueesta voidaan laskea.
  • Vauhkonen, Jukka (2005)
    Suomen Pankki. Rahoitusmarkkinaraportti 4
    Yrityslainojen ja osakkeiden kirjavuus vaikeuttaa näiden markkinoiden integraation etenemisen arviointia. Uusilla edistyneillä integraatiomittareilla pyritään vähentämään arvopapereiden heterogeenisuudesta aiheutuvia mittausongelmia
  • Ambrocio, Gene (2021)
    Applied Economics Letters 9
    I study the effects of expected and realized uncertainty on Euro area macroeconomic conditions. I use a range of expected and realized uncertainty measures including those based on survey forecasts and find that the effects of expected uncertainty vanish once realized uncertainty is accounted for when using financial or news media-based measures. On the other hand, shocks to a survey-based measure of expected uncertainty do appear to have dampening effects.
  • Kajanoja, Lauri (2012)
    Bank of Finland bulletin. Economic outlook 5
    Finland s competitiveness has weakened during the period of Economic and Monetary Union, if competitiveness is understood to mean the presence of conditions ensuring the economy s external balance. The profitability of output in the open sector has declined. Unit labour costs in manufacturing point to a more favourable performance, but differences in price developments across sectors essentially reduce the usefulness of this indicator as a measure of competitiveness.
  • Hasan, Iftekhar; Schmiedel, Heiko; Song, Liang (2010)
    Bank of Finland Research Discussion Papers 2/2010
    Published in Financial Review, Volume 47, Issue 3, August 2012: 469-499
    In recent years, demutualized stock exchanges have increasingly engaged in M&A and alliance activities. To shed light on this topic, we investigate short-run share price responses to the formation of 110 stock exchange M&As and alliances in the period 2000 2008. Our ?ndings show that the average stock-price responses to a stock-exchange M&A or alliance is positive. Stock exchange M&As create more value than alliances. For alliances, joint ventures generate more value than non-equity alliances. More value is created when the integration is horizontal and cross-border than when it is vertical and domestic. Evidence is also found for learning-by-doing effects in stock exchange integration activities. Finally, we find that the better the shareholder protection, accounting standards and degree of capital market development in the partnering exchange s country, the higher the merger and alliance premium. These patterns also obtain when we examine long-run performance measures such as the three-year buy-and-hold abnormal return, change in ROA (ROE), change in liquidity, and change in market capitalization of IPO between years t-2 and t+2.
  • Haajanen, Jyrki (2015)
    Bank of Finland. Bulletin 2/2015
    Risk weights help to establish each bank's minimum own funds relative to lending, ensuring the bank's ability to cover the related credit risk. The risk weight calculation method chosen by the bank may have a significant effect on capital requirements and ultimately on the price of credit. A harmonised calculation of housing loan risk weights would support fair competition between banks.
  • Horvath, Roman; Seidler, Jakub; Weill, Laurent (2013)
    BOFIT Discussion Papers 16/2013
    Published in Economic Modelling, Volume 52, Part A, January 2016, Pages 155–161. Special Issue on Recent Developments in Decision-Making, Monetary Policy and Financial Markets.
    This paper evaluates the effect of bank competition on liquidity creation by banks. Thus, we contribute to the literature on both bank competition and the determinants of liquidity creation by banks. To explore this relationship, we conduct dynamic GMM panel estimations on a dataset of Czech banks from 2002 to 2010. We find that enhanced competition reduces liquidity creation, a finding we observe under different specifications, including alternative measures of liquidity creation. We explain this finding in terms of the impact of increased bank competition on the financial fragility of banks, which leads banks to reduce their lending and deposit activities. The evidence suggests that pro-competitive policies in the banking industry can reduce liquidity provision by banks. JEL Codes: G21. Keywords: bank competition, liquidity creation.
  • Itkonen, Juha (2017)
    Bank of Finland. Bulletin 3/2017
    The impact of digitalisation is not fully reflected in economic statistics. Even though the commonly used economic metrics such as GDP are still relevant in assessing the state of the economy, the production of statistics should be developed to better measure the digital economy. Because of digitalisation, GDP may have understated output growth, even though measurement errors alone do not explain the exceptionally weak developments in recent years, nor do they eliminate the key challenges for the Finnish economy. Digital technology has, however, improved our well-being in ways that aredifficult to measure in money.
  • Leino, Topias; Ali-Yrkkö, Jyrki (2014)
    Bank of Finland Research Discussion Papers 12/2014
    We study Foreign Direct Investment (FDI) as a measure of real investment (gross fixed capital formation) in foreign-owned companies. Our data include firm-level information on FDI in-flows and real investment of foreign-owned companies located in Finland. Our results suggest that the recorded annual inflows of FDI do not constitute an accurate measure of annual real investments in foreign-owned companies. Since the beginning of the global recession in 2008, FDI inflows have significantly underestimated real investments in foreign companies in Finland. We seek to explain these findings by describing Finnish FDI target enterprises and subgroups and the nature of their FDI flows from several perspectives. We show how FDI target enterprises use other sources of funding, in addition to FDI, and how a few large transactions, often related to cross-border mergers and acquisitions, can explain a great deal of the recorded annual FDI flows. We also describe how Finland's FDI stock and flow data increasingly consist of funds that merely pass through the FDI enterprises and subgroups, arguably with little or no real economic linkage to the Finnish economy, and we present a method for estimating such pass-through funding. Keywords: Foreign Direct Investment, Gross Fixed Capital Formation, Investment, Measurement, Pass-through Investments JEL classification numbers: F210, F23, E220
  • Vauhkonen, Jukka (2005)
    Bank of Finland. Financial market report 4
    The heterogeneity of corporate bonds and equities complicates the assessment of integration of these markets. But new advanced integration indicators have reduced the assessment problems.
  • Kalatie, Simo; Laakkonen, Helinä; Tölö, Eero (2015)
    Bank of Finland Research Discussion Papers 8/2015
    Available also as 'Evaluating indicators for use in setting the countercyclical capital buffer' in International Journal of Central Banking, 14, 2, 2018: 51-112 http://urn.fi/URN:NBN:fi:bof-201803221385
    According to EU legislation, the national authorities should use the principle of 'guided discretion' in setting the countercyclical capital buffer (CCB), which increases banks' resilience against systemic risk associated with periods of excessive credit growth. This means that the decision should be based on signals from a pre-determined set of early warning indicators, but that there should also be room for discretion, as there is always uncertainty associated with the use of early warning indicators. The European Systemic Risk Board (ESRB) recommends that the authorities use the deviation of the credit-to-GDP ratio from its long term trend value (credit-to-GDP gap) as the primary indicator in setting the CCB. In addition, designated authorities should use in their decision making indicators that measure private sector credit developments and debt burden, overvaluation of property prices, external imbalances, mispricing of risk, and strength of bank balance sheets. Based on an empirical analysis of data on EU countries and a large assortment of potential indicators, we propose a set of suitable early warning indicators for each of these categories.
  • Méon, Pierre-Guillaume; Weill, Laurent (2008)
    BOFIT Discussion Papers 20/2008
    Published in World Development 38, 3, 244-259, 2010
    This paper tests whether corruption may act as an efficient grease for the wheels of an otherwise deficient institutional framework. We analyze the interaction between aggregate efficiency, corruption, and other dimensions of governance for a panel of 54 developed and developing countries. Using three measures of corruption and five measures of other aspects of governance, we observe that corruption is consistently detrimental in countries where institutions are effective, but that it may be positively associated with efficiency in countries where institutions are ineffective. We thus find evidence of the grease the wheels hypothesis. Keywords: governance, corruption, income, aggregate productivity, efficiency JEL Classification: C33, K4, O43, O47.
  • Suomen Pankki; Finanssivalvonta (2015)
    Suomen Pankin ja Finanssivalvonnan makrovakausraportin erillisraportti
    Tiivistelmä 3 1 Johdanto 4 1.1 Muuttuva lisäpääomavaatimus vahvistaa luottolaitosten riskinsietokykyä 4 1.2 Luottokanta/BKT-suhteen trendipoikkeama ensisijaisena riskimittarina 4 1.3 Päätöksenteko perustuu ohjattuun harkintaan 5 2 Luottokannan määrittely 6 2.1 Ensisijainen riskimittari lasketaan Suomessa käyttäen laajaa luottokantaa 6 2.2 Laajan luottokantakäsitteen käyttö perusteltua monesta syystä 7 2.3 Myös muita luotonannon riskimittareita tarvitaan 7 3 Eri luottokantamääritelmien mukaiset riskimittarit Suomen aineistolla 9 3.1 Luottokanta eri määritelmiä käyttäen 9 3.2 Luottokanta/BKT-suhde eri määritelmiä käyttäen 10 3.3 Luottokanta/BKT-suhteen trendipoikkeama eri määritelmiä käyttäen 10 4 Tilastorevisioiden vaikutus ensisijaisen riskimittariin 11 4.1 Tilastoja tarkistetaan takautuvasti 11 4.2 Suurimmat revisiot koskeneet yritysten luottokantaa 11 4.3 Revisioilla takautuvasti suuri vaikutus ensisijaisen riskimittarin arvoon 12