Browsing by Subject "rahamarkkinat"

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  • 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.
  • Tudeer, A. E. (1929)
    Bank of Finland. Monthly Bulletin 9 ; 1 ; January
  • Tudeer, A. E. (1930)
    Bank of Finland. Monthly Bulletin 10 ; 1 ; January
  • Tudeer, A. E. (1931)
    Bank of Finland. Monthly Bulletin 11 ; 1 ; January
  • Toivanen, Mervi (2013)
    Bank of Finland. Financial market report 2
    A research paper on contagion in the interbank money market shows that in 2010 contagion negatively affected 40% of European banks on average. A bank's central position in the interbank network is particularly important in explaining the level of contagion, while a bank's size is a considerably less significant explanatory factor.
  • Sokolov, Vladimir (2010)
    BOFIT Discussion Papers 7/2010
    Published in Review of International Economics, 2012, Vol. 20, No. 4, Pages 707–722
    This paper examines the impacts of the 2005 shift in Russian exchange rate policies from single-currency to bi-currency basket targeting on domestic interest rates and sovereign risk premium dynamics. The policy shift disconnected domestic interest rates from US dollar-denominated interest rates, replacing them with a growing positive relationship with the dual-currency basket (USD-EUR) adopted by the Central Bank of Russia, as well as a synthetic interest rate composed of the US dollar LIBOR and the euro LIBOR. The paper also considers the insulating properties of Russian basket targeting policies during the recent global liquidity crisis. I present evidence that the Russian MosIBOR rate was negatively related to the US dollar LIBOR rate and positively related to the synthetic USD-EUR rate during the "decoupling" stage of the crisis. Even with the steep quantitative easing of the US Fed during this period, the finding suggests the Russian money market was more in sync with ! the monetary policies of the euro area. The central conclusion here is that, in conditions of managed floating exchange rate policies and liberalized capital accounts, the relationship between a country's domestic interest rates and their foreign counterparts depends on the de facto operating target of the central bank of this country, whether it is a single currency or a basket. JEL classification: F31, F33 Keywords: exchange rate policy; basket targeting; sovereign CDS; decoupling
  • Välimäki, Tuomas (2002)
    Suomen Pankin keskustelualoitteita; Bank of Finland. Discussion papers 1/2002
    This paper presents a model of the optimal bidding behaviour of a single bank in the context of fixed rate liquidity tenders.Banks' bidding is shown to depend crucially on the central bank's liquidity policy as regards tender allotments.The paper also analyses ECB liquidity policy in terms of the model.The ECB, while applying fixed rate tenders, appears to have been attempting stabilise the market interest rate at a level close to the main refinancing rate.However, this aim was at least partially overridden by that of stabilising total money market liquidity over the course of the reserve maintenance period - even more so when banks were expecting the ECB to raise the main refinancing rate in the near future.The banks' aggregate bids increased considerably during the period of fixed rate tenders.This was seen to result mainly from profit opportunities associated with a positive spread between market interest rate and main refinancing rate.The positive spread resulted from the combination of expectations of an interest rate hike and liquidity-oriented allotment policy.Key words: bidding, money market tenders, liquidity policy, central bank operating framework
  • Pylkkönen, Pertti (2013)
    Bank of Finland. Financial market report 2
    The level of capital in investment funds registered in Finland has continued to grow. Plans call for European regulation of money market funds to be tightened in order to mitigate the threat of systemic risk to the markets associated with money market funds.
  • Ollikka, Kimmo; Tukiainen, Janne (2013)
    Bank of Finland Research Discussion Papers 21/2013
    We study whether the mechanism design in the central bank liquidity auctions matters for the interbank money market interest rate levels and volatility. Furthermore, we compare different mechanisms to sell liquidity in terms of revenue, efficiency and auction stage interest rate levels and volatility. Most importantly, we ask which mechanism is the best at implementing the target policy interest rates to the interbank market and what are the trade-offs involved. We construct a relatively general model of strategic bidding with interdependent valuations, and combine it with a stylized model of the interbank market. The novel feature of the model is that the expectations of the interbank market outcomes determine the valuations in the liquidity auctions. The model captures the relevant features of how the European Central Bank sells liquidity. We use simulations to compare discriminatory price, uniform price and Vickrey auctions to a posted price mechanism with full allotment. In order to analyze interactions between the primary and the secondary market under four different mechanisms, we need to make a lot of assumptions and simplifications. Given this caveat, we find that posted prices with full allotment is clearly the superior alternative in terms of implementing the policy interest rate to the interbank markets. This comes at the cost of less revenue compared to the revenue maximizing discriminatory price auction, but surprisingly, will not result in efficiency losses compared even to the Vickrey auction. Keywords: ECB liquidity auctions, Interbank markets, Mechanism design, Multi-unit auctions, Monetary policy, Posted-Prices. JEL: C63, C72, D02, D44, D47, D53, E43, E44, E52, E58, G21.
  • Välimäki, Tuomas (2003)
    Suomen Pankki. E 26
    Most OECD central banks implement monetary policy by supplying reserves to the banking sector with the aim of influencing short-term interbank interest rates.To interpret the monetary policy stance accurately, one needs to be familiar with the mechanism for determining the money market equilibrium.The aim of this study is to deepen our understanding of the various effects of different intervention styles on the short-term money market when monetary policy is implemented with an operational framework similar to that of the European Central Bank (ECB).In the first essay of this study, we model banks' demand for central bank reserves (liquidity) for each day of an n-day reserve maintenance period and analyse liquidity determination under alternative liquidity policy rules that a central bank might apply in fixed rate tenders.It is shown that there is a tradeoff between the central bank's ability to keep a market interest rate close to the tender rate and the stability of liquidity holdings within a maintenance period.The second essay presents a model of a single bank's optimal bidding in the context of fixed rate liquidity tenders.It is shown that banks' bidding crucially depends on the central bank's liquidity policy for tender allotments. This essay also analyses ECB liquidity policy in terms of the model.The final essay models the money market equilibrium and analyses Banks' bidding when the central bank uses variable rate tenders.The liquidity supply is fully endogenised by having the central bank minimise a loss function the includes deviations-from-target of interest rate and liquidity.ECB experiences with variable rate tenders are also studied in this essay. Key words: central bank operational framework, short-term interest rates, money markets, tenders, liquidity policy, bidding.
  • Toivanen, Mervi (2013)
    Bank of Finland Research Discussion Papers 19/2013
    This paper analyses the importance of individual bank-specific factors on financial stability. First, we use a novel method to model the spreading of the contagion in the interbank network by implementing an epidemiologic model. Actual data on European banks is exploited with simulated scale-free networks. The average contagion affected 70% and 40% of European banks' total assets in 2007 and in 2010, respectively. Country-level results suggest that French, British, German and Spanish banks are the most contagious ones, whereas banks from Ireland, Greece and Portugal induce only limited negative effects. Secondly, cross-sectional panel estimations are performed to disentangle the leading indicators influencing the level of contagion. Bank clustering, large in-coming interbank loans and bank reputation are more prominent explanatory variables than the size or leverage. Finally, central banks' interventions reduce contagion only slightly. Keywords: contagion, banks, Europe, interbank, epidemiology, panel regression JEL codes: G01, G21, C15
  • Nyberg, Peter; Vaihekoski, Mika (2011)
    Bank of Finland Research Discussion Papers 14/2011
    This paper gathers the longest available historical monthly return series for the Finnish equity, bond and money markets as well as inflation. The series are analysed to calculate the statistical characteristics of the returns investors would have received in these markets. We also survey existing literature concerning the history of these markets and review the main developments to facilitate future research on the long-term development of the Finnish markets. Using a new total return stock market index for Finland in an approach similar to Mehra and Prescott (2003), we find the equity premium for Finland to be 10.14 per cent from 1913 to 2009.
  • Hellqvist, Matti; Laine, Tatu (2012)
    Suomen Pankki. E 45
    Chapter 1 Matti Hellqvist - Tatu Laine Introduction 9 Chapter 2 Klaus Abbink - Ronald Bosman - Ronald Heijmans - Frans van Winden Disruptions in large value payment systems: An experimental approach 15 Chapter 3 Edward Denbee - Rodney Garratt - Peter Zimmerman Methods for evaluating liquidity provision in real-time gross settlement payment systems 53 Chapter 4 Ronald Heijmans - Richard Heuver Is this bank ill? The diagnosis of doctor TARGET2 77 Chapter 5 Tatu Laine - Tuomas Nummelin - Heli Snellman Combining liquidity usage and interest rates on overnight loans: an oversight indicator 119 Chapter 6 Ronald Heijmans - Richard Heuver - Daniëlle Walraven Monitoring the unsecured interbank money market using TARGET2 data 135 Chapter 7 Luca Arciero Evaluating the impact of shocks to the supply of overnight unsecured money market funds on the TARGET2- Banca d'Italia functioning: a simulation study 169 Chapter 8 Ashwin Clarke - Jennifer Hancock Participant operational disruptions: the impact of system design 193 Chapter 9 Horatiu Lovin Systemically important participants in the ReGIS payment system 219 Chapter 10 Marc Pröpper - Iman van Lelyveld - Ronald Heijmans Network dynamics of TOP payments 235 Chapter 11 Carlos León - Clara Machado - Freddy Cepeda - Miguel Sarmiento Systemic risk in large value payments systems in Colombia: a network topology and payments simulation approach 267 Chapter 12 Horatiu Lovin - Andra Pineta Operational risk in ReGIS - a systemically important payment system 315 Chapter 13 Robert Oleschak - Thomas Nellen Does SIC need a heart pacemaker? 341 Chapter 14 Robert Arculus - Jennifer Hancock - Greg Moran The impact of payment system design on tiering incentives 379 Chapter 15 Martin Diehl - Uwe Schollmeyer Liquidity-saving mechanisms: quantifying the benefits in TARGET2 411 Chapter 16 Biliana Alexandrova-Kabadjova - Francisco Solís-Robleda The Mexican experience in how the settlement of large payments is performed in the presence of high volume of small payments 431
  • Tölö, Eero; Jokivuolle, Esa; Virén, Matti (2017)
    Journal of Financial Intermediation July
    We construct a measure of a bank's relative creditworthiness from the Eurosystem's proprietary inter-bank loan data: average overnight borrowing rate relative to an overnight rate index (AOR). We then investigate the dynamic relationship between AOR and the credit default swap price relative to the corresponding market index of 60 banks during 2008–2013. Price discovery mainly takes place in the CDS market, but AOR also contributes to it. The lagged daily changes of AOR help predict CDS. This indicates that AOR includes private information, which the CDS market does not immediately incorporate. We further show that the private information advantage is concentrated on days of market stress and on banks, which mainly borrow from relationship lender banks. Such borrower banks are typically smaller, have weaker ratings, and are likely to reside in crisis countries. Competent authorities can use AOR as a complementary indicator of banks’ concurrent health.
  • 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.
  • Lähdemäki, Jukka (2020)
    Euro & talous. Blogi
    Paljonko maksaa rahan tallettaminen yhdeksi yöksi rahan tukkumarkkinoilla? Vastauksen kysymykseen antaa uusi €STR-korko. €STR (Euro short term rate) on Euroopan keskuspankin hallinnoima ja julkaisema viitekorko, joka kertoo millä korolla rahoitusmarkkinoiden toimijat tekevät keskimäärin vakuudettomia yön yli -talletuksia pankkeihin. Se on siis ikään kuin yhden yön pituisten lainojen euribor. Euriborien tapaan myös €STR on tärkeä viitekorko johdannaismarkkinoille.
  • Niskanen, Mikko; Vesala, Jukka (1996)
    Euroopan talous- ja rahaliitto yhtenäistäisi osallistuvien maiden rahoitusmarkkinoita entisestään ja kiristäisi siten kilpailua.Nopeimmin EMU vaikuttaisi rahoituksen tukkumarkkinoilla.Maksu- ja selviysjärjestelmien ja kaupankäyntitapojen yhtenäisyttyä voitaisiin puhua yleiseurooppalaisista arvopaperimarkkinoista. Rahoituspalvelujen tarjoajista suurimpaan sopeutumispaineeseen joutuisivat pankit.
  • Arukaevu, Riia (1997)
    Operating since 1993, Estonia's budding money market today boasts a fairly sophisticated interbank money market.Its non-interbank money market also continues to develop rapidly; in coming years short-term money flows between enterprises will increase as Estonia's enterprise sector grows.Estonia's money market is tiny in comparison to major money markets, and standard instruments such as T-bills are not used at all.Even so, Estonia's money market is, by far, the most developed in the Baltic region.Given the present high growth in Estonian banking and industry, turnover in the Estonian money market can well be expected to grow and further integrate itself with global money markets. Keywords:Money market, Estonia
  • Bank of Finland (2017)
    Bank of Finland. Bulletin 1/2017
    Regulation, risk awareness following the financial crisis, and an accommodative monetary policy have in recent years brought changes to the euro area money markets. Trading has changed from uncollateralised to collateralised lending, and the differences in interest rates between different instruments have grown. Changes in monetary policy interest rates affect market interest rates via the money markets, and therefore the central banks in the Eurosystem closely follow the developments of the money markets.
  • Lahdenperä, Harri (2006)
    Euron käyttöönoton myötä syntyivät koko euroalueen kattavat yhteiset rahamarkkinat, joilla rahoituslaitokset, institutionaaliset sijoittajat, suuryritykset ja julkisyhteisöt voivat tehokkaasti hallita maksuvalmiuttaan ja korkoriskejään. Euroajan alkuvaiheessa eurorahamarkkinoiden painopiste oli pankkien välisillä tukkutalletusmarkkinoilla, joille on myös kehittynyt laajat johdannaismarkkinat.Sittemmin markkinoiden kasvu on keskittynyt vakuudellisiin repo-markkinoihin, joiden kehitystä on tukenut viime vuosien nopea tuotekehitys.Myös kaupankäynti lyhyillä eurorahamarkkinapapereilla on vauhdittumassa, kun niille on vastikään luotu aiempaa yhtenäisempi ja läpinäkyvämpi markkinaympäristö.