Browsing by Subject "rahoitussyklit"

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  • Juselius, Mikael; Borio, Claudio; Disyatat, Piti; Drehmann, Mathias (2016)
    Bank of Finland Research Discussion Papers 24/2016
    Published in International Journal of Central Banking, 13, 3, September 2017: 55-89 http://www.ijcb.org/journal/ijcb17q3a2.htm
    Do the prevailing unusually and persistently low real interest rates reflect a decline in the natural rate of interest as commonly thought? We argue that this is only part of the story. The critical role of financial factors in influencing medium-term economic fluctuations must also be taken into account. Doing so for the United States yields estimates of the natural rate that are higher and, at least since 2000, decline by less. As a result, policy rates have been persistently and systematically below this measure. Moreover, we find that monetary policy, through the financial cycle, has a long-lasting impact on output and, by implication, on real interest rates. Therefore, a narrative that attributes the decline in real rates primarily to an exogenous fall in the natural rate is incomplete. The influence of monetary and financial factors should not be ignored. Exploiting these results, an illustrative counterfactual experiment suggests that a monetary policy rule that takes financial developments systematically into account during both good and bad times could help dampen the financial cycle, leading to higher output even in the long run.
  • Juselius, Mikael; Borio, Claudio; Disyatat, Piti; Drehmann, Mathias (2017)
    International Journal of Central Banking 4 ; September
    Published in Bank of Finland Research Discussion Papers 24/2016.
    Do the prevailing unusually and persistently low real interest rates reflect a decline in the natural rate of interest as commonly thought? We argue that this is only part of the story. The critical role of financial factors in influencing mediumterm economic fluctuations must also be taken into account. Doing so for the United States yields estimates of the natural rate that are higher and, at least since 2000, decline by less. An illustrative counterfactual experiment suggests that a monetary policy rule that takes financial developments systematically into account during both good and bad times could help dampen the financial cycle, leading to significant output gains and little change in inflation.
  • Verona, Fabio (2017)
    Bank of Finland Research Discussion Papers 26/2017
    Pulished in Oxford Bulletin of Economics and Statistics as "Investment, Tobin’s Q, and cash flow across time and frequencies" 2019 ; 82 ; 2 ; 331-346 ; https://doi.org/10.1111/obes.12321
    The empirical performance of the Q theory of investment can be significantly improved by simultaneously considering the time- and the frequency-varying features of the investment-Q relationship. Using continuous wavelet tools, I assess the investment-Q sensitivity at different frequencies and its evolution over time, as well as the interaction of the financial cycle with the Q theory. The results show that there is a positive, stable medium-to-long-run relationship between investment and Q that begins after a positive, stable long-run relationship between credit and Q materializes. In such case, credit leads and slowly fuels the stock price boom.
  • Caggiano, Giovanni; Castelnuovo, Efrem; Kima, Richard (2020)
    Bank of Finland Research Discussion Papers 11/2020
    We estimate a three-variate VAR using proxies of global financial uncertainty, the global financial cycle, and world industrial production to simulate the effects of the jump in financial uncertainty observed in correspondence of the Covid-19 outbreak. We predict the cumulative loss in world output one year after the uncertainty shock due to Covid-19 to be about 14%.