Browsing by Subject "valuuttamarkkinat"

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  • Bask, Mikael (2006)
    Bank of Finland Research Discussion Papers 6/2006
    Published in International Journal of Finance and Economics, Volume 14, Issue 1, January 2009: 64-84
    The aim of this paper is to analyse the announcement effects on exchange rate movements using the basic asset pricing model, where currency trade is partly determined by technical trading in the form of moving averages since it is the most commonly used technique according to questionnaire surveys.Specifically, the announcement and implementation of temporary as well as permanent monetary policy are analysed, where the exchange rate model developed is summarised in a linear difference equation in current exogenous fundamentals, a large number of lags of the endogenous exchange rate and time-t dating of exchange rate expectations. However, since there are a large number of rational expectations equilibria, continuity is proposed as a selection criterion among the equilibria, meaning that the parameter for the time-t - 1 exchange rate should have the limit 0 when there is no technical trading to have an economically meaningful equilibrium.It turns out that there is a unique rational expectations equilibrium that satisfy the continuity criterion, and focusing on this equilibrium, it is shown that the exchange rate is much more sensitive to changes in money supply than when technical trading is absent in currency trade.This result is important since it sheds light on the so-called exchange rate disconnect puzzle in international finance.Key words: asset pricing, exchange rate disconnect puzzle, heterogeneous agents, least squares learnability, monetary policy and technical trading. JEL classification numbers: E51, E52, F31, G12
  • Hietalahti, Jorma; Solttila, Heikki (1986)
    Bank of Finland. Monthly Bulletin 60 ; 10 ; October
  • Kariluoto, Jarmo (2005)
    Bank of Finland. Financial market report 2
    Turnover in the global foreign exchange and derivatives markets increased considerably in 2001 2004. The amounts outstanding of global derivatives contracts also grew substantially with the increase in trading. Finland's share of the global market remained small.
  • Wang, Yi David (2012)
    BOFIT Discussion Papers 28/2012
    Published in Journal of Banking and Finance, Volume 50, January 01, 2015, Pages 616-631.
    In contrast to the well established markets such as the dollar-euro market, recent CIP deviations observed in the onshore dollar-RMB forward market were primarily caused by con-version restrictions in the spot market rather than by changes in credit risk and/or liquidity constraint. This paper proposes a theoretical framework by which the Chinese authorities impose conversion restrictions in the spot market in an attempt to achieve capital flow balance, but face the tradeoff between achieving such balance and disturbing current account transactions. Consequently, the level of conversion restriction should increase with the amount of capital account transactions and decrease with the amount of current account transactions. Such conversion restriction in turn places a binding constraint on forward traders' ability to cover their forward positions, resulting in the observed CIP deviation. More particularly, the model predicts that the onshore forward rate will equal a weighted average of the CIP-implied forward rate and the market's expectation of the future spot rate, were the weighting is determined by the level of conversion restriction. As a secondary result, the model also implies that offshore non-deliverable forwards reflect the market's expectation of the future spot rate. Our empirical results are consistent with these predictions. Keywords: forward foreign exchange, China, convertibility JEL: F30, F31, F33.
  • Ikonen, Vappu (2021)
    Euro & talous. Blogi
    Suomen Pankki harjoitti valuutansäännöstelyä heinäkuusta 1918 lokakuun loppupuolelle 1920 asti. Kansainvälisessä Brysselin konferenssissa syksyllä 1920 pyrittiin hahmottelemaan suuntaviivoja uuden raha- ja talousjärjestelmän rakentamiseksi. Yksi suositus oli valuutansäännöstelystä luopuminen, minkä Suomi siis toteutti heti konferenssin jälkeen. Tavoitteena oli voimakkaasti devalvoituneen markan arvon vakauttaminen. Voimaan jäi kuitenkin määräys, jonka mukaan valuuttakauppa oli sallittu vain luvan saaneille pankeille ja pankkiiriliikkeille. Suomen Pankki tuki markkaa myös pienillä valuuttainterventioilla.
  • Korhonen, Tapio (2006)
    EURO & TALOUS 2
    Euro on vakiinnuttanut asemansa dollarin jälkeen toiseksi tärkeimpänä valuuttana maailman valuuttamarkkinoilla.Eurolla on keskeinen asema yhä lähinnä vain euroalueen lähiympäristössä.
  • Nyberg, Peter (1987)
    Bank of Finland. Monthly Bulletin 61 ; 8 ; August
  • Feldkircher, Martin; Horvath, Roman; Rusnak, Marek (2013)
    BOFIT Discussion Papers 11/2013
    Published in Journal of International Money and Finance, Volume 40, February 2014, Pages 21–41
    In this paper, we examine whether pre-crisis leading indicators help explain pressures on the exchange rate (and its volatility) during the global financial crisis. We use a unique data set that covers 149 countries and 58 indicators, and estimation techniques that are robust to model uncertainty. Our results are threefold: First and foremost, we find that price stability plays a pivotal role as a determinant of exchange rate pressures. More specifically, the currencies of countries that experienced higher inflation prior to the crisis tend to be more affected in times of stress. Second, we investigate potential effects that vary with the level of pre-crisis inflation. In this vein, our results reveal that domestic savings reduce the severity of pressures in countries that experienced a low-inflation environment prior to the crisis. Finally, we find evidence of the mitigating effects of international reserves on the volatility of exchange rate pressures. Keywords: Exchange market pressures, financial crisis JEL Codes: F31, F37
  • Bask, Mikael (2006)
    Bank of Finland Research Discussion Papers 8/2006
    Published in Frontiers in Finance and Economics (forthcoming)
    Since the magnitude of exchange rate overshooting may not be the same for different exchange rates of a currency, a monetary expansion or contraction in, for example, the EMU, will affect the exchange rate between the U.S. dollar and the yen, even though there are no changes in monetary fundamentals in the U.S. or Japan. This fact is demonstrated in a sticky-price monetary model due originally to Dornbusch (1976) that is enlarged with currency traders that use Chartism in the form of moving averages.It is also demonstrated that purchasing power parity (PPP) does not necessarily hold in long-run equilibrium.These results are interesting since, according to the empirical literature, there are often large movements in nominal exchange rates that are apparently unexplained by macroeconomic fundamentals, and there is also a weak support for PPP.Key words: Chartism, foreign exchange, macroeconomic fundamentals, moving averages, overshooting and PPP JEL classification numbers: F31, F41
  • Laakkonen, Helinä (2007)
    Bank of Finland Research Discussion Papers 23/2007
    Published in Quantitative Finance, Volume 14, Issue 12, 13 December 2014: 2093-2104
    Filtering intraday seasonality in volatility is crucial for using high frequency data in econometric analysis. This paper studies the effects of filtering on statistical inference concerning the impact of news on exchange rate volatility. The properties of different methods are studied using a 5-minute frequency USD/EUR data set and simulated returns. The simulation results suggest that all the methods tend to produce downward-biased estimates of news coefficients, some more than others. The study supports the Flexible Fourier Form method as the best for seasonality filtering. Keywords: high-frequency, volatility, macro announcements, seasonality JEL classification numbers: C22, C49, C52, E44
  • Berganza, Juan Carlos; Broto, Carmen (2011)
    BOFIT Discussion Papers 9/2011
    Published in Journal of International Money and Finance, Volume 31, Issue 2, March 2012, Pages 428-444
    Emerging economies with inflation targets (IT) face a dilemma between fulflling the theoretical conditions of "strict IT", which implies a fully flexible exchange rate, or applying a "flexible IT", which entails a de facto managed floating exchange rate with forex interventions to moderate exchange rate volatility. Using a panel data model for 37 countries we find that, although IT lead to higher exchange rate instability than alternative regimes, forex interventions in some IT countries have been more effective in reducing volatility than in non-IT countries, which may justify the use of "flexible IT" by policymakers. Keywords: Inflation targeting; Exchange rate volatility; Foreign exchange interventions; Emerging economies. JEL codes: E31; E42; E52; E58; F31
  • Nordman, Tom (1980)
    Bank of Finland. Monthly Bulletin 54 ; 4 ; April
  • Korhonen, Tapio (2010)
    Bank of Finland. Bulletin 2
    The Bank of Finland s monetary policy operating environment changed fundamentally in the final decades of the 20th century. In the post-war period, many areas of the economy were strongly regulated, both in Finland and across Europe in general. Control was particularly tight in the financial and exchange markets. In some countries, however, market liberalisation had already made considerable progress by the 1970s. The liberalisation of western European markets was completed in the 1980s. Both the rationale and the ability to regulate nationally were slowly crumbling. Confidence in the ability to regulate and in the benefits of regulation was fading, and, at the same time, doubts over the stability of free markets were receding. This change was due particularly to the globalisation of the economy and preparations for European Economic and Monetary Union (EMU). In the final decade of the 20th century, the political economy of Europe underwent deep changes. In the early 1990s, the state-run economies of Eastern Europe collapsed and the communist countries moved to a market economy, partly through a transition bordering on chaos. Meanwhile Western Europe was becoming integrated, and in 1999 eleven countries established EMU. These changes had a particularly strong impact on the Finnish economy and financial markets. The early 1990s were characterised by an unexpected and exceptionally deep recession by European standards. This was, however, followed by a fairly strong recovery towards the end of the decade, and Finland could prepare for EMU membership in an environment of economic stability.
  • Bask, Mikael; Fidrmuc, Jarko (2006)
    Bank of Finland Research Discussion Papers 10/2006
    Published in Open Economies Review, Volume 20, Issue 5, November 2009, Pages 589-605
    We present a model of exchange rates, which incorporates the monetary approach and technical trading, and we present the reduced form based on the minimal state variable solution, where both fundamentals and backward-looking term determine the spot exchange rates.Finally, we estimate the impact of the monetary fundamentals for a panel of Central and Eastern European countries (Czech Republic, Poland, Romania and Slovakia) in the second half of the 1990s as well as the complete model of exchange rate determination for daily data over the more recent free-floating period.Key words: foreign exchange market, fundamental analysis, panel cointegration, technical analysis JEL classification numbers: C23, F31, F36
  • Bask, Mikael (2007)
    Bank of Finland Research Discussion Papers 22/2007
    Published in Journal of Economics and Business, Volume 61, Issue 2, March-April 2009: 97-111
    We embed different instrument rules into a New Keynesian model for a small open economy that is augmented with technical trading in currency trade to examine the prerequisites for monetary policy. Specifically, this paper focuses on conditions for a determinate, least-squares learnable rational expectations equilibrium (REE). Under an interest rate rule with only contemporaneous macroeconomic data, the intensity of technical trading or trend-seeking in currency trade does not affect these conditions, except in the case of an extensive use of trend-seeking. On the other hand, if the central bank uses only forward-looking information in its interest rate rule, a determinate and learnable REE is a less likely outcome when trend-seeking in currency trade becomes more popular. The interest rate rule followed by the central bank in the model incorporates interest rate smoothing. Keywords: determinacy, DSGE model, interest rate rule, least-squares learning, technical trading JEL classification numbers: C62, E52, F31, F41
  • Korhonen, Tapio (2010)
    EURO & TALOUS 4
    Suomen Pankin rahapolitiikan toimintaympäristö muuttui syvällisesti menneen vuosisadan viimeisinä vuosikymmeninä. Sodan jälkeen niin Suomessa kuin yleensä Euroopassa sääntely oli laajaa monilla talouselämän alueilla. Erityisen vahvasti säännösteltiin rahoitus- ja valuuttamarkkinoita. Joissakin maissa markkinoiden vapauttamisessa oli kuitenkin edetty pitkälle jo 1970-luvulla. Lopullisesti markkinat oli liberalisoitu kaikkialla Länsi-Euroopassa 1980-luvulla. Säännöstelyn perusteet ja kyky kansalliseen säännöstelyyn murtuivat hiljalleen. Usko säännöstelyn etuihin ja mahdollisuuksiin heikkeni, ja samalla epäilykset vapaiden markkinoiden epävakaudesta vähenivät. Muutokseen vaikuttivat erityisesti talouksien kansainvälistyminen sekä talous- ja rahaliiton valmistelu. Vuosituhannen viimeisellä vuosikymmenellä Eurooppa koki syvällisiä poliittistaloudellisia muutoksia. 1990-luvun alussa itäisen Euroopan valtiojohtoinen talousjärjestelmä sortui, ja sosialistiset maat siirtyivät osin lähes kaaoksen kautta markkinatalouteen. Länsi-Eurooppa integroitui, ja vuonna 1999 yksitoista maata muodosti talous- ja rahaliiton. Suomen talouskehitykseen ja rahoitusmarkkinoihin näillä muutoksilla oli erityisen suuria vaikutuksia. Suomen 1990-luvun alkuvuosia leimasi odottamaton ja Euroopan oloissa poikkeuksellisen syvä talouslama. Siitä kuitenkin toivuttiin varsin hyvin vuosikymmenen loppupuolella, joten talous- ja rahaliittoon voitiin valmistautua vakaan talouskehityksen oloissa.
  • Karhapää, Henna (2019)
    Euro & talous. Blogi
  • Kariluoto, Jarmo (2005)
    Suomen Pankki. Rahoitusmarkkinaraportti 2
    Maailman valuutta- ja johdannaismarkkinoiden vaihto kasvoi tuntuvasti kolmivuotisperiodilla 2001 - 2004. Myös maailmanlaajuiset johdannaissopimuskannat nousivat reippaasti kauppojen vilkastumisen myötä. Suomen osuus maailmanlaajuisista markkinoista pysyi vähäisenä.
  • Koivu, Tuuli; Korhonen, Tapio (2006)
    BOFIT Online 1/2006
    Maailman kasvaneet rahoitusepätasapainot ovat viime vuosina lisänneet keskustelua Kiinan valuuttakurssin tasosta.Keskustelu on ollut osin yksipuolista ja se on liian usein jäänyt kahdenvälisten kauppaepätasapainojen tarkasteluun.Kiinan kaltaisen maan nousu maailman suurimpien vientimaiden joukkoon on kuitenkin monien muiden tekijöiden kuin edullisen valuuttakurssin ansiota, eikä valuuttakurssin roolia epätasapainojen purkamisessakaan pidä liioitella.Epätasapainojen syitä mietittäessä merkittäviä ovat esimerkiksi erot maiden säästämisasteissa.Kiinassa kotitalouksien ja yritysten säästämisvimma on poikkeuksellisen korkea, ja pääomanliikkeiden ollessa vielä suurelta osin säänneltyjä säästöt johtavat korkeaan investointiasteeseen. Asiasanat: Kiina, Yhdysvallat, kansainvälinen talous, rahapolitiikka
  • Rautava, Jouko (2016)
    Euro & talous. Blogi
    Kiinassa vuosi 2016 on alkanut rauhattomasti, kun pörssikurssit ovat laskeneet tammikuun ensipuoliskolla viime vuoden lopusta lähes viidenneksen. Levottomuus on lisääntynyt myös valuuttamarkkinoilla.