Browsing by Subject "varallisuushinnat"

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  • Brunila, Anne; Suvanto, Antti (1998)
    Bank of Finland. Bulletin 72 ; 5 ; May
  • Taipalus, Katja (Edita Prima, 2006)
    Suomen Pankki. E 35
    Tests for unit roots in log dividend yields, which are consistent with 'rational bubbles' in stock prices, are conducted for the SP500 and Finnish stock market indexes.In addition to the traditional unit root tests, we split the data into 10-year segments and use frequency domain analysis to test for the presence of unit roots in the dividend yield data.The results strongly suggest the existence of bubbles in both the US and Finnish markets.Finally we develop a novel dividend yield-based method to track periods when stock prices divert their fundamental levels. This indicator produces promising results, as it seems to have some forecasting ability concerning booms and busts in the stock markets. Key words: equity price, bubble, rolling ADF
  • Taipalus, Katja (2012)
    Suomen Pankki. E 47
    To promote the financial stability, there is a need for an early warning system to signal the formation of asset price misalignments. This research provides two novel methods to accomplish this task. Results in this research shows that the conventional unit root tests in modified forms can be used to construct early warning indicators for bubbles in financial markets. More precisely, the conventional augmented Dickey-Fuller unit root test is shown to provide a basis for two novel bubble indicators. These new indicators are tested via MC simulations to analyze their ability to signal emerging unit roots in time series and to compare their power with standard stability and unit root tests. Simulation results concerning these two new stability tests are promising: they seem to be more robust and to have more power in the presence of changing persistence than the standard stability and unit root tests. When these new tests are applied to real US stock market data starting from 1871, they are able to signal most of the consensus bubbles, defined as stock market booms for example by the IMF, and they also flash warning signals far ahead of a crash. Also encouraging are the results with these methods in practical applications using equity prices in the UK, Finland and China as the methods seem to be able to signal most of the consensus bubbles from the data. Finally, these early warning indicators are applied to data for several housing markets. In most of the cases the indicators seem to work relatively well, indicating bubbles before the periods which, according to the consensus literature, are seen as periods of sizeable upward or downward movements. The scope of application of these early warning indicators could be wide. They could be used eg to help determine the right timing for the start of a monetary tightening cycle or for an increase in countercyclical capital buffers. Key words: asset prices, financial crises, bubbles, indicator, unit-root JEL classification: C15, G01, G12
  • Ponomarenko, Alexey (2012)
    BOFIT Discussion Papers 22/2012
    Published in Emerging Markets Review 15, 92–106 (2013)
    We apply recently developed early warning indicators systems to a cross-section of emerging markets. We find that, with little or no modification, models designed to predict asset price booms/busts in advanced countries may be useful for emerging markets. The concept of monitoring a set of asset prices, real activity (especially investment) and financial (especially credit) indicators is generally found to be efficacious. Keywords: early warning indicators, asset prices, emerging markets JEL classification: E37, E44, E51.
  • Haavio, Markus; Mendicino, Caterina; Punzi, Maria Teresa (2013)
    Bank of Finland Research Discussion Papers 35/2013
    Published in Applied Economics Letters, Volume 21, Issue 6, April 2014, Pages 407-412 ;
    This article empirically studies the linkages between financial variable downturns and economic recessions. We present evidence that real asset prices tend to lead real cycles, while loan-to-GDP and loan-to-deposit ratios lag them. Using a probit analysis, we document that downturns in real asset prices, particularly real house prices, are useful leading indicators of economic recessions. Keywords: macro-financial linkages; turning point analysis; probit models JEL classification numbers: C53, E32, E37, G17
  • Mayes, David; Virén, Matti (2001)
    Suomen Pankin keskustelualoitteita 17/2001
    This paper provides an exposition of the nature, means of estimation and uses of Financial Conditions Indexes (FCIs) and their relationship to the more common Monetary Conditions Indexes (MCIs) that are used by market analysts, international organisations and central banks.Using panel datasets for Western Europe we explore how asset prices, particularly house and stock prices, can provide useful additional indicators of future changes in output and inflation.We find a clear role for house prices but a poorly determined relationship for stock prices.Unfortunately the most useful role for FCIs comes from their incorporation of high frequency data and the opportunity this gives for extracting information about changes in market expectations for inflation and output.This helps market participants make judgements about likely central bank reactions and helps central banks assess the stance of policy between forecasts.While stock prices are high frequency, house prices are not.At quarterly frequency central banks in particular will want to use traditional economic forecasting methods and summary indicators like FCIs will have only a limited role.We illustrate how such an FCI can be used, drawing on monthly data for Finland.Key words: financial conditions, asset prices, house prices, stock prices
  • Haavio, Markus (2012)
    Suomen Pankki. BoF online 1
    1 Introduction 3 2 Financial cycles and euro area recessions 4 3 Financial cycles and business cycles in a sample of 17 OECD countries 10 4 Concluding remarks 16 5 References 17 6 Appendix 18
  • (2000)
    Bank of Finland. Bulletin 74 ; 2
  • Männistö, Hanna-Leena (2005)
    Bank of Finland Research Discussion Papers 21/2005
    To develop forecasting procedures with a forward-looking dynamic general equilibrium model, we built a small New-Keynesian model and calibrated it to euro area data.It was essential in this context that we allowed for long-run growth in GDP.We brought additional asset price equations based on the expectations hypothesis and the Gordon growth model, into the standard open economy model, in order to extract information on private sector long-run expectations on fundamentals, and to combine that information into the macro economic forecast.We propose a method of transforming the model in forecasting use in such a way, as to match, in an economically meaningful way, the short-term forecast levels, especially of the model's jump-variables, to the parameters affecting the long-run trends of the key macroeconomic variables.More specifically, in the model we have used for illustrative purposes, we pinned down the long-run inflation expectations and domestic and foreign potential growth-rates using the model's steady state solution in combination with, by assumption, forward looking information in up-to-date financial market data.Consequently, our proposed solution preserves consistency with market expectations and results, as a favourable by-product, in forecast paths with no initial, first forecast period jumps.Furthermore, no ad hoc re-calibration is called for in the proposed forecasting procedures, which clearly is an advantage from point of view of transparency in communication.Key words: forecasting, New Keynesian model, DSGE model, rational expectations, open economy JEL classification numbers: E17, E30, E31, F41
  • Melolinna, Marko; Taipalus, Katja (2006)
    Niin akateemisessa kuin talouspoliittisessakin keskustelussa on viime aikoina yhä useammin kiinnitetty huomiota osake- ja asuntomarkkinoiden hintojen suuriin vaihteluihin.Näiden vaihteluiden yhteyksiä rahoitusmarkkinoiden vakauden ja reaalitalouden toiminnan kannalta on pohdittu.Samoin on keskusteltu siitä, pitäisikö ja jos pitäisi, niin millä tavalla keskuspankkien reagoida varallisuusesineiden voimakkaisiin hintavaihteluihin. Tässä artikkelissa selostetaan osake- ja asuntomarkkinoiden hintakuplia, niiden vaikutuksia taloudessa sekä niiden merkitystä keskuspankin keskeisten tavoitteiden kannalta.Lisäksi artikkelissa esitellään lyhyesti Suomen Pankissa kehitetty menetelmä, jonka avulla varallisuusesineiden hintojen ylilyöntejä voidaan havaita ja ennakoida.
  • 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.
  • Zhang, Yanbing; Hua, Xiuping; Zhao, Liang (2011)
    BOFIT Discussion Papers 17/2011
    Published in Economic Modelling, Volume 29, Issue 6, November 2012, Pages 2349-2361 as Exploring determinants of housing prices: A case study of Chinese experience in 1999-2010
    How do monetary policy variables affect housing prices? In this paper we apply a non-linear model-ling approach, the Nonlinear Auto Regressive Moving Average with eXogenous inputs (NAR-MAX), to investigate determinants of housing prices in China over the period 1999:01 to 2010:06. The NARMAX approach has an advantage over prevailing methods in that it automatically selects linear and non-linear forms of variables and the numbers of corresponding lags according to statistical properties. Both linear and non-linear estimation results identify a number of key monetary and price variables, including most notably mortgage rate, producer price, broad money supply and real effective exchange rate. Meanwhile, some key real economic variables such as income are not independently significant. Our findings should be helpful in understanding the formation of housing prices in China and will provide some valuable insights on how to use monetary policies to manage asset prices.
  • Koivu, Tuuli (2012)
    Suomen Pankki. E 46
    China's economic development has been exceptionally robust since the end of the 1970s, and the country has already emerged as the second biggest economy in the world. In this study, we seek to illuminate the role of the monetary policy in this successful economic performance and as a part of the extensive economic reforms of the last two decades. The five empirical essays seek to discover which monetary policy tools are the most used and most effective for guiding China's economic development. In addition, we explore which monetary policy transmission channels are functioning and to what extent monetary policy impacts inflation and real economic developments in China. The results indicate that the conduct of monetary policy in China differs substantially from what is typical for an advanced market economy, where an independent central bank often aims to hit an inflation target by simply controlling the target interest rate. First, China's monetary policy toolkit is highly diverse. Besides a collection of administrated interest rates, it contains quantitative policy tools and direct guidelines. Second, China's central bank is not independent in its decision-making. For these reasons, it is exceptionally challenging to measure the monetary policy stance or to distinguish monetary policy from other macroeconomic policies in China's case. This has been taken into account in this study by using a variety of monetary-policy indicators. Our results suggest that China's monetary-policy implementation and its transmission to the real economy still rely heavily on quantitative policy tools and direct guidelines; interest rates play a much smaller role, in terms of both usage and effectiveness. Overall, our findings suggest that the direct link between monetary policy and real economic performance is weak in China. On the other hand, this study clearly shows that monetary policy has played a key role in price developments, which tells us that monetary policy has been an important factor in China's economic success. Key words: China, monetary policy, economic growth, inflation, exchange rates JEL classification: E50, P30
  • Koivu, Tuuli (2010)
    BOFIT Discussion Papers 18/2010
    Published in Economic Systems, Volume 36, Issue 2, (June 2012); 307–325 and European Central Bank. Working paper series 1240/2010.
    This paper studies the wealth channel in China. Using the structural vector autoregression method, we find that a loosening of China.s monetary policy indeed leads to higher asset prices, which in turn are linked to household consumption. However, the importance of the wealth channel as a part of the monetary policy transmission mechanism in China is still limited. Keywords: China, monetary policy, asset prices JEL classification: E52, P24
  • Coricelli, Fabrizio; Égert, Balázs; MacDonald, Ronald (2006)
    BOFIT Discussion Papers 8/2006
    This paper surveys recent advances in empirical studies of the monetary transmission mechanism (MTM), with special attention to Central and Eastern Europe.In particular, while laying out the functioning of the separate channels in the MTM, it explores possible interrelations between different channels and their impact on prices and the real economy.The empirical findings for Central and Eastern Europe are then briefly compared with results for industrialized countries, especially for the euro area.We highlight potential pitfalls in the literature and assess the relative importance, and potential development, of the different channels, emphasizing the relevant asymmetries between Central and Eastern European countries and the euro area. JEL classification: E31, E51, E58, F31, O11, P20 Keywords: Monetary transmission, transition, Central and Eastern Europe, credit channel, interest rate channel, interest-rate pass-through, exchange rate channel, exchange rate pass-through, asset price channel
  • Brunila, Anne; Suvanto, Antti (1998)
  • Siklos, Pierre; Bohl, Martin (2006)
    Bank of Finland Research Discussion Papers 2/2006
    Published in Journal of Banking & Finance, 31, 3, 2007: 719-733 and International journal of finance & economics 2008 ; 13 ; 3 ; July.
    This paper examines the role of the ECB communication activities on daily Eurodollar exchange rate and interest rates.We estimate the relationship between monetary policy and the exchange rate using a technique that explicitly recognises the joint determination of both the levels and volatilities of these variables.We also consider more traditional estimation strategies as a test of the robustness of our main results.We introduce a new indicator of ECB communications policies that focuses on what the ECB says about the future economic outlook for the euro area along five different economic dimensions.The impact of ECB communications policies is more apparent in the time series framework than in the heteroskedasticity estimator approach.Previous studies that conclude that news effects are significant at the daily frequency may have reached such a conclusion because the measurement of news was too highly aggregated.The endogeneity of the exchange rate - interest rate relationship is more apparent when the proxy for monetary policy is the euro area - US differential than when any other proxy for monetary policy is employed.Finally, interest rate changes generally have a much larger impact on exchange rate movements, and their volatility, than do ECB verbal pronouncements. Key words: communication policy, exchange rates, interest rates, volatility JEL classification numbers: F3, E5, E6
  • Melolinna, Marko; Taipalus, Katja (2006)
    Bank of Finland. Bulletin 2006 ; 4
    Recent discussions, in academia and among policymakers, have increasingly paid attention to price gyrations in the stock and housing markets.A major concern has been the connection between these price movements and both financial stability and real economic performance.A related concern has been whether - and if so, how - central banks should respond to wide fluctuations in asset values.This article discusses price bubbles in the stock and housing markets, their effect on the economy, and their importance vis-à-vis the primary objectives of central banks.In addition, we briefly introduce a method that was developed at the Bank of Finland as an aid to identifying and predicting overshooting in asset prices.
  • Filardo, Andrew J.; Siklos, Pierre L. (2013)
    BOFIT Discussion Papers 5/2013
    Published in Emerging Markets Finance and Trade, Volume 52, Issue 2, 2016: 364-381.
    This paper examines past evidence of prolonged periods of reserve accumulation in Asian emerging market economies and the direct and indirect implications for monetary stability through the potential impact of such episodes on financial stability. The empirical research focuses on identifying periods of prolonged interventions and correlations with key macro-financial aggregates. Related changes in central bank balance sheets are also examined, especially in periods when the interventions are linked to strong capital inflows. In particular, we consider whether changes in the central bank's balance sheet from prolonged intervention lead to spillovers to the balance sheet of the private sector. We explore the possible forms of the spillovers and the consequences on asset prices (e.g., housing prices, equity prices, the growth in domestic credit). Policy implications are drawn. Finally, we propose a new indicator of reserves adequacy and excessive foreign exchange reserves accumulation based on a factor model. Two broad conclusions emerge from the stylized facts and the econometric evidence. First, the best protection against costly reserves accumulation is a more flexible exchange rate. Second, the necessity to accumulate reserves as a bulwark against goods price inflation is misplaced. Instead, there is a strong link between asset price movements and the likelihood of accumulating foreign exchange reserves that are costly. Keywords: foreign exchange reserves accumulation, monetary and financial stability JEL Classification system: F41, F32, E44, D52
  • Chen, Xi; Funke, Michael (2012)
    BOFIT Discussion Papers 27/2012
    Published in The National Institute Economic Review, February 2013, 223 (1), pp. 39-48
    The recent increase in Chinese house prices has led to concerns that China is vulnerable to asset price shocks. In this paper, we apply recently developed recursive unit root tests to spot the beginning and the end of potential speculative bubbles in Chinese house price cycles. Overall, we find that except for 2009-2010 actual house prices are not significantly disconnected from fundamentals. Thus, the evidence for speculative house price bubbles in China is in general weak. Keywords: house prices, China, speculative bubbles, recursive unit root tests JEL-Classification: C15, G01, G12, R31