Bank of Finland Publications, series B (SP) (1943-1994)

 

Recent Submissions

  • Saarenheimo, Tuomas (1994)
    Suomen Pankki. B = Bank of Finland. B 49
    1.1 On The Nature of Innovation 1.1.1 A Taxonomy for R&D 1.1.2 Uncertainty and Divisibility 1.1.3 Economic Properties of Technology 1.2 Economic Analysis of Innovation 1.2.1 History 1.2.2 Schumpeter's Hypothesis 1.2.3 Theoretical Approaches 1.3 Three Aspects of Market Structure and Innovation 1.3.1 Market Structure and the Choice of Research Strategy 1.3.2 The Propensity to Patent 1.3.3 Research Joint Ventures and Cartels or Competitive R&D? 2 The Choice of Research Strategy in a Patent Race 2.1 Introduction 2.2 The Definition of Risk 2.3 The Model . 2.4 The Analysis 2.4.1 Symmetric Equilibrium . 2.4.2 Asymmetric Equilibria . 2.5 A Modification: Stochastic Payoffs 2.6 Conclusions 3 Market Structure and the Propensity to Patent: Patenting or Secrecy? 3.1 Introduction 3.2 The Basic Setup 3.3 Concentration and Patenting: Complete Information 3.3.1 Patenting Equilibrium 3.3.2 Equilibrium without Patenting 3.3.3 A Generalization: Shared Surplus 3.4 Concentration and Patenting: Incomplete Information 3.5 Firm Size and Patenting: Complete Information 3.6 Firm Size and Patenting: Incomplete Information 3.7 Conclusions 4 Research Joint Ventures vs.R&D Competition 4.1 Introduction 4.2 The Model 4.3 The Analysis 4.4 Comparison of the scenarios 4.5 Conclusions
  • Malkamäki, Markku (1993)
    Suomen Pankki. B = Bank of Finland. B 48
    Acknowledgements 5 1 Aim and Scope of the Study 9 2 Methodological Aspects of the Tests 12 2.1 Beta Estimation 14 2.2 Estimation of the Risk Premium 18 2.3 Cointegration and Causality 20 2.4 A Note on the Data 22 3 Concluding Remarks 24 References 25 Essays: I In the Defence of the CAPM: Evidence Using Time-Varying Betas on a Thin Stock Market 29 II Conditional Betas and the Price of Risk in a Thin Asset Market: A Sensitivity Analysis 65 III Cointegration and Causality of Stock Markets in Two Small Open Economies and Their Major Trading Partners 105 IV Conditional Risk and Predictability of Finnish Stock Returns 141
  • Pulli, Markku (1992)
    Suomen Pankki. B = Bank of Finland. B 47
    Acknowledgements 5 1 Introduction 9 2 An Overview of the Theory of Banks' Demand for Reserves 16 2.1 The market for reserves 16 2.1.1 Determination of the short-term interest rate 16 2.1.2 The overnight market interest rate, the call money facility and monetary policy 20 2.2 Studies on the borrowing function 23 2.3 Liquidity management theory 27 2.4 The theoretical framework of the study 30 3 The Market for Overnight Funds and the Call Money Facility in Finland 33 3.1 Evolution and current structure of the call money facility 33 3.1.1 Historical background 33 3.1.2 The structure of the call money facility 37 3.2 The overnight market: some 'stylized facts' 39 4 A Stochastic Asset Allocation Model of the Overnight Market 43 4.1 The basic model 45 4.2 Effects of risk aversion 52 4.3 Quantitative quotas on borrowing 56 4.4 Time-dependent costs of borrowing 59 5 Endogenous Variance: Effects of Liquidity Control 63 5.1 Introduction 63 5.2 The model 64 5.3 Comparative statics 66 5.4 Solution of the model 69 5.5 Concluding remarks 72 6 Empirical Application of the Model with Constant Variance 74 6.1 Data and organization of the empirical study 74 6.2 A model with constant variance 77 6.3 Changes in the standard deviation of borrowing 85 7 Estimation of the Reserve Model with Time-Dependent Conditional Variance 88 7.1 A nonlinear GARCH-in mean model 88 7.2 Empirical results from GARCH(1,1)-in mean 93 7.3 Specification of the variance equation 101 7.4 Alternative distributional assumptions 108 7.5 Estimation results from the modified GARCH-in mean model 110 7.6 Concluding remarks 115 8 Summary and Conclusions 117 Appendix 1: Risk premium 124 Appendix 2: Comparative statics of the liquidity control model 126 Appendix 3: Additional estimation results from applications with constant conditional variance 129 Appendix 4: Maximum likelihood estimation of a nonlinear GARCH-in mean model 132 Appendix 5: Estimating of GARCH-in mean model with Student's t distribution 135 Appendix 6: Modelling the residuals as an AR(1) process 137 Bibliography 140
  • Willman, Alpo (1992)
    Suomen Pankki. B = Bank of Finland. B 46
    Preface 5 1 Introduction 9 2 A Survey of the Literature on Balance-of-Payments Crises 11 2.1 A balance-of-payments crisis in the F-G model 11 2.2 Extensions of the analysis and further results 13 2.2.1 Balance-of-payments crises in intertemporal. optimization models 15 2.2.2 The minimum level of net foreign reserves 17 2.2.3 Balance-of-payments crises and devaluation 19 2.2.4 Imperfect foresight and balance-of-payments crises 20 2.2.4.1 Stochastic models of balance-of- payments crises 20 2.2.4.2 Uncertainty in deterministic models of balance-of-payments. crises 22 2.2.5 Stabilization policies and balance-of- payments crises 25 2.2.6 Capital controls, imperfect asset substitutability and balance-of-payments crises 27 2.2.7 Real output, prices and wages and balance-of-payments crises 28 2.2.8 Other extensions of the analysis 30 3 Summaries of the Papers 31 3.1 Why there is a lower bound on the central bank's foreign reserves 32 3.2 Speculative attacks on the currency with uncertain monetary policy reactions 35 3.3 Balance-of-payments crises and monetary policy reactions in a model with imperfect substitutability between domestic and foreign bonds 37 3.4 Devaluation expectations and speculative attacks on the currency 39 3.5 The collapse of the fixed exchange rate regime with sticky wages and imperfect substitutability between domestic and foreign bonds 42 Notes 45 References 47 Appendix 52
  • Vilmunen, Jouko (1992)
    Suomen Pankki. B = Bank of Finland Publications. Series B 45
    Acknowledgements 5 1 Introduction 9 2 Wage Indexation and Foreign Exchange Intervention in an Open Economy: the Gray-Fischer Approach 14 2.1 Introduction 14 2.2 The labour market model 15 2.2.1 Comments on the Gray-Fischer labour market model 16 2.3 A small open economy subject to wage rigidity and foreign exchange intervention 21 2.3.1 Exchange rate expectations 26 2.3.2 Full information output 28 2.3.3 Actual real wages and output 28 2.3.4 Optimal wage indexation and foreign exchange intervention from the point of view of macroeconomic stability 29 2.3.5 Optimality of a single instrument 34 2.3.5.1 Optimal wage indexation under a given exchange rate regime 34 2.3.4.2 Optimal degree of intervention given the degree of wage indexation 37 2.4 Introducing terms-of-trade changes 39 2.5 Wage rigidity, foreign exchange intervention and the degree of openness 45 2.5.1 A two-sector economy with wage indexation and foreign exchange intervention 46 2.5.2 Optimal degree of wage indexation and foreign exchange intervention and openness 52 2.5.3 Optimality of a single instrument 62 2.5.3.1 Optimal wage indexation under a given exchange rate regime 62 2.5.3.2 Optimal degree of intervention given the degree of wage indexation 67 2.6 Summary of chapter two and discussion 70 3 Bargaining, Trade Unions and Wage Formation in an Open Economy 78 3.1 Introduction 78 3.2 Bargaining between trade unions and firms 78 3.3 Indexed contract wages: an operationalization of the asymmetric Nash bargaining models 86 Appendix to chapter three 104 4 Exchange Rate Variability and Wage Formation 106 4.1 Introduction 106 4.2 A marcomodel of a small open economy with union-firm wage bargaining 108 4.3 Steady state effects of indexation and foreign exchange intervention 115 4.3.1 Steady state output under fixed and flexible exchange rates 116 4.3.1.1 Fixed exchange rates 117 4.3.1.2 Flexible exchange rates 119 4.3.2 Structural features of the labour markets 122 4.3.3 Variability versus level; policy makers' objectives and optimality of a single instrument 125 5 Summary and Discussion 143 References 154