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Liquidity and market efficiency : alive and well?

Liikanen, Erkki; Jylhä, Petri; Pennacchi, George G.; … - Joint Conference with the Bank of Finland in Helsinki …; … - 2015

On 3 July 2015, SUERF organized its sixth joint conference with the Bank of Finland in Helsinki on the subject of liquidity and market efficiency. The one-day program consisted of an opening speech, six presentations, including three keynotes, and a lunchtime address. The present SUERF Study...

Persistent link: https://www.econbiz.de/10011414459

Monetary policy and rejections of the expectations hypothesis

Ravenna, Federico; Seppälä, Juha - Suomen Pankki - 2006

We study the rejection of the expectations hypothesis within a New Keynesian business cycle model. Earlier research has shown that the Lucas general equilibrium asset pricing model can account for neither sign nor magnitude of average risk premia in forward prices, and is unable to explain...

Persistent link: https://www.econbiz.de/10005648886

Long swings and chaos in the exchange rate in a DSGE model with a Taylor rule

Bask, Mikael - Suomen Pankki - 2007

A DSGE model with a Taylor rule is augmented with an evolutionary switching between technical and fundamental analyses in currency trade, where the fractions of these trading tools are determined within the model. Then, a shock hits the economy. As a result, chaotic dynamics and long swings may...

Persistent link: https://www.econbiz.de/10005648889

Stock market conditions and monetary policy in an DSGE model for the US

Castelnuovo, Efrem; Nisticò, Salvatore - Suomen Pankki - 2010

This paper investigates the relationship between stock market fluctuations and monetary policy in a DSGE model for the US economy. We initially adopt a framework in which fluctuations in households’ financial wealth are allowed – but not required – to influence current consumption. This is...

Persistent link: https://www.econbiz.de/10008516094

Central bank liquidity auction mechanism design and the interbank market

Ollikka, Kimmo; Tukiainen, Janne - Suomen Pankki - 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...

Persistent link: https://www.econbiz.de/10010698833

Quantity rationing of credit

Waters, George A. - Suomen Pankki - 2012

receiving financing, which leads to a persistent fall in real activity. Empirical evidence confirms that credit market …

Persistent link: https://www.econbiz.de/10009416201

Lumpy investment in sticky information general equilibrium

Verona, Fabio - Suomen Pankki - 2013

. Lumpy adjustment arises because of inattentiveness in capital investment decisions instead of the more common assumption of … with lumpy investment yields business cycle dynamics which differ substantially from those of an otherwise identical model … with frictionless investment and are much more consistent with the empirical evidence. These results therefore strengthen …

Persistent link: https://www.econbiz.de/10010698832

Money market volatility, A simulation study

Kempa, Michal - Suomen Pankki - 2006

This paper analyses different operational central bank policies and their impact on the behaviour of the money market interest rate. The model combines profit maximising behaviour by commercial banks with the central bank supplying the liquidity that keeps the market rate on target. It seems...

Persistent link: https://www.econbiz.de/10005771141

The Credit Channel of Monetary Policy and Housing Markets: International Empirical Evidence

Iacoviello, Matteo; Minetti, Raoul - Suomen Pankki - 2000

the housing market. We argue that the importance of this channel for investment in residential housing is highly dependent …

Persistent link: https://www.econbiz.de/10005648926

The bank lending channel reconsidered

Milne, Alistair; Wood, Geoffrey - Suomen Pankki - 2009

It has been widely accepted that constraints on the wholesale funding of bank balance sheets amplify the transmission of monetary policy through what is called the ‘bank lending channel’. We show that the effect of such bank balance sheet constraints on monetary transmission is in fact...

Persistent link: https://www.econbiz.de/10005648955