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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

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

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

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

This paper tests for the presence of a credit channel (particularly a bank-lending sub-channel) for monetary policy in the housing market. We argue that the importance of this channel for investment in residential housing is highly dependent on the structural features, and particularly the...

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

Robustness in monetary policymaking: a case for the Friedman rule

Kilponen, Juha; Leitemo, Kai - Suomen Pankki - 2006

Inflation targeting involves using all available information in stabilizing inflation around some target rate (Svensson …, 2003). Inflation is typically at the very end of the transmission mechanism and hence its de-termination is subject to much …

Persistent link: https://www.econbiz.de/10005190781

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

The role of expectations in the inflation process in the euro area

Paloviita, Maritta; Virén, Matti - Suomen Pankki - 2005

This paper analyses the role of inflation expectations in the euro area. On one hand, the question is how inflation … expectations affect both inflation and output, and, on the other hand, how inflation expectations reflect developments in these … variables. The analyses make use of a simple VAR model of inflation, inflation expectations and the output gap that allows for …

Persistent link: https://www.econbiz.de/10005648940

Open market operations: beyond the new consensus

Toporowski, Jan - Suomen Pankki - 2006

The emergence of the New Consensus in monetary policy has been followed by a renewal of interest in central banks’ operating procedures, and specifically in the role of open market operations. There is a general view that overnight interest rates are most effectively controlled by standing or...

Persistent link: https://www.econbiz.de/10005423684

Discretion and the transmission lags of monetary policy

Kilponen, Juha; Leitemo, Kai - Suomen Pankki - 2007

Monetary policy transmission lags create credibility problems for the inflation-targeting policy maker who acts under …: for the period monetary policy influences output, inflation is predetermined and the best discretionary policy is to …

Persistent link: https://www.econbiz.de/10005423712