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Measuring counterparty risk in FMIs
No full textThis paper extends traditional payment system simulation analysis to counterparty liquidity risk exposures. The used stress test scenario corresponds to the counterparty stress scenario applied in the BCBS standard “Monitoring tools for intraday liquidity management” (BIS, 2013). This stress scenario is simulated for participants of the Finnish TARGET2 component with the new BoF-PSS3 simulator. Two liquidity deterioration indicators are introduced to quantify counterparty liquidity risk exposures. As comparison of liquidity risk projections to the available liquidity of participants in the system only yields a restricted and system-specific view of the severity of the scenarios, we compare the liquidity risks to high-quality liquid assets (HQLA) available at the group level to assess the overall liquidity risk that participants face in TARGET2. Our results generally comport with the literature and results reported elsewhere. Banking groups are exposed to a liquidity deterioration equivalent from 20 % to0% of their respective HQLA in just 0.35 % of the daily scenario observations. The exercise paper demonstrates that our proposed alternative form of payment system analysis can be helpful in banking supervision, micro- and macroprudential analysis, as well as resolution authorities’ assessment of the effects of their actions on payment systems
The Dilemma of International Diversification : Evidence from the European Sovereign Debt Crisis
No full textThis paper tests how capital markets value the international diversification of banks in good and in bad economic times by investigating changes in domestic and foreign sovereign debt ratings before and during the European sovereign debt crisis. Tracing 320 European banks in 29 countries and 226 credit rating announcements for European sovereigns between 1 January 2001 and 15 August 2012, we show that the market values banks with access to foreign funds. Despite occasional adverse effects immediately following negative news regarding sovereign credit rating changes, international diversification was found to be beneficial to European banks, especially during periods of distress
Cross-country evidence on the relationship between regulations and the development of the life insurance sector
No full textUsing a global sample, this study sketches the impact of insurance regulations on the life insurance sector, revealing a significant negative association between supervisory control on policy conditions of life annuities as well as pension products and the development of the industry. A similar inverse relation is observed between the index of capital requirements and insurance development. These results hold when we control for demographic factors, economic factors, religious inclination, culture, as well as for other relevant regulations. We also find some evidence that while the overall supervisory power does not matter, the ability to intervene at an early stage could have a positive effect on insurance development. Additionally, the impact of some regulations appears to differ between advanced and developing countries
The yield curve and the stock market : Mind the long run
No full textWe extract cycles from the term spread and study their role for predicting the equity premium using linear models. When properly extracted, the trend of the term spread is a strong and robust out-of-sample equity premium predictor, both from a statistical and an economic point of view. It outperforms several variables recently proposed as good equity premium predictors. Our results support recent findings in the asset pricing literature that the low-frequency components of macroeconomic variables play a crucial role in shaping the dynamics of equity markets. Hence, for policymakers and financial market participants interested in gauging equity market developments, the trend of the term spread is a promising variable to look at.Published in BoF DP 7/2018 "The equity risk premium and the low frequency of the term spread" http://urn.fi/URN:NBN:fi:bof-20180404142
Talouskatsaus 6/2020
No full textRaha- ja reaalitalouden kehitys 2
Yhteenveto 2
1 Ulkoinen ympäristö 7
2 Rahoitusmarkkinoiden kehitys 16
3 Talouskehitys euroalueella 22
4 Hinnat ja kustannukset 29
5 Rahan määrä ja luotonanto 35
6 Julkisen talouden kehitys 43
Kehikot 47
1 Bulgarian leu ja Kroatian kuna ERM II -valuuttakurssimekanismissa 47
2 Euron efektiivisen valuuttakurssin päivitetyt kauppapainot 52
3 Likviditeettitilanne ja rahapoliittiset operaatiot 6.5.–21.7.2020 57
4 Epävarmuuden viimeaikaisen kasvun vaikutus euroalueen talouskasvuun 63
5 Koronavirus ja kotitalouksien säästämisen lisääntyminen: varovaisuutta vai pakkoa? 67
6 Välillisten verojen vaikutus euroalueen inflaatioon ja sen näkymiin 72
7 Julkiset lainatakaukset ja pankkien luotonanto pandemia-aikana 76
7 EU:n elvytyspaketin vaikutukset julkiseen talouteen 83
Tilastot (vain englanniksi) S
Puheet ja esitelmät : Nykänen, Marja 2019
No full textVuosittainen pdf-kooste suomenpankki.fi-sivustolla julkaistuista johtokunnan puheista edellisvuodelta. Pdf-tiedostot ovat tämän viestin liitteenä
Yield Curve Control
No full textWe study the yield curve control in Eurozone. We apply Chen, Cúrdia and Ferrero (2012) model that uses a financial friction to break Wallace’s neutrality. We calibrate a bond supply shock that corresponds to the observed change in the time premium in euro area when the APP program was introduced. With some model simulations, we show that the effectiveness of both unconventional monetary policy and fiscal policy are enhanced, when the yield curve control is applied. Thus, we find that the yield curve control can be an effective tool, if applied in a credible manner for a long enough time period during an effective lower bound episode
Kartoitus talousosaamisen edistämistoiminnasta Suomessa vuonna 2020
No full textRaportti kuvaa talousosaamisen edistämisen toimintaa Suomessa keväällä 2020. Kyselyaineiston analyysin lisäksi kyselyn tuloksia käsiteltiin kartoitus- ja arviointityöryhmän kokouksissa. Työryhmässä oli kattava edustus talousosaamistyötä tekevistä tahoista. Talousosaamisen edistämistyötä tekeville toimijoille kohdennettu kysely toi paljon uutta ja arvokasta tietoa toimijoista, toiminnasta ja hankkeista sekä olemassa olevasta yhteistyöstä ja sen olennaisista elementeistä. Paljon hyvää työtä tehdään, mutta toiminnassa olisi myös kehitettävää.Tiivistelmä 4
Johdanto 5
Kyselyyn vastaajat 6
Talousosaamisen edistämisen toimintamuodot 6
Talousosaamisen edistäminen käytännössä 7
Tavoitteen määrittely ja toiminnan vaikutusten seuranta 13
Yhteistyö eri organisaatioiden kesken 15
Lopuksi 19
Liite 1 Kysely talousosaamishankkeen verkostolle 22
Liite 2 Vastaajaorganisaatiot 26
Liite 3 Kartoituksessa raportoitu yhteistyö (sen kesto) ja niiden toimijat 28ei tietoa saavutettavuudest
Annual report 2019
No full textANNUAL REPORT 4
MONETARY POLICY 5
FINANCIAL STABILITY 35
MONEY AND PAYMENTS 54
FINANCIAL ASSET MANAGEMENT 70
INFLUENCE AND COOPERATION 80
SOCIAL RESPONSIBILITY 102
ACTIVITIES AND STRATEGY 135
BANK OF FINLAND IN A NUTSHELL 137
THE BANK OF FINLAND FOSTERS ECONOMIC STABILITY 138
DIVISION OF RESPONSIBILITIES BETWEEN MEMBERS OF THE BOARD 141
BANK OF FINLAND OBJECTIVES AND RESULTS FRAMEWORK 144
FINANCIAL STATEMENTS 150
BALANCE SHEET 151
PROFIT AND LOSS ACCOUNT 154
THE BOARD'S PROPOSAL ON THE DISTRIBUTION OF PROFIT 156
ACCOUNTING CONVENTIONS 157
NOTES ON THE BALANCE SHEET 166
NOTES ON THE PROFIT AND LOSS ACCOUNT 195
APPENDICES TO THE FINANCIAL STATEMENTS 208
NOTES ON RISK MANAGEMENT 210
AUDITOR'S REPORT 217
STATEMENT REGARDING THE AUDIT 219
ORGANISATION 22
Predicting systemic financial crises with recurrent neural networks
No full textWe consider predicting systemic financial crises one to five years ahead using recurrent neural networks. We evaluate the prediction performance with the Jórda-Schularick-Taylor dataset, which includes the crisis dates and annual macroeconomic series of 17 countries over the period 1870−2016. Previous literature has found that simple neural net architectures are useful and outperform the traditional logistic regression model in predicting systemic financial crises. We show that such predictions can be significantly improved by making use of the Long-Short Term Memory (RNN-LSTM) and the Gated Recurrent Unit (RNN-GRU) neural nets. Behind the success is the recurrent networks’ ability to make more robust predictions from the time series data. The results remain robust after extensive sensitivity analysis.Published in BoF 14/2019