WorldCat Identities

Castrén, Olli

Overview
Works: 10 works in 17 publications in 1 language and 48 library holdings
Roles: Author
Classifications: HG930.5, 332
Publication Timeline
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Most widely held works by Olli Castrén
Labour market reform and the sustainability of exchange rate pegs by Olli Castrén( Book )

6 editions published in 2004 in English and held by 15 WorldCat member libraries worldwide

Estimating and analysing currency options implied eisk-neutral density functions for the largest new EU member states by Olli Castrén( Book )

3 editions published in 2005 in English and held by 10 WorldCat member libraries worldwide

This paper uses data on currency options prices for the exchange rates of the three largest new EU member states Poland, Czech Republic and Hungary vis-à-vis the euro and the US dollar to estimate the risk-neutral density (RND) functions and the density interval bands. Analysing the RNDs, we find that only some of the implied moments on the Polish zloty exchange rate systematically move around policy events, while the implied moments on the RNDs on the Czech koruna and Hungarian forint show more systematic changes. Regarding the HUF/EUR currency pair, monetary policy news have a significant impact on all moments, while changes in implied standard deviation signal a higher probability of interest rate changes by the Hungarian central bank. The more marked results for HUF/EUR exchange rate could reflect the fixed exchange rate regime prevailing throughout the sample period
Global macro-financial shocks and expected default frequencies in the euro area( )

1 edition published in 2008 in English and held by 4 WorldCat member libraries worldwide

Modelling the link between the global macro-financial factors and firms’ default probabilities constitutes an elementary part of financial sector stress-testing frameworks. Using the Global Vector Autoregressive (GVAR) model and constructing a linking satellite equation for the firm-level Expected Default Frequencies (EDFs), we show how to analyse the euro area corporate sector probability of default under a wide range of domestic and foreign macroeconomic shocks. The results show that, at the euro area aggregate level, the median EDFs react most to shocks to the GDP, exchange rate, oil prices and equity prices. There are some intuitive variations to these results when sector-level EDFs are considered. Overall, the Satellite-GVAR model appears to be a useful tool for analysing plausible global macrofinancial shock scenarios designed for financial sector stress-testing purposes
Balance sheet interlinkages and macro-financial risk analysis in the Euro area by Ilja Kristian Kavonius( )

1 edition published in 2009 in English and held by 3 WorldCat member libraries worldwide

The financial crisis has highlighted the need for models that can identify counterparty risk exposures and shock transmission processes at the systemic level. We use the euro area financial accounts (flow of funds) data to construct a sector-level network of bilateral balance sheet exposures and show how local shocks can propagate throughout the network and affect the balance sheets in other, even seemingly remote, parts of the financial system. We then use the contingent claims approach to extend this accounting-based network of interlinked exposures to risk-based balance sheets which are sensitive to changes in leverage and asset volatility. We conclude that the bilateral cross-sector exposures in the euro area financial system constitute important channels through which local risk exposures and balance sheet dislocations can be transmitted, with the financial intermediaries playing a key role in the processes. High financial leverage and high asset volatility are found to increase a sector's vulnerability to shocks and contagion. - Balance sheet contagion ; financial accounts ; network models ; contingent claims analysis ; systemic risk ; macro-prudential analysis
What drives investors' behaviour in different FX market segments? : a VAR-based return decomposition analysis( )

1 edition published in 2006 in English and held by 3 WorldCat member libraries worldwide

We apply the Campbell-Shiller return decomposition to exchange rate returns and fundamentals in a stationary panel vector autoregression framework. The return decomposition is then used to analyse how different investor segments react to news as captured by the different return components. The results suggest that intrinsic value news are dominating for equity investors and speculative money market investors while investors in currency option markets react strongly to expected return news. The equity and speculative money market investors seem able to distinguish between transitory and permanent FX movements while options investors mainly focus on transitory movements. We also find evidence that offsetting impact on the various return components can blur the effect of macroeconomic data releases on aggregate FX excess returns
Assessing portfolio credit risk changes in a sample of EU large and complex banking groups in reaction to macroeconomic shocks by Olli Castrén( )

1 edition published in 2009 in English and held by 3 WorldCat member libraries worldwide

In terms of regulatory and economic capital, credit risk is the most significant risk faced by banks. We implement a credit risk model - based on publicly available information . with the aim of developing a tool to monitor credit risk in a sample of large and complex banking groups (LCBGs) in the EU. The results indicate varying credit risk profiles across these LCBGs and over time. Furthermore, the results show that large negative shocks to real GDP have the largest impact on the credit risk profiles of banks in the sample. Notwithstanding some caveats, the results demonstrate the potential value of this approach for monitoring financial stability. -- Portfolio credit risk measurement ; stress testing ; macro-economic shock measurement
Capital flows and the US "New Economy" : consumption smoothing and risk exposure( )

1 edition published in 2005 in English and held by 3 WorldCat member libraries worldwide

In an analytically tractable model of the global economy, we calculate the Pareto improvement where a country experiencing a favourable supply side shock consumes more against expected future output and spreads the risk by selling shares. With capital inflows to finance the "New Economy"; significantly exceeding the current account deficit, however, we show that selling shares globally at inflated prices -due to "irrational exuberance"; and distorted corporate incentives can generate significant international transfers when the asset bubble bursts. The analysis complements recent econometric studies which appeal to financial factors to explain why the European economy was so strongly affected by the recent US downturn
Foreign exchange option and returns based correlation forecasts : evaluation and two applications( )

1 edition published in 2005 in English and held by 3 WorldCat member libraries worldwide

We compare option-implied correlation forecasts from a dataset consisting of over 10 years of daily data on over-the-counter (OTC) currency option prices to a set of return-based correlation measures and assess the relative quality of the correlation forecasts. We find that while the predictive power of implied correlation is not always superior to that of returns based correlations measures, it tends to provide the most consistent results across currencies. Predictions that use both implied and returns-based correlations generate the highest adjusted R2s, explaining up to 42 per cent of the realised correlations. We then apply the correlation forecasts to two policyrelevant topics, to produce scenario analyses for the euro effective exchange rate index, and to analyse the impact on cross-currency co-movement of interventions on the JPY/USD exchange rate
What drives EU banks' stock returns? : bank-level evidence using the dynamic dividend-discount model( )

1 edition published in 2006 in English and held by 3 WorldCat member libraries worldwide

We combine the dynamic dividend-discount model with an accounting-based vector autoregression framework that allows for a decomposition of EU banks.stock returns to cash-flow and expected return news components. The main findings are that while the bulk of the variability of EU banks.stock returns is due to cash flow shocks, the expected return shocks are relatively more important for larger than for smaller banks. Moroever, variables used in the literature as cash-flow proxies explain a higher share of the cash-flow component of the total excess returns for smaller than for larger EU banks. This suggests that large banks could be more prone to market wide news and events - that in the literature are associated with the expected return news component - as opposed to the bank-specific news, typically assumed to be incorporated in the cash-flow component
Financial market development and self-fulfilling currency crises by Olli Castrén( Book )

1 edition published in 1999 in English and held by 1 WorldCat member library worldwide

 
Audience Level
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Audience Level
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Audience level: 0.89 (from 0.83 for Estimating ... to 0.97 for Financial ...)

Languages
English (17)