Olli Castren

European Central Bank (ECB)

Sonnemannstrasse 22

Frankfurt am Main, 60314

Germany

SCHOLARLY PAPERS

16

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3,766

CITATIONS
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Top 10,675

in Total Papers Citations

39

Scholarly Papers (16)

1.

Measuring the Euro Exchange Rate Risk Premium: The Conditional International CAPM Approach

EFMA 2003, Helsinki, Finland
Number of pages: 30 Posted: 02 May 2003
European Central Bank (ECB), European Central Bank (ECB) and Reserve Bank of Australia
Downloads 1,006 (19,267)
Citation 5

Abstract:

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exchange rate and equity risk premium, international asset pricing, multivariate GARCH

2.

Balance Sheet Interlinkages and Macro-Financial Risk Analysis in the Euro Area

ECB Working Paper No. 1124
Number of pages: 48 Posted: 11 Dec 2009
Olli Castren and Ilja Kristian Kavonius
European Central Bank (ECB) and European Central Bank
Downloads 541 (45,658)
Citation 3

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Balance sheet contagion, financial accounts, network models, contingent claims analysis, systemic risk, macro-prudential analysis

3.

Assessing Portfolio Credit Risk Changes in a Sample of EU Large and Complex Banking Groups in Reaction to Macroeconomic Shocks

ECB Working Paper No. 1002
Number of pages: 38 Posted: 08 Mar 2008
European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 340 (79,915)
Citation 3

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Portfolio credit risk measurement, stress testing, macroeconomic shock measurement

4.

Global Macro-Financial Shocks and Expected Default Frequencies in the Euro Area

ECB Working Paper No. 875
Number of pages: 44 Posted: 27 Feb 2008
Olli Castren, Stephane Dees and Fadi Zaher
European Central Bank (ECB), European Central Bank (ECB) and affiliation not provided to SSRN
Downloads 281 (98,767)
Citation 4

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Credit risk, Global VAR, corporate default probability, macro stress testing

5.

Capital Market Development, Corporate Governance and the Credibility of Exchange Rate Pegs

ECB Working Paper No. 34
Number of pages: 30 Posted: 12 Dec 2002
Olli Castren and Tuomas Takalo
European Central Bank (ECB) and Bank of Finland, Monetary Policy and Research Department
Downloads 242 (115,927)
Citation 4

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Exchange Rate Pegs, Speculative Attacks, Output Persistence, Capital Market Frictions, Corporate Governance

6.

Foreign Exchange Option and Returns Based Correlation Forecasts: Evaluation and Two Applications

ECB Working Paper No. 447
Number of pages: 50 Posted: 06 May 2005
Olli Castren and Stefano Mazzotta
European Central Bank (ECB) and Kennesaw State University - Michael J. Coles College of Business
Downloads 235 (118,927)
Citation 1

Abstract:

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Correlation forecasts, currency options data, effective exchange rate

7.

What Drives EU Banks' Stock Returns? Bank-Level Evidence Using the Dynamic Dividend-Discount Model

ECB Working Paper No. 677
Number of pages: 31 Posted: 10 Oct 2006
European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 189 (146,469)
Citation 2

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Bank stock return predictability, return decomposition, panel VAR estimation, cash flow news

8.

What Drives Investors' Behaviour in Different FX Market Segments? A Var-Based Return Decomposition Analysis

ECB Working Paper No. 706
Number of pages: 36 Posted: 28 Dec 2006
Olli Castren, Chiara Osbat and Matthias Sydow
European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 184 (150,087)

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FX return prediction, investor flows, news surprises, panel estimation, stationary VAR

9.

Estimating and Analysing Currency Options Implied Risk-Neutral Density Functions for the Largest New EU Member States

ECB Working Paper No. 440
Number of pages: 51 Posted: 05 May 2005
Olli Castren
European Central Bank (ECB)
Downloads 177 (155,398)
Citation 3

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Foreign exchange rate market sentiment, monetary policy news, currency options data

10.

Growth Expectations, Capital Flows and International Risk Sharing

ECB Working Paper No. 237
Number of pages: 44 Posted: 16 Dec 2003
Olli Castren, Roger Stiegert and Marcus H. Miller
European Central Bank (ECB), European Central Bank (ECB) and University of Warwick - Department of Economics
Downloads 142 (187,565)
Citation 3

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Capital flows, consumption smoothing, risk aversion, international risk sharing, international business cycle synchronisation

11.

Do Financial Market Variables Show (Symmetric) Indicator Properties Relative to Exchange Rate Returns?

ECB Working Paper No. 379
Number of pages: 42 Posted: 09 Dec 2004
Olli Castren
European Central Bank (ECB)
Downloads 101 (242,149)

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Exchange rates, asset prices, capital flows, leading and lagging indicators, market microstructure

12.

Do Options-Implied Rnd Functions on G3 Currencies Move Around the Times of Interventions on the Jpy/Usd Exchange Rate?

ECB Working Paper No. 410
Number of pages: 65 Posted: 13 Dec 2004
Olli Castren
European Central Bank (ECB)
Downloads 82 (276,649)
Citation 6

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Foreign exchange market intervention, option-implied distributions, GARCH estimation

13.

Macro-Networks: An Application to the Euro Area Financial Accounts

ECB Working Paper No. 1510
Number of pages: 42 Posted: 12 Feb 2013
Olli Castren and Michela Rancan
European Central Bank (ECB) and European University Institute
Downloads 73 (296,154)

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financial networks, balance sheet contagion, cross-border exposures, interconnectedness, financial crises

14.

Accountability of the ECB and a Government's Incentives to Rebel Against the Common Monetary Policy in Emu

Bank of Finland Working Paper No. 2/1999
Number of pages: 23 Posted: 25 Jun 2002
Olli Castren
European Central Bank (ECB)
Downloads 69 (305,570)
Citation 1

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Monetary uncertainty, monetary strategy, EMU

15.

Capital Flows and the Us 'New Economy': Consumption Smoothing and Risk Exposure

ECB Working Paper No. 459
Number of pages: 36 Posted: 11 May 2005
Marcus H. Miller, Olli Castren and Lei Zhang
University of Warwick - Department of Economics, European Central Bank (ECB) and University of Warwick - Department of Economics
Downloads 61 (325,881)
Citation 2

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Capital flows, moral hazard, international transmission of shocks

16.

Labour Market Reform and the Sustainability of Exchange Rate Pegs

Bank of Finland Research Discussion Paper No. 22/2004, ECB Working Paper No. 406, Cass Business School Research Paper
Number of pages: 37 Posted: 13 Dec 2004
Olli Castren, Tuomas Takalo and Geoffrey Wood
European Central Bank (ECB), Bank of Finland, Monetary Policy and Research Department and Cass Business School
Downloads 43 (380,739)
Citation 2

Abstract:

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exchange rate policy, labour market flexibility, structural reform