Browsing Norges Banks vitenarkiv by Subject "structural VAR"

Now showing items 1-9 of 9

    • Assessing Estimates of the Exchange Rate Pass-Through 

      Bache, Ida Wolden (Working Papers;12/2007, Working paper, 2007)
      We investigate optimal horizons for targeting inflation in response to different shocks and their properties under alternative preferences of an inflation-targeting central bank. Our analysis is based on a well specified ...

    • Economic Uncertainty and the Effectiveness of Monetary Policy 

      Aastveit, Knut Are; Natvik, Gisle James; Sola, Sergio (Working Papers;17/2013, Working paper, 2013)
      This paper explores if economic uncertainty alters the macroeconomic influence of monetary policy. We consider several measures of U.S. economic uncertainty, and estimate their interaction effects with monetary policy ...

    • Financial Imbalances, Crisis Probability and Monetary Policy in Norway 

      Alstadheim, Ragna; Robstad, Ørjan; Vonen, Nikka Husom (Working Papers;21/2017, Working paper, 2017)
      We assess the strength of the impact of a monetary policy shock on financial crisis probability in Norway. Policy effects go via the interest rate impact on credit, house prices and banks’ wholesale funding. We find that ...

    • House Prices, Credit and the Effect of Monetary Policy in Norway: Evidence from Structural VAR Models 

      Robstad, Ørjan (Working Papers;5/2014, Working paper, 2014)
      This paper investigates the responses of house prices and household credit to monetary policy shocks in Norway, using Bayesian structural VAR models. I find that the effect of a monetary policy shock on house prices is ...

    • The macroeconomic effects of forward communication 

      Brubakk, Leif; ter Ellen, Saskia; Robstad, Ørjan; Xu, Hong (Working Paper;20/2019, Working paper, 2019)
      This paper provides an empirical assessment of the power of forward guidance at different horizons, shedding new light on the strength of the “forward guidance puzzle”. Our identification strategy allows us to disentangle ...

    • Mixed Frequency Structural Models: Estimation, and Policy Analysis 

      Foroni, Claudia; Marcellino, Massimiliano (Working Papers;15/2013, Working paper, 2013)
      In this paper we show analytically, with simulation experiments and with actual data that a mismatch between the time scale of a DSGE model and that of the time series data used for its estimation generally creates ...

    • Mixed Frequency Structural VARs 

      Foroni, Claudia; Marcellino, Massimiliano (Working Papers;1/2014, Working paper, 2014)
      A mismatch between the time scale of a structural VAR (SVAR) model and that of the time series data used for its estimation can have serious consequences for identification, estimation and interpretation of the impulse ...

    • Monetary Policy and Exchange Rate Overshooting: Dornbusch Was Right After All 

      Bjørnland, Hilde C. (Working Papers;9/2009, Working paper, 2009)
      Dornbusch’s exchange rate overshooting hypothesis is a central building block in international macroeconomics. Yet, empirical studies of monetary policy have typically found exchange rate effects that are inconsistent with ...

    • The global financial cycle, bank capital flows and monetary policy. Evidence from Norway 

      Alstadheim, Ragna; Blandhol, Christine (Working papers;2/2018, Working paper, 2018)
      We investigate the importance of a global financial cycle for gross capital inflows based on monthly balance sheet data for Norwegian banks. The VIX index has been interpreted as an “investor fear gauge” and associated ...