Browsing Norges Banks vitenarkiv by Subject "structural breaks"
Now showing items 1-2 of 2
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Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section
(Working Papers;19/2013, Working paper, 2013)This paper proposes a Bayesian estimation framework for a typical multi-factor model with time-varying risk exposures to macroeconomic risk factors and corresponding premia to price U.S. stocks and bonds. The model assumes ... -
Real-Time Inflation Forecasting in a Changing World
(Working Papers;16/2009, Working paper, 2009)This paper revisits inflation forecasting using reduced form Phillips curve forecasts, i.e., inflation forecasts using activity and expectations variables. We propose a Phillips curve-type model that results from averaging ...