Blar i Norges Banks vitenarkiv på tittel
Viser treff 30-49 av 2795
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A Small, Calibrated Macromodel to Support Inflation Targeting at Norges Bank
(Staff Memo;3/2004, Working paper, 2004)This note outlines a small, calibrated macromodel that can be used to support inflation targeting at Norges Bank. The model provides a stylised representation of the key flows in the macro economy, with a particular emphasis ... -
A Study of Implied Risk-Neutral Density Functions in the Norwegian Option Market
(Working Papers;13/2002, Working paper, 2002)Option prices are assumed to contain unique information about how market participants assess the likelihood of different outcomes for future market prices. The main object of this study is to analyse the potential value ... -
A Suite-Of-Models Approach to Stress-Testing Financial Stability
(Staff Memo;2/2008, Working paper, 2008)This paper presents a suite of models developed to stress-test financial stability. A macro model is linked to micro data-based models for households, firms and banks. The macro model includes credit- and consumer ... -
A Survey of Econometric Methods for Mixed-Frequency Data
(Working Papers;6/2013, Working paper, 2013)The development of models for variables sampled at different frequencies has attracted substantial interest in the recent econometric literature. In this paper we provide an overview of the most common techniques, including ... -
A Survey of the Small-Firm Effect
(Discussion note;12/2012, Others, 2012)The small-firm effect (SFE) refers to the long-term average excess returns that a portfolio of small-capitalisation stocks earns over a portfolio of large-capitalisation stocks. In this note, we review the extensive empirical ... -
A Test of Uncovered Interest Rate Parity for Ten European Countries Based on Bottstrapping and Panel Data Models
(Working Papers;9/1997, Working paper, 1997)Based on both single country models and panel data models uncovered interest rate parity is tested for ten European countries relative to Germany by regressing exchange rate changes on interest rate differentials. The ... -
A Transaction Data Study of the Forward Bias Puzzle
(Working Papers;26/2010, Working paper, 2010)Using ten years of FX transactions data we demonstrate that a large share of the FX forward discount bias can be accounted for by order flow. A simple microstructure-based decomposition suggests that order flow creates a ... -
ACI Nordic Congress : Panel discussion
(Others, 2002) -
Addressing climate-related risks and opportunities as a financial investor
(The Asset Manager Perspective;1/2021, Others, 2021)Climate change poses a financial risk to investors. Understanding when, where and how the effects of climate change will materialise is an important but complex exercise. Although the timing and magnitude of the consequences ... -
Age Structure Effects and Consumption in Norway, 1968(3) – 1998(4)
(Working Papers;1/2003, Working paper, 2003)In this paper the effects of a changing age distribution on aggregate consumption are analysed. This is done by estimating a Norwegian consumption function which controls for age structure effects. The model is estimated ... -
Aggregate Bankruptcy Probabilities and Their Role in Explaining Banks’ Loan Losses
(Working Papers;2/2004, Working paper, 2004)Increased competition forces banks to narrow lending margins and at the same time relaxed lending standards worsen the pool of borrowers. To preserve sound banking system it is important task to monitor credit risk as one ... -
Aggregate density forecast of models using disaggregate data - A copula approach
(Working paper;5/2022, Working paper, 2022)We propose a novel copula approach to producing density forecasts of economic aggregates combining models using disaggregate data. Our copula approach is more flexible compared to existing techniques, because it is applicable ... -
Agreeing on Disagreement: Heterogeneity or Uncertainty?
(Working Papers;4/2016, Working paper, 2016)Disagreement is used as a measure of both investor heterogeneity and uncertainty. We study whether disagreement captures heterogeneity or uncertainty for the foreign exchange market. We do so by relating disagreement to ... -
Aksjeandelen i Statens pensjonsfond utland
(Others, 2016) -
Aksjemarkedets mikrostruktur – betyr det noe?
(Journal article, 2006)Mikrostrukturmodeller skiller seg fra tradisjonelle finansmodeller ved å åpne for at lovlig informasjon om underliggende selskapsverdier kan være ulikt fordelt og analysert mellom markedsaktørene. Litteraturen på fagområdet ... -
Aktuelle pengepolitiske spørsmål
(Others, 2002) -
Aktuelle stabiliseringspolitiske utfordringer for sentralbanken
(Others, 1998) -
Aktuelle økonomiske og pengepolitiske problemstillinger
(Others, 1998) -
Alternative virkemidler i pengepolitikken - den nødvendige monetære økosirk
(Staff Memo;12/2016, Working paper, 2016)I dette notatet ser vi [...] nærmere på alternative virkemidler med særlig fokus på monetær økosirk. Vi drøfter først ulike pengemengdebegreper og hvordan penger skapes. Deretter ser vi nærmere på såkalte likviditetsstyr ... -
Alternatives to a Market-Value-Weighted Index
(Discussion note;7/2012, Others, 2012)We study alternative portfolio construction methods in an attempt to improve the return-to-risk characteristics of market value weights. To understand the investability of these approaches we introduce a novel way to measure ...