Browsing Norges Banks vitenarkiv by Title

Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo MATLAB Toolbox

Casarin, Roberto; Grassi, Stefano; Ravazzolo, Francesco; van Dijk, Herman K. (Working Papers;11/2014, Working paper, 2014)

This paper presents the MATLAB package DeCo (density combination) which is based on the paper by Billio, Casarin, Ravazzolo, and van Dijk (2013) where a constructive Bayesian approach is presented for combining predictive ...

Partially Censored Posterior for robust and efficient risk evaluation

Borowska, Agnieszka; Hoogerheide, Lennart; Koopman, Siem Jan; van Dijk, Herman K. (Working Paper;12/2019, Working paper, 2019)

A novel approach to inference for a speciﬁc region of the predictive distribution is introduced. An important domain of application is accurate prediction of ﬁnancial risk measures, where the area of interest is the left ...

Payment Habits at Point of Sale. Different Methods of Calculating Use of Cards and Cash in Norway

Gresvik, Olaf; Haare, Harald (Staff Memo;6/2008, Working paper, 2008)

We use different empirical methods for estimating the use of cash in Norway. One method gives an estimate of the “maximum” value of cash use at point of sale. A second estimates the minimum use of cash in the society ...

Payment Systems – a Potential Source of Risk. The Need for Oversight and Supervision

Haare, Harald; Sletner, Inger-Johanne (Journal article, 2007)

Since the early 1990s, there has been increased attention on the risk banks incur through their role in the payment system. The primary focus has not been on the individual bank’s risk exposure but on the possibility of ...

Peer effects and debt accumulation: Evidence from lottery winnings

Gulbrandsen, Magnus A. H. (Working Paper;10/2021, Working paper, 2021)

I estimate the effect of lottery winnings on peers' debt accumulation using administrative data from Norway. I identify neighbors of lottery winners, and estimate an average debt response of 2.1 percent of the lottery ...

Peer Monitoring vs. Search Costs in the Interbank Market: Evidence from Payment Flow Data in Norway

Findreng, Jon H. (Working Paper;2/2021, Working paper, 2021)

Bilateral payment flows between banks may provide private information about a borrowing bank’s liquidity position. This paper analyses whether private information on the bilateral payment flow of central bank reserves ...