Blar i Norges Banks vitenarkiv på tittel
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A Model for Predicting Aggregated Corporate Credit Risk
(Journal article, 2010)For many financial institutions credit risk, and in particular credit risk on loans to corporate borrowers, is the major source of risk. Good estimates of credit risk are important both for pricing individual loans and ... -
A Model for Predicting Aggregated Corporate Credit Risk
(Journal article, 2010)We present a model linking macroeconomic variables directly to an aggregate measure of credit risk in selected industries. The model is an alternative to an approach where firm-specific credit risk is predicted and then ... -
A Model of Bankruptcy Prediction
(Working Papers;10/2001, Working paper, 2001)In this thesis, a model of bankruptcy prediction conditional on financial statements is presented. Apart from giving a discussion on the suggested variables the issue of functional form is raised. The specification most ... -
A Model of Credit Risk in the Corporate Sector Based on Bankruptcy Prediction
(Staff Memo;20/2016, Working paper, 2016)We propose a method for assessing the risk of losses on bank lending to the non-financial corporate sector based on bankruptcy probability modelling. We estimate bankruptcy models for different industries and attach a risk ... -
A New Monthly Indicator of Global Real Economic Activity
(Working Papers;6/2015, Working paper, 2015)In modelling macroeconomic time series, often a monthly indicator of global real economic activity is used. We propose a new indicator, named World steel production, and compare it to other existing indicators, precisely ... -
A New Settlement System at Norges Bank
(Journal article, 2012)Norges Bank is among the first central banks to have outsourced the IT operation of its settlement system and adopted a second generation off-the-shelf settlement system from a commercial software vendor. During the two ... -
A Note on Inflation Persistence
(Working Papers;14/2002, Working paper, 2002)Macroeconomists have for some time been aware that the New Keynesian Phillips curve, though highly popular in the literature, cannot explain the persistence observed in actual inflation. We argue that one of the more ... -
A Quantitative Discursive Dilemma
(Working Papers;7/2007, Working paper, 2007)The typical judgment aggregation problem in economics and other fields is the following: A group of people has to judge/estimate the value of an uncertain variable y which is a function of κ other variables, i.e. y=D(χ1, ... -
A Retrospective on the Introduction of Prices in the Norwegian Payment System
(Journal article, 2006)During the 1980s, Norwegian banks introduced direct pricing of customers’ use of payment services. Direct pricing of payment services is relatively uncommon in other countries and Norway thus stands out in relation to the ... -
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 ...