Blar i Norges Banks vitenarkiv på forfatter "Furlanetto, Francesco"

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    • The decline of the labor share: new empirical evidence 

      Bergholt, Drago; Furlanetto, Francesco; Faccioli, Nicolò Maffei (Working Paper;18/2019, Working paper, 2019)
      We estimate a structural vector autoregressive model in order to quantify four main explanations for the decline of the US labor income share: (i) rising market power of firms, (ii) falling market power of workers, (iii) ...

    • Did monetary policy kill the Phillips Curve? Some simple arithmetics 

      Bergholt, Drago; Furlanetto, Francesco; Vaccaro-Grange, Etienne (Working paper;2/2023, Working paper, 2023)
      An apparent disconnect has taken place between inflation and economic activity in the US over the last 25 years, with price inflation remaining remarkably stable in spite of large fluctuations in the output gap and other ...

    • Does Monetary Policy React to Asset Prices? Some International Evidence 

      Furlanetto, Francesco (Working Papers;7/2008, Working paper, 2008)
      This paper attempts to measure the reaction of monetary policy to the stock market. We apply the procedure of Rigobon and Sack (2003) to identify and estimate a VAR in the presence of heteroskedasticity. This procedure ...

    • Estimating hysteresis effects 

      Furlanetto, Francesco; Robstad, Ørjan; Ulvedal, Pål; Lepetit, Antoine (Working Paper;13/2020, Working paper, 2020)
      In this paper we extend the standard Blanchard-Quah decomposition to enable fluctuations in aggregate demand to have a long-run impact on the productive capacity of the economy through hysteresis effects. These demand ...

    • Explaining Deviations from Okun’s Law 

      Foroni, Claudia; Furlanetto, Francesco (Working paper;4/2022, Working paper, 2022)
      Despite its stability over time, as for any statistical relationship, Okun’s law is subject to deviations that can be large at times. In this paper, we provide a mapping between residuals in Okun’s regressions and structural ...

    • Fiscal Shocks and Real Rigidities 

      Furlanetto, Francesco; Seneca, Martin (Working Papers;10/2008, Working paper, 2008)
      In this paper we show that empirically plausible results on the effects of fiscal shocks in Galí, López-Salido and Vallés (2007) rely on a high degree of price stickiness and a large percentage of financially constrained ...

    • Fiscal Stimulus in a Credit Crunch: The Role of Wage Rigidity 

      Furlanetto, Francesco (Working Papers;8/2009, Working paper, 2009)
      In this paper we study the impact of an expansion in public spending in a credit constrained economy with sticky wages. The flexible wage version of the model implies strong expansionary effects on output and consumption ...

    • Has the Fed Responded to House and Stock Prices? : a Time-Varying Analysis 

      Aastveit, Knut Are; Furlanetto, Francesco; Loria, Francesca (Working Papers;1/2017, Working paper, 2017)
      In this paper we use a structural VAR model with time-varying parameters and stochastic volatility to investigate whether the Federal Reserve has responded systematically to asset prices and whether this response has changed ...

    • Identification of Financial Factors in Economic Fluctuations 

      Furlanetto, Francesco; Ravazzolo, Francesco; Sarferaz, Samad (Working Papers;9/2014, Working paper, 2014)
      We estimate demand, supply, monetary, investment and financial shocks in a VAR identified with a minimum set of sign restrictions on US data. We find that financial shocks are major drivers of fluctuations in output, stock ...

    • Immigration and the Macroeconomy: Some New Empirical Evidence 

      Furlanetto, Francesco; Robstad, Ørjan (Working Papers;18/2016, Working paper, 2016)
      We propose a new VAR identification scheme that enables us to disentangle immigration shocks from other macroeconomic shocks. Identification is achieved by imposing sign restrictions on Norwegian data over the period 1990Q1 ...

    • Investment Shocks and Macroeconomic Co-Movement 

      Furlanetto, Francesco; Natvik, Gisle James; Seneca, Martin (Working Papers;14/2011, Working paper, 2011)
      Recent studies find that shocks to the marginal efficiency of investment are a main driver of business cycles. Yet, they struggle to explain why consumption co-moves with real variables such as investment and output, which ...

    • Investment-Specific Technology Shocks and Consumption 

      Furlanetto, Francesco; Seneca, Martin (Working Papers;30/2010, Working paper, 2010)
      Current business cycle models systematically underestimate the correlation between consumption and investment. One reason for this failure is that a positive investment-specific technology shock generally induces a negative ...

    • Labour Supply Factors and Economic Fluctuations 

      Foroni, Claudia; Furlanetto, Francesco; Lepetit, Antoine (Working Papers;7/2015, Working paper, 2015)
      We propose a new VAR identification scheme that enables us to disentangle labour supply shocks from wage bargaining shocks. identification is achieved by imposing robust signrestrictions that are derived from a New Keynesian ...

    • Matching Efficiency and Business Cycle Fluctuations 

      Furlanetto, Francesco; Groshenny, Nicolas (Working Papers;7/2012, Working paper, 2012)
      A large decline in the efficiency of the U.S. labor market in matching unemployed workers and vacant jobs has been documented during the Great Recession. We use a simple New Keynesian model with search and matching frictions ...

    • Mismatch Shocks and Unemployment During the Great Recession 

      Furlanetto, Francesco; Groshenny, Nicolas (Working Papers;16/2013, Working paper, 2013)
      We investigate the macroeconomic consequences of fluctuations in the effectiveness of the labor-market matching process with a focus on the Great Recession. We conduct our analysis in the context of an estimated medium-scale ...

    • New Perspectives on Depreciation Shocks as a Source of Business Cycle Fluctuations 

      Furlanetto, Francesco; Seneca, Martin (Working Papers;2/2011, Working paper, 2011)
      In this paper we study the transmission for capital depreciation shocks. The existing literature in the Real Business Cycle tradition has concluded that these shocks are irrelevant for business cycle fluctuations. We show ...

    • Norges Bank Output Gap Estimates: Forecasting Properties, Reliability and Cyclical Sensitivity 

      Furlanetto, Francesco; Hagelund, Kåre; Hansen, Frank; Robstad, Ørjan (Working Paper;7/2020, Working paper, 2020)
      This paper documents the suite of models used by Norges Bank to estimate the output gap. The models are estimated using data on GDP, unemployment, inflation, wages, investment, house prices and credit. We evaluate the ...

    • On the Importance of Foreign Factors for the Norwegian Economy 

      Aastveit, Knut Are; Furlanetto, Francesco; Ravazzolo, Francesco (Economic Commentaries;3/2013, Others, 2013)
      The objective of this note is to describe two recent studies that both quantify the importance of foreign factors for the Norwegian economy by using time series econometric models. Furlanetto, Ravazzolo and Sarferaz (2013) ...

    • Output Gap, Monetary Policy Trade-Offs and Financial Frictions 

      Furlanetto, Francesco; Gelain, Paolo; Sanjani, Marzie Taheri (Working Papers;8/2017, Working paper, 2017)
      This paper investigates how the presence of financial frictions and financial shocks changes the definition and the estimated dynamics of the output gap in a New Keynesian model. Financial shocks absorb explanatory power ...

    • Review of macro modelling for policy purposes at Norges Bank 

      Canova, Fabio; Furlanetto, Francesco; Smets, Frank; Wieland, Wolker (Occasional papers;55, Book, 2019)
      The evaluation team was given a mandate to assess whether the current set of models employed for monetary policy analysis and forecasting purposes (i) constitute best practice in the policy arena and in relation to recent ...