Blar i Norges Banks vitenarkiv på forfatter "Maih, Junior"

Viser treff 1-20 av 21

    • Applying Flexible Parameter Restrictions in Markov-Switching Vector Autoregression Models 

      Binning, Andrew; Maih, Junior (Working Papers;17/2015, Working paper, 2015)
      We present a new method for imposing parameter restrictions in Markov-Switching Vector Autoregression (MS-VAR) models. Our method is more flexible than competing methodologies and easily handles a range of parameter ...

    • Asymmetric monetary policy rules for the euro area and the US 

      Maih, Junior; Mazelis, Falk; Motto, Roberto; Ristiniemi, Annukka (Working Paper;7/2021, Working paper, 2021)
      We analyse the implications of asymmetric monetary policy rules by estimating Markovswitching DSGE models for the euro area (EA) and the US. The estimations show that until mid-2014 the ECB's response to inflation was more ...

    • Conditional Forecasts in DSGE Models 

      Maih, Junior (Working Papers;7/2010, Working paper, 2010)
      New-generation DSGE models are sometimes misspecified in dimensions that matter for their forecasting performance. The paper suggests one way to improve the forecasts of a DSGE model using a conditioning information that ...

    • Do Central Banks Respond to Exchange Rate Movements? a Markov-Switching Structural Investigation 

      Alstadheim, Ragna; Bjørnland, Hilde C.; Maih, Junior (Working Papers;24/2013, Working paper, 2013)
      Do central banks respond to exchange rate movements? According to Lubik and Schorfheide (2007) who estimate structural general equilibrium models with monetary policy rules, the answer is "Yes, some do". However, their ...

    • Efficient Perturbation Methods for Solving Regime-Switching DSGE Models 

      Maih, Junior (Working Papers;1/2015, Working paper, 2015)
      In an environment where economic structures break, variances change, distributions shift, conventional policies weaken and past events tend to reoccur, economic agents have to form expectations over different regimes. This ...

    • Estimating the Natural Rates in a Simple New Keynesian Framework 

      Bjørnland, Hilde C.; Leitemo, Kai; Maih, Junior (Working Papers;10/2007, Working paper, 2007)
      The time-varying natural rate of interest and output and the implied medium term inflation target for the US economy are estimated over the period 1983-2005. The estimation is conducted within the New-Keynesian framework ...

    • Expectations switching in a DSGE model of the UK 

      Borge, Anette; Bårdsen, Gunnar; Maih, Junior (Working Paper;4/2020, Working paper, 2020)
      Rational expectations (RE) has been dominant both in the economic literature and in the macromodels routinely used in central banks. The RE assumption has recently come under attack as one of the drawbacks of the Dynamic ...

    • Finding NEMO : Documentation of the Norwegian Economy Model 

      Brubakk, Leif; Husebø, Tore Anders; Maih, Junior; Olsen, Kjetil; Østnor, Magne (Staff Memo;6/2006, Working paper, 2006)
      Over the last decade monetary policy in Norway has gradually evolved from exchange rate targeting to flexible inflation targeting. In addition, globalization has affected the Norwegian economy substantially over the last ...

    • Forecast Uncertainty in the Neighborhood of the Effective Lower Bound: How Much Asymmetry Should We Expect? 

      Binning, Andrew; Maih, Junior (Working Papers;13/2016, Working paper, 2016)
      The lower bound on interest rates has restricted the impact of conventional monetary policies over recent years and could continue to do so in the near future, with the decline in natural real rates not predicted to reverse ...

    • Implementing the Zero Lower Bound in an Estimated Regime-Switching DSGE Model 

      Binning, Andrew; Maih, Junior (Working Papers;3/2016, Working paper, 2016)
      The Zero Lower Bound (ZLB) on policy rates is one of the key monetary policy issues du jour. In this paper we investigate the problem of modelling and estimating the ZLB in a simple New Keynesian model with regime switches. ...

    • Is monetary policy always effective? Incomplete interest rate pass-through in a DSGE model 

      Binning, Andrew; Bjørnland, Hilde C.; Maih, Junior (Working Paper;22/2019, Working paper, 2019)
      We estimate a regime-switching DSGE model with a banking sector to explain incomplete and asymmetric interest rate pass-through, especially in the presence of a binding zero lower bound (ZLB) constraint. The model is ...

    • Joint Prediction Bands for Macroeconomic Risk Management 

      Akram, Q. Farooq; Binning, Andrew; Maih, Junior (Working Papers;7/2016, Working paper, 2016)
      In this paper we address the issue of assessing and communicating the joint probabilities implied by density forecasts from multivariate time series models. We focus our attention in three areas. First, we investigate a ...

    • Leaning Against the Wind When Credit Bites Back 

      Gerdrup, Karsten R.; Hansen, Frank; Krogh, Tord; Maih, Junior (Working Papers;9/2016, Working paper, 2016)
      This paper analyzes the cost-benefit trade-off of leaning against the wind (LAW) in monetary policy. Our starting point is a New Keynesian Markov-switching model where the economy can be in a normal state or in a crisis ...

    • Loose Commitment in Medium-Scale Macroeconomic Models: Theory and an Application 

      Debortoli, Davide; Maih, Junior; Nunes, Ricardo (Working Papers;25/2010, Working paper, 2010)
      This paper proposes a method and a toolkit for solving optimal policy with imperfect commitment in linear quadratic models. As opposed to the existing literature, our method can be employed in medium- and large-scale models ...

    • Modelling Occasionally Binding Constraints Using Regime-Switching 

      Binning, Andrew; Maih, Junior (Working Papers;23/2017, Working paper, 2017)
      Occasionally binding constraints are part of the economic landscape: for instance recent experience with the global financial crisis has highlighted the gravity of the lower bound constraint on interest rates; mortgagors ...

    • Monetary Policy Analysis in Practice 

      Alstadheim, Ragna; Bache, Ida Wolden; Holmsen, Amund; Maih, Junior; Røisland, Øistein (Staff Memo;11/2010, Working paper, 2010)
      Norges Bank is one of few central banks publishing an interest rate fore- cast. This paper discusses how we derive and communicate the interest rate forecast. To produce the forecasts, the Bank uses a medium-sized small ...

    • Monetary Policy Analysis in Practice - a Conditional Forecasting Approach 

      Bache, Ida Wolden; Brubakk, Leif; Jore, Anne Sofie; Maih, Junior; Nicolaisen, Jon (Staff Memo;8/2010, Working paper, 2010)
      In this paper we provide a broad outline of the forecasting and policy analysis system adopted at Norges Bank.

    • Oil and Macroeconomic (In)Stability 

      Bjørnland, Hilde C.; Larsen, Vegard Høghaug; Maih, Junior (Working Papers;12/2016, Working paper, 2016)
      We analyze the role of oil price volatility in reducing U.S. macroeconomic instability. Using a Markov Switching Rational Expectation New-Keynesian model we revisit the timing of the Great Moderation and the sources of ...

    • Sigma Point Filters for Dynamic Nonlinear Regime Switching Models 

      Binning, Andrew; Maih, Junior (Working Papers;10/2015, Working paper, 2015)
      In this paper we take three well known Sigma Point Filters, namely the Unscented Kalman Filter, the Divided Difference Filter, and the Cubature Kalman Filter, and extend them to allow for a very general class of dynamic ...

    • Simple Rules Versus Optimal Policy: What Fits? 

      Bache, Ida Wolden; Brubakk, Leif; Maih, Junior (Working Papers;3/2010, Working paper, 2010)
      We estimate a small open-economy DSGE model for Norway with two specifications of monetary policy: a simple instrument rule and optimal policy based on an intertemporal loss function. The empirical fit of the model with ...