Blar i Norges Banks vitenarkiv på forfatter "ter Ellen, Saskia"
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Agreeing on Disagreement: Heterogeneity or Uncertainty?
ter Ellen, Saskia; Verschoor, Willem F.C.; Zwinkels, Remco C.J. (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 ... -
Bond market fire sales and turbulence in the Norwegian FX market in March 2020
Alstadheim, Ragna; Nordal, Kjell Bjørn; Syrstad, Olav; ter Ellen, Saskia; Wassas, May-Iren Walstad (Staff Memo;2/2021, Working paper, 2021)The world witnessed a meltdown in financial markets in March 2020 as the Covid-19 pandemic hit the global economy. In this memo we document how the turbulence affected Norwegian financial markets. We describe possible ... -
Comparing Behavioural Heterogeneity Across Asset Classes
Hommes, Cars H.; Zwinkels, Remco C.J.; ter Ellen, Saskia (Working Papers;12/2017, Working paper, 2017)We estimate a generic agent-based model in which agents have heterogeneous beliefs about the future price to see to what extent behaviour differs across assets, and what this implies for market stability. We find evidence ... -
ECB Spillovers and Domestic Monetary Policy Effectiveness in Small Open Economies
ter Ellen, Saskia; Jansen, Edvard; Midthjell, Nina Larsson (Working Paper;9/2018, Working paper, 2018)In this paper we study financial spillovers from the European Central Bank's (ECB) monetary policy and communication, and whether they have consequences for the effectiveness of domestic monetary policy of small open ... -
Forward Guidance Through Interest Rate Projections: Does It Work?
Brubakk, Leif; Xu, Hong; ter Ellen, Saskia (Working Papers;6/2017, Working paper, 2017)Based on high-frequency data for Norway and Sweden, we investigate to what extent explicit forward guidance from monetary policy makers, by means of publishing the path of expected future policy rates, affects the market ... -
Heterogeneous Beliefs and Asset Price Dynamics: A Survey of Recent Evidence
Verschoor, Willem F.C.; ter Ellen, Saskia (Working Papers;22/2017, Working paper, 2017)This paper reviews the empirical literature on heterogeneous beliefs and asset price dynamics that challenges the traditional rational agent framework. Emphasis is given to the validation and estimation of (dynamic) ... -
The macroeconomic effects of forward communication
Brubakk, Leif; ter Ellen, Saskia; Robstad, Ørjan; Xu, Hong (Working Paper;20/2019, Working paper, 2019)This paper provides an empirical assessment of the power of forward guidance at different horizons, shedding new light on the strength of the “forward guidance puzzle”. Our identification strategy allows us to disentangle ... -
Narrative monetary policy surprises and the media
ter Ellen, Saskia; Larsen, Vegard H.; Thorsrud, Leif Anders (Working Paper;19/2019, Working paper, 2019)We propose a method to quantify narratives from textual data in a structured manner, and identify what we label "narrative monetary policy surprises" as the change in economic media coverage that can be explained by central ... -
Nonlinearities in the Relationship Between Oil Price Changes and Movements in the Norwegian Krone
ter Ellen, Saskia (Staff Memo;18/2016, Working paper, 2016)Anecdotal evidence as well as previous empirical analysis indicates that the relation between oil price changes and movements in the Norwegian krone is not stable over time. We can observe that there is no or only a weakly ... -
Oil Price Shocks and the Norwegian Effective Exchange Rate – an SVAR Approach
ter Ellen, Saskia; Martinsen, Kjetil (Staff Memo;16/2016, Working paper, 2016)We employ a structural VAR model to investigate direct and indirect effects of oil price changes on the Norwegian effective exchange rate (I44). The model is estimated on different subsamples and with different model ...