Blar i Norges Banks vitenarkiv på emneord "JEL: C33"
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A bankruptcy probability model for assessing credit risk on corporate loans with automated variable selection
(Working paper;7/2022, Working paper, 2022)We propose an econometric model for predicting the share of bank debt held by bankrupt firms by combining a novel set of firm-level financial variables and macroeconomic indicators. Our firm-level data include payment ... -
Banks’ Buffer Capital: How Important Is Risk?
(Working Papers;11/2003, Working paper, 2003)Most banks hold a capital to asset ratio well above the required minimum defined by the present capital adequacy regulation (Basel I). Using bank-level panel data from Norway, important hypotheses concerning the determination ... -
Estimating the Output Gap in Real Time: A Factor Model Approach
(Working Papers;23/2008, Working paper, 2008)An approximate dynamic factor model can substantially improve the reliability of real time output gap estimates. The model extracts a common component from macroeconomic indicators, which reduces errors in the gap due to ... -
Have Standard VARs Remained Stable Since the Crisis?
(Working Papers;13/2014, Working paper, 2014)Small or medium-scale VARs are commonly used in applied macroeconomics for forecasting and evaluating the shock transmission mechanism. This requires the VAR parameters to be stable over the evaluation and forecast sample, ... -
How Do Banks’ Funding Costs Affect Interest Margins?
(Working Papers;9/2011, Working paper, 2011)We use a dynamic factor model and a detailed panel data set with quarterly accounts data on all Norwegian banks to study the effects of banks’ funding costs on their retail rates. Banks’ funds are categorized into two ... -
Large T and Small N: A Three-Step Approach to the Identification of Cointegrating Relationships in Time Series Models with a Small Cross-Sectional Dimension
(Working Papers;15/2004, Working paper, 2004)This paper addresses cointegration in small cross-sectional panel data models. In addition to dealing with cointegrating relationships within the cross-sectional dimension, the paper explicitly addresses the issue of ... -
Multiple credit constraints and timevarying macroeconomic dynamics
(Working Paper;10/2020, Working paper, 2020)I explore the macroeconomic implications of borrowers facing both loan-to-value (LTV) and debt-service-to-income (DTI) limits, using an estimated DSGE model. I identify when each constraint dominated over the period ... -
Residential Investment and Recession Predictability
(Working Papers;24/2017, Working paper, 2017)We assess the importance of residential investment in predicting economic recessions for an unbalanced panel of 12 OECD countries over the period 1960Q1-2014Q4. Our approach is to estimate various probit models with different ... -
Supply Flexibility in the Shale Patch: Evidence from North Dakota
(Working Papers;9/2017, Working paper, 2017)We question whether supply flexibility in oil production depends on the type of extraction technology. In particular, we ask if shale oil producers respond to price incentives when producing oil or completing new wells. ... -
The Effect of New Technology in Payment Services on Banks' Intermediation
(Working Papers;6/2002, Working paper, 2002)In many countries, payment services in banking have shifted from paper-based giro and cheque payments to electronic giro and debit card payments. This paper analyses the effect of this change in payment technology within ... -
The Relation Between Banks' Funding Costs, Retail Rates and Loan Volumes: An Analysis of Norwegian Bank Micro Data
(Working Papers;17/2012, Working paper, 2012)We use a dynamic factor model and a detailed panel data set for six Norwegian bank groups to analyze i) how funding costs affect retail loan rates and ii) how retail rate differences between banks affect market shares. The ...