Browsing Norges Banks vitenarkiv by Subject "VAR"

Now showing items 1-13 of 13

    • A Survey of Econometric Methods for Mixed-Frequency Data 

      Foroni, Claudia; Marcellino, Massimiliano (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 ...

    • Are Bank Lending Shocks Important for Economic Fluctuations? 

      Halvorsen, Jørn Inge; Jacobsen, Dag Henning (Working Papers;27/2009, Working paper, 2009)
      We analyze the importance of bank lending shocks on real activity in Norway and the UK, using structural VARs and based on quarterly data for the past 21 years. The VARs are identified using a combination of sign and ...

    • 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 ...

    • 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 ...

    • Identifying the Interdependence Between Us Monetary Policy and the Stock Market 

      Bjørnland, Hilde C.; Leitemo, Kai (Working Papers;4/2008, Working paper, 2008)
      We estimate the interdependence between US monetary policy and the S&P 500 using structural VAR methodology. A solution is proposed to the simultaneity problem of identifying monetary and stock price shocks by using a ...

    • 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 ...

    • 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 ...

    • Monetary Policy and Exchange Rate Interactions in a Small Open Economy 

      Bjørnland, Hilde C. (Working Papers;16/2005, Working paper, 2005)
      This paper analyses the transmission mechanisms of monetary policy in a small open economy like Norway through structural VARs, paying particular attention to the interdependence between the monetary policy stance and ...

    • Monetary Policy and the Illusionary Exchange Rate Puzzle 

      Bjørnland, Hilde C. (Working Papers;11/2005, Working paper, 2005)
      Dornbusch’s exchange rate overshooting hypothesis is a central building block in international macroeconomics. Yet, empirical studies of monetary policy have typically found exchange rate effects that are inconsistent with ...

    • Oil Price Shocks and Stock Market Booms in an Oil Exporting Country 

      Bjørnland, Hilde C. (Working Papers;16/2008, Working paper, 2008)
      This paper analyses the effects of oil price shocks on stock returns in Norway, an oil exporting country, highlighting the transmission channels of oil prices for macroeconomic behaviour. To capture the interaction between ...

    • The Impact of House Prices on Household Debt When Controlling for Home Ownership 

      Jacobsen, Dag Henning; Vatne, Bjørn Helge (Working Papers;8/2011, Working paper, 2011)
      We analyze the effect of house price changes on debt secured on dwellings in Norway. To this end, we use both macro time series and micro panel data. With the intention of being both a cross-check and motivation for the ...

    • The Role of House Prices in the Monetary Policy Transmission Mechanism in Small Open Economies 

      Bjørnland, Hilde C.; Jacobsen, Dag Henning (Working Papers;6/2009, Working paper, 2009)
      We analyse the role of house prices in the monetary policy transmission mechanism in Norway, Sweden and the UK using structural VARs. A solution is proposed to the endogeneity problem of identifying hocks to interest rates ...

    • The Role of House Prices in the Monetary Policy Transmission Mechanism in the U.S. 

      Bjørnland, Hilde C.; Jacobsen, Dag Henning (Working Papers;24/2008, Working paper, 2008)
      We analyze the role of house prices in the monetary policy transmission mechanism in the U.S. using structural VARs. The VAR is identified using a combination of short-run and long-run (neutrality) restrictions, allowing ...