Blar i Norges Banks vitenarkiv på emneord "identification"

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    • 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 ...

    • 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 ...

    • Mixed Frequency Structural Models: Estimation, and Policy Analysis 

      Foroni, Claudia; Marcellino, Massimiliano (Working Papers;15/2013, Working paper, 2013)
      In this paper we show analytically, with simulation experiments and with actual data that a mismatch between the time scale of a DSGE model and that of the time series data used for its estimation generally creates ...

    • Mixed Frequency Structural VARs 

      Foroni, Claudia; Marcellino, Massimiliano (Working Papers;1/2014, Working paper, 2014)
      A mismatch between the time scale of a structural VAR (SVAR) model and that of the time series data used for its estimation can have serious consequences for identification, estimation and interpretation of the impulse ...

    • 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 ...

    • The Price Puzzle: Mixing the Temporary and Permanent Monetary Policy Shocks 

      Bache, Ida Wolden; Leitemo, Kai (Working Papers;18/2008, Working paper, 2008)
      We argue that the correct identification of monetary policy shocks in a vector autoregression requires that the identification scheme distinguishes between permanent and transitory monetary policy shocks. The permanent ...

    • 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 ...

    • Underidentified SVAR Models: A Framework for Combining Short and Long-Run Restrictions with Sign-Restrictions 

      Binning, Andrew (Working Papers;14/2013, Working paper, 2013)
      I describe a new method for imposing zero restrictions (both short and long-run) in combination with conventional sign-restrictions. In particular I extend the Rubio-Ramirez et al. (2010) algorithm for applying short and ...