• 500 Years of Price History : Price Stability Is the Norm. What Distinguishes the Abnormal? 

      Qvigstad, Jan F. (Staff Memo;7/2005, Working paper, 2005)
      The transition to inflation targeting, which took place in Norway in 2001, may perhaps at the time have appeared to be a transition to a new and unfamiliar monetary policy system. Inflation targeting has, after just a few ...
    • A Cobweb Model of Financial Stability in Norway 

      Dahl, Geir Arne; Kloster, Thea Birkeland; Larsen, Unni; Rakkestad, Ketil Johan; Reisvaag, Rebekka; Syversten, Bjørne Dyre H.; Træe, Cathrine Bolstad (Staff Memo;15/2011, Working paper, 2011)
      The Staff Memo presents a cobweb model of financial stability in Norway. The model is a technical tool that incorporates both vulnerabilities in the banking sector and external risks to the banking sector. Thus, the model ...
    • A Composite Indicator of Systemic Stress (CISS) for Norway – a Reference Indicator for the Reduction of the Countercyclical Capital Buffer 

      Wen, Yudi (Staff Memo;4/2015, Working paper, 2015)
      This paper constructs a Composite Indicator of Systemic Stress (CISS) for Norway using a portfolio-theoretic framework as in Holló, Kremer and Lo Duca (2012) to facilitate real-time monitoring of the short-term development ...
    • A European-Type Wage Equation from an American-Style Labor Market: Evidence from a Panel of Norwegian Manufacturing Industries in the 1930s 

      Bårdsen, Gunnar; Doornik, Jurgen; Klovland, Jan Tore (Working Papers;4/2004, Working paper, 2004)
      Using a newly constructed panel of manufacturing industry data for interwar Norway, we estimate a long-run wage curve for the 1930s that has all the modern features of being homogeneous in prices, proportional to productivity, ...
    • A Financial Conditions Index for Norway 

      Vonen, Nikka Husom (Staff Memo;7/2011, Working paper, 2011)
      Financial conditions indexes (FCIs) may be useful tools for policymakers because they may have the ability to summarize overall financial conditions for households and companies and at the same time provide timely information ...
    • A Heatmap for Monitoring Systemic Risk in Norway 

      Arbatli, Elif Ceren; Johansen, Rønnaug Melle (Staff Memo;10/2017, Working paper, 2017)
      We develop a tool to monitor systemic risk in Norway’s financial system. In particular, we construct 39 indicators capturing a wide range of financial vulnerabilities and organise them under three broad classes of ...
    • A Macroprudential Stress Testing Framework 

      Andersen, Henrik; Gerdrup, Karsten R.; Johansen, Rønnaug Melle; Krogh, Tord (Staff Memo;1/2019, Working paper, 2019)
      We present a macroprudential stress testing framework. While traditional stress testing assesses the level of banks’ capital adequacy relative to regulatory requirements through a hypothetical crisis, macroprudential stress ...
    • A Model of Bankruptcy Prediction 

      Bernhardsen, Eivind (Working Papers;10/2001, Doctoral thesis; Working paper, 2001)
      In this thesis, a model of bankruptcy prediction conditional on financial statements is presented. Apart from giving a discussion on the suggested variables the issue of functional form is raised. The specification most ...
    • A Model of Credit Risk in the Corporate Sector Based on Bankruptcy Prediction 

      Hjelseth, Ida Nervik; Raknerud, Arvid (Staff Memo;20/2016, Working paper, 2016)
      We propose a method for assessing the risk of losses on bank lending to the non-financial corporate sector based on bankruptcy probability modelling. We estimate bankruptcy models for different industries and attach a risk ...
    • A New Monthly Indicator of Global Real Economic Activity 

      Ravazzolo, Francesco; Vespignani, Joaquin L. (Working Papers;6/2015, Working paper, 2015)
      In modelling macroeconomic time series, often a monthly indicator of global real economic activity is used. We propose a new indicator, named World steel production, and compare it to other existing indicators, precisely ...
    • A Note on Inflation Persistence 

      Holden, Steinar; Driscoll, John C. (Working Papers;14/2002, Working paper, 2002)
      Macroeconomists have for some time been aware that the New Keynesian Phillips curve, though highly popular in the literature, cannot explain the persistence observed in actual inflation. We argue that one of the more ...
    • A Quantitative Discursive Dilemma 

      Claussen, Carl Andreas; Røisland, Øistein (Working Papers;7/2007, Working paper, 2007)
      The typical judgment aggregation problem in economics and other fields is the following: A group of people has to judge/estimate the value of an uncertain variable y which is a function of κ other variables, i.e. y=D(χ1, ...
    • A Small, Calibrated Macromodel to Support Inflation Targeting at Norges Bank 

      Husebø, Tore Anders; McCaw, Sharon; Olsen, Kjetil; Røisland, Øistein (Staff Memo;3/2004, Working paper, 2004)
      This note outlines a small, calibrated macromodel that can be used to support inflation targeting at Norges Bank. The model provides a stylised representation of the key flows in the macro economy, with a particular emphasis ...
    • A Study of Implied Risk-Neutral Density Functions in the Norwegian Option Market 

      Syrdal, Stig Arild (Working Papers;13/2002, Working paper, 2002)
      Option prices are assumed to contain unique information about how market participants assess the likelihood of different outcomes for future market prices. The main object of this study is to analyse the potential value ...
    • A Suite-Of-Models Approach to Stress-Testing Financial Stability 

      Andersen, Henrik; Berge, Tor Oddvar; Bernhardsen, Eivind; Lindquist, Kjersti-Gro; Vatne, Bjørn Helge (Staff Memo;2/2008, Working paper, 2008)
      This paper presents a suite of models developed to stress-test financial stability. A macro model is linked to micro data-based models for households, firms and banks. The macro model includes credit- and consumer ...
    • 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 ...
    • A Test of Uncovered Interest Rate Parity for Ten European Countries Based on Bottstrapping and Panel Data Models 

      Bernhardsen, Tom (Working Papers;9/1997, Working paper, 1997)
      Based on both single country models and panel data models uncovered interest rate parity is tested for ten European countries relative to Germany by regressing exchange rate changes on interest rate differentials. The ...
    • A Transaction Data Study of the Forward Bias Puzzle 

      Breedon, Francis; Rime, Dagfinn; Vitale, Paolo (Working Papers;26/2010, Working paper, 2010)
      Using ten years of FX transactions data we demonstrate that a large share of the FX forward discount bias can be accounted for by order flow. A simple microstructure-based decomposition suggests that order flow creates a ...
    • Age Structure Effects and Consumption in Norway, 1968(3) – 1998(4) 

      Erlandsen, Solveig K. (Working Papers;1/2003, Working paper, 2003)
      In this paper the effects of a changing age distribution on aggregate consumption are analysed. This is done by estimating a Norwegian consumption function which controls for age structure effects. The model is estimated ...
    • Aggregate Bankruptcy Probabilities and Their Role in Explaining Banks’ Loan Losses 

      Andreeva, Olga (Working Papers;2/2004, Working paper, 2004)
      Increased competition forces banks to narrow lending margins and at the same time relaxed lending standards worsen the pool of borrowers. To preserve sound banking system it is important task to monitor credit risk as one ...