Now showing items 21-40 of 64

    • Dynamic Predictive Density Combinations for Large Data Sets in Economics and Finance 

      Casarin, Roberto; Grassi, Stefano; Ravazzolo, Francesco; van Dijk, Herman K. (Working Papers;12/2015, Working paper, 2015)
      A Bayesian nonparametric predictive model is introduced to construct time-varying weighted combinations of a large set of predictive densities. A clustering mechanism allocates these densities into a smaller number of ...
    • Error-Correction Versus Differencing in Macroeconometric Forecasting 

      Eitrheim, Øyvind; Husebø, Tore Anders; Nymoen, Ragnar (Working Papers;6/1998, Working paper, 1998)
      Recent work by Clements and Hendry have shown why forecasting systems that are in terms of differences, dVARs, can be more accurate than economet- ric models that include levels variables, ECMs. For example, dVAR forecasts ...
    • Estimating the Output Gap in Real Time: A Factor Model Approach 

      Aastveit, Knut Are; Trovik, Tørres G. (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 ...
    • Evaluating Ensemble Density Combination - Forecasting GDP and Inflation 

      Gerdrup, Karsten R.; Jore, Anne Sofie; Smith, Christie; Thorsrud, Leif Anders (Working Papers;19/2009, Working paper, 2009)
      Forecast combination has become popular in central banks as a means to improve forecasts and to alleviate the risk of selecting poor models. However, if a model suite is populated with many similar models, then the weight ...
    • Flexible Inflation Targeting and Financial Stability: Is It Enough to Stabilise Inflation and Output? 

      Akram, Q. Farooq; Eitrheim, Øyvind (Working Papers;7/2006, Working paper, 2006)
      We investigate empirically whether a central bank can promote financial stability by stabilizing inflation and output, and whether additional stabilization of asset prices and credit growth would enhance financial stability ...
    • Forecast Densities for Economic Aggregates from Disaggregate Ensembles 

      Ravazzolo, Francesco; Vahey, Shaun P. (Working Papers;2/2010, Working paper, 2010)
      We propose a methodology for producing forecast densities for economic aggregates based on disaggregate evidence. Our ensemble predictive methodology utilizes a linear mixture of experts framework to combine the forecast ...
    • Forecasting Commodity Currencies: The Role of Fundamentals with Short-Lived Predictive Content 

      Foroni, Claudia; Ravazzolo, Francesco; Ribeiro, Pinho J. (Working Papers;14/2015, Working paper, 2015)
      Recent evidence highlights that commodity price changes exhibit a short-lived, yet robust contemporaneous effect on commodity currencies, which is mainly detectable in daily-frequency data. We use MIDAS models in a Bayesian ...
    • Forecasting GDP with Global Components. This Time Is Different 

      Bjørnland, Hilde C.; Ravazzolo, Francesco; Thorsrud, Leif Anders (Working Papers;5/2015, Working paper, 2015)
      A long strand of literature has shown that the world has become more global. Yet, the recent Great Global Recession turned out to be hard to predict, with forecasters across the world committing large forecast errors. We ...
    • Forecasting Macroeconomic Variables Using Disaggregate Survey Data 

      Martinsen, Kjetil; Ravazzolo, Francesco; Wulfsberg, Fredrik (Working Papers;4/2011, Working paper, 2011)
      We assess the forecast ability of Norges Bank’s regional survey for inflation, GDP growth and the unemployment rate in Norway. We propose several factor models based on regional and sectoral information given by the survey. ...
    • Forecasting Recessions in Real Time 

      Aastveit, Knut Are; Jore, Anne Sofie; Ravazzolo, Francesco (Working Papers;2/2014, Working paper, 2014)
      We review several methods to define and forecast classical business cycle turning points in Norway. In the paper we compare the Bry - Boschan rule (BB) with a Markov Switching model (MS), using alternative vintages of ...
    • Forecasting the Intraday Market Price of Money 

      Monticini, Andrea; Ravazzolo, Francesco (Working Papers;6/2011, Working paper, 2011)
      Market efficiency hypothesis suggests a zero level for the intraday interest rate. However, a liquidity crisis introduces frictions related to news, which can cause an upward jump of the intraday rate. This paper documents ...
    • Have Standard VARs Remained Stable Since the Crisis? 

      Aastveit, Knut Are; Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano (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, ...
    • A high-frequency financial conditions index for Norway 

      Bowe, Frida; Gerdrup, Karsten R.; Nicolò, Maffei-Faccioli; Olsen, Helene (Staff Memo;1/2023, Working paper, 2023)
      We have constructed a financial conditions index for Norway (FCIN). The FCIN offers a daily update on Norwegian financial conditions based on data from January 2003 on bank lending rates, bond spreads, the foreign exchange ...
    • Identification and Real-Time Forecasting of Norwegian Business Cycles 

      Aastveit, Knut Are; Jore, Anne Sofie; Ravazzolo, Francesco (Working Papers;9/2015, Working paper, 2015)
      We de fine and forecast classical business cycle turning points for the Norwegian economy. When defining reference business cycles, we compare a univariate and a multivariate Bry-Boschan approach with univariate Markov-switching ...
    • Interactions Between Eurozone and US Booms and Busts: A Bayesian Panel Markov-Switching VAR Model 

      Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; van Dijk, Herman K. (Working Papers;20/2013, Working paper, 2013)
      Interactions between the eurozone and US booms and busts and among major eurozone economies are analyzed by introducing a panel Markov-switching VAR model well suitable for a multi-country cyclical analysis. The model ...
    • Joint Prediction Bands for Macroeconomic Risk Management 

      Akram, Q. Farooq; Binning, Andrew; Maih, Junior (Working Papers;7/2016, Working paper, 2016)
      In this paper we address the issue of assessing and communicating the joint probabilities implied by density forecasts from multivariate time series models. We focus our attention in three areas. First, we investigate a ...
    • Macro Effects of Capital Requirements and Macroprudential Policy 

      Akram, Q. Farooq (Working Papers;21/2012, Working paper, 2012)
      I investigate macro effects of higher bank capital requirements on the Norwegian economy and their use as a macroprudential policy instrument under Basel III. To this end, I develop a macroeconometric model where the capital ...
    • Macro Modelling with Many Models 

      Bache, Ida Wolden; Mitchell, James; Ravazzolo, Francesco; Vahey, Shaun P. (Working Papers;15/2009, Working paper, 2009)
      We argue that the next generation of macro modellers at Inflation Targeting central banks should adapt a methodology from the weather forecasting literature known as `ensemble modelling'. In this approach, uncertainty about ...
    • Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section 

      Bianchi, Daniele; Guidolin, Massimo; Ravazzolo, Francesco (Working Papers;19/2013, Working paper, 2013)
      This paper proposes a Bayesian estimation framework for a typical multi-factor model with time-varying risk exposures to macroeconomic risk factors and corresponding premia to price U.S. stocks and bonds. The model assumes ...
    • Model Specification and Inflation Forecast Uncertainty 

      Bårdsen, Gunnar; Jansen, Eilev S.; Nymoen, Ragnar (Working Papers;6/2000, Working paper, 2000)
      Three classes of inflation models are discussed: Standard Phillips curves, New Keynesian Phillips curves and Incomplete Competition models. Their relative merits in explaining and forecasting inflation are investigated ...