Blar i Norges Banks publikasjonsserier / Norges Bank publication series på emneord "VDP::Samfunnsvitenskap: 200::Økonomi: 210::Samfunnsøkonomi: 212"
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20-Krone Coin to Commemorate the 200th Anniversary of Niels Henrik Abel’s Birth
(Journal article, 2002) -
A Composite Indicator of Systemic Stress (CISS) for Norway – a Reference Indicator for the Reduction of the Countercyclical Capital Buffer
(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 Decomposition of NIBOR
(Economic Commentaries;3/2015, Others, 2015)This commentary discusses the elements that comprise the Norwegian money market rate, NIBOR, given today’s foreign exchange swap construction. Furthermore it explains how international conditions can affect Norwegian money ... -
A European-Type Wage Equation from an American-Style Labor Market: Evidence from a Panel of Norwegian Manufacturing Industries in the 1930s
(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 Heatmap for Monitoring Systemic Risk in Norway
(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
(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 for Predicting Aggregated Corporate Credit Risk
(Journal article, 2010)For many financial institutions credit risk, and in particular credit risk on loans to corporate borrowers, is the major source of risk. Good estimates of credit risk are important both for pricing individual loans and ... -
A Model for Predicting Aggregated Corporate Credit Risk
(Journal article, 2010)We present a model linking macroeconomic variables directly to an aggregate measure of credit risk in selected industries. The model is an alternative to an approach where firm-specific credit risk is predicted and then ... -
A Model of Bankruptcy Prediction
(Working Papers;10/2001, 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 New Monthly Indicator of Global Real Economic Activity
(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 New Settlement System at Norges Bank
(Journal article, 2012)Norges Bank is among the first central banks to have outsourced the IT operation of its settlement system and adopted a second generation off-the-shelf settlement system from a commercial software vendor. During the two ... -
A Note on Inflation Persistence
(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
(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 Retrospective on the Introduction of Prices in the Norwegian Payment System
(Journal article, 2006)During the 1980s, Norwegian banks introduced direct pricing of customers’ use of payment services. Direct pricing of payment services is relatively uncommon in other countries and Norway thus stands out in relation to the ... -
A Study of Implied Risk-Neutral Density Functions in the Norwegian Option Market
(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 Survey of Econometric Methods for Mixed-Frequency Data
(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
(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
(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)
(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
(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 ...