Arbeidsnotater / Working Papers
Working Papers inneholder forskningsarbeider og utredninger som vanligvis ikke har fått sin endelige form. Også andre faglige analyser fra økonomer i Norges Bank utgis i serien. Synspunkter og konklusjoner i arbeidene står for forfatternes regning.
Norges Bank Working Papers distribueres også gjennom RepEc, SSRN og BIS Central Bank Research Hub.
Norges Bank’s working papers present research projects and reports that are generally not in their final form. Other analyses by Norges Bank’s economists are also included in the series. The views and conclusions in these documents are those of the authors.
Norges Bank’s Working Papers are also distributed by RepEc, SSRN and BIS Central Bank Research Hub.
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Monitoring multicountry macroeconomic risk
(Working paper;9/2023, Working paper, 2023)We propose a multicountry quantile factor augmeneted vector autoregression (QFAVAR) to model heterogeneities both across countries and across characteristics of the distributions of macroeconomic time series. The presence ... -
Trade conflicts and credit supply spillovers : Evidence from the Nobel Peace Prize trade shock
(Working paper;6/2023, Working paper, 2023)In this paper, we examine how a trade conflict’s impact on the real economy can be amplified by financial intermediaries. After China’s implicit ban on the imports of Norwegian salmon in response to the decision on 2010 ... -
Does SOFR-linked debt cost borrowers more than LIBOR-linked debt?
(Working paper;7/2023, Working paper, 2023)We investigate if the benchmark transition from London Interbank Offered Rate (Libor) to Secured Overnight Financing Rate (SOFR) affects the costs of borrowing floating rate debt. The primary market for dollar-denominated ... -
The Investment Channel of Monetary Policy : Evidence from Norway
(Working paper;5/2023, Working paper, 2023)We investigate the transmission of monetary policy to investment using Norwegian administrative data. We have two main findings. First, financially constrained firms are more responsive to monetary policy, but the effect ... -
An anatomy of monopsony : Search frictions, amenities and bargaining in concentrated markets
(Working paper;10/2023, Working paper, 2023)We contribute a theory in which three channels interact to determine the degree of monopsony power and therefore the markdown of a worker’s spot wage relative to her marginal product: (1) heterogeneity in worker-firm-specific ... -
The Norwegian overnight interbank market during the Covid pandemic
(Working paper;8/2023, Working paper, 2023)We analyse the behaviour of the Norwegian unsecured overnight interbank market in response to heightened uncertainty and the central bank's liquidity support measures following the Covid-19 pandemic. The liquidity measures ... -
Where do they care? : The ECB in the media and inflation expectations
(Working paper;4/2023, Working paper, 2023)This paper examines how news coverage of the European Central Bank (ECB) affects consumer inflation expectations in the four largest euro area countries. Utilizing a unique dataset of multilingual European news articles, ... -
The impact of financial shocks on the forecast distribution of output and inflation
(Working paper;3/2023, Working paper, 2023)Financial shocks represent a major driver of fluctuations in tail risk, defined as the 5th percentile of the forecast distributions of output and inflation. Since the variance and the asymmetry of the forecast distributions ... -
Did monetary policy kill the Phillips Curve? Some simple arithmetics
(Working paper;2/2023, Working paper, 2023)An apparent disconnect has taken place between inflation and economic activity in the US over the last 25 years, with price inflation remaining remarkably stable in spite of large fluctuations in the output gap and other ... -
Downward nominal house price rigidity: Evidence from three centuries of data on housing transactions
(Working paper;1/2023, Working paper, 2023)By analyzing housing data from the period 1850 to 2019 in Norway, we find evidence of downward nominal house price rigidity. More specifically, we document that there is a marked fraction of repeat-sales housing transactions ... -
Monetary policy when export revenues drop
(Working paper;11/2022, Working paper, 2022)We study how monetary policy should respond to shocks which permanently alter the steady state structure of the economy. In such a case monetary policy affects not only the short run misallocations due to nominal rigidities, ... -
Dividend Signaling and Bank Payouts in the Great Financial Crisis
(Working paper;9/2022, Working paper, 2022)We study the dividend payouts of U.S. banks during the 2008 financial crisis. Using a difference-in-differences methodology, we shows that banks with higher share of short-term liabilities to total liabilities, which were ... -
The Price Responsiveness of Shale Producers: Evidence from Micro Data
(Working paper;10/2022, Working paper, 2022)We show that shale oil producers respond positively to favourable oil price signals, and that this response is mainly associated with the timing of production decisions through well completion and refracturing, consistent ... -
Bad News, Good News: Coverage and Response Asymmetries
(Working paper;8/2022, Working paper, 2022)We study the dynamic link between economic news coverage and the macroeconomy. We construct two measures of media coverage of bad and good unemployment figures based on three major US newspapers. Using nonlinear time series ... -
A bankruptcy probability model for assessing credit risk on corporate loans with automated variable selection
(Working paper;7/2022, Working paper, 2022)We propose an econometric model for predicting the share of bank debt held by bankrupt firms by combining a novel set of firm-level financial variables and macroeconomic indicators. Our firm-level data include payment ... -
Human vs. Machine: Disposition Effect among Algorithmic and Human Day Traders
(Working paper;6/2022, Working paper, 2022)This paper studies whether and why algorithmic traders exhibit one of the most broadlydocumented behavioral puzzles – the disposition effect. We use trade data from the NASDAQ Copenhagen Stock Exchange merged with the ... -
Foreign banks and the doom loop
(Working paper;2/2022, Working paper, 2022)This paper explores whether foreign banks stabilise or destabilise lending to the real economy in the presence of sovereign stress in the domestic economy and abroad. In this context, the presence of foreign intermediaries ... -
Explaining Deviations from Okun’s Law
(Working paper;4/2022, Working paper, 2022)Despite its stability over time, as for any statistical relationship, Okun’s law is subject to deviations that can be large at times. In this paper, we provide a mapping between residuals in Okun’s regressions and structural ... -
Aggregate density forecast of models using disaggregate data - A copula approach
(Working paper;5/2022, Working paper, 2022)We propose a novel copula approach to producing density forecasts of economic aggregates combining models using disaggregate data. Our copula approach is more flexible compared to existing techniques, because it is applicable ... -
Nonlinear transmission of financial shocks: Some new evidence
(Working paper;3/2022, Working paper, 2022)Financial shocks generate a protracted and quantitatively important effect on real economic activity and financial markets only if the shocks are both negative and large. Otherwise, their role is quite modest. Financial ...
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