Browsing Arbeidsnotater / Working Papers by Title

Now showing items 227-246 of 472

    • “Leaning Against the Wind”, Macroprudential Policy and the Financial Cycle 

      Kockerols, Thore; Kok, Christoffer (Working Paper;1/2019, Working paper, 2019)
      Should monetary policy lean against financial stability risks? This has been a subject of fierce debate over the last decades. We contribute to the debate about “leaning against the wind” (LAW) along three lines. First, ...

    • Letting the Anchor Go: Monetary Policy in Neutral Norway During World War I 

      Værholm, Monica; Øksendal, Lars Fredrik (Working Papers;28/2010, Working paper, 2010)
      Introduction: For later generations, August 1914 has become a watershed in monetary history. In a matter of days, the belligerent and neutral countries of Europe alike suspended the gold standard. The international monetary ...

    • Life-Cycle Patterns of Interest Rate Markups in Small Firm Finance 

      Kim, Moshe; Kristiansen, Eirik Gaard; Vale, Bent (Working Papers;4/2007, Working paper, 2007)
      We derive empirical implications from a stylized theoretical model of bankborrower relationships. Banks’ interest rate markups are predicted to follow a life-cycle pattern over the borrowing firms’ age. Due to endogenous ...

    • Liquidity and Asset Pricing: Evidence on the Role of Investor Holding Period 

      Næs, Randi; Ødegaard, Bernt Arne (Working Papers;11/2007, Working paper, 2007)
      We use data on actual holding periods for all investors in a stock market over a 10 year period to investigate the links between holding periods, liquidity, and asset returns. Microstructure measures of liquidity are shown ...

    • Liquidity and the Business Cycle 

      Næs, Randi; Skjeltorp, Johannes A.; Ødegaard, Bernt Arne (Working Papers;11/2008, Working paper, 2008)
      We show evidence of a contemporaneous relation between stock market liquidity and the business cycle. Stock market liquidity worsen when the economy is slowing down, and this effect is most pronounced for small firms. Using ...

    • Liquidity at risk: Joint stress testing of solvency and liquidity 

      Cont, Rama; Kotlicki, Artur; Valderrama, Laura (Working Paper;11/2019, Working paper, 2019)
      The traditional approach to the stress testing of financial institutions focuses on capital adequacy and solvency. Liquidity stress tests are often applied in parallel to solvency stress tests, based on scenarios which may ...

    • Liquidity at the Oslo Stock Exchange 

      Næs, Randi; Skjeltorp, Johannes A.; Ødegaard, Bernt Arne (Working Papers;9/2008, Working paper, 2008)
      We analyze the relationship between the long term development in liquidity at the Oslo Stock Exchange and the Norwegian economy for the period 1980 to 2007. We calculate different liquidity measures that captures various ...

    • Liquidity Management and Central Bank Strength: Bank of England Operations Reloaded, 1889-1910 

      Ugolini, Stefano (Working Papers;10/2016, Working paper, 2016)
      Is a strong commitment to monetary stability enough to ensure credibility? The recent literature suggests it might not be if the central bank cannot perform pure interest rate policy and has to resort to balance sheet ...

    • Liquidity Provision in the Overnight Foreign Exchange Market 

      Bjønnes, Geir Høidal; Rime, Dagfinn; Solheim, Haakon (Working Papers;13/2004, Working paper, 2004)
      We presents evidence that non-financial customers are the main liquidity providers in the overnight foreign exchange market using a unique daily data set covering almost all transactions in the SEK/EUR market over almost ...

    • Location, location, location! - A quality-adjusted rent index for the Oslo office market 

      Anundsen, André K.; Hagen, Marius (Working Paper;2/2020, Working paper, 2020)
      In this paper, we construct a quality-adjusted rent index for the office market in Oslo. Commonly used rent indices are based on average developments or expert opinions. Such indices often suffer from compositional biases ...

    • Loose Commitment in Medium-Scale Macroeconomic Models: Theory and an Application 

      Debortoli, Davide; Maih, Junior; Nunes, Ricardo (Working Papers;25/2010, Working paper, 2010)
      This paper proposes a method and a toolkit for solving optimal policy with imperfect commitment in linear quadratic models. As opposed to the existing literature, our method can be employed in medium- and large-scale models ...

    • Lumpy Investment and State-Dependent Pricing in General Equilibrium 

      Reiter, Michael; Sveen, Tommy; Weinke, Lutz (Working Papers;5/2009, Working paper, 2009)
      The lumpy nature of plant-level investment is generally not taken into account in the context of monetary theory (see, e.g., Christiano et al. 2005 and Woodford 2005). We formulate a generalized (S,s) pricing and investment ...

    • 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 ...

    • The macroeconomic effects of forward communication 

      Brubakk, Leif; ter Ellen, Saskia; Robstad, Ørjan; Xu, Hong (Working Paper;20/2019, Working paper, 2019)
      This paper provides an empirical assessment of the power of forward guidance at different horizons, shedding new light on the strength of the “forward guidance puzzle”. Our identification strategy allows us to disentangle ...

    • 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 ...

    • Managing Uncertainty Through Robust-Satisficing Monetary Policy 

      Akram, Q. Farooq; Ben-Haim, Yakov; Eitrheim, Øyvind (Working Papers;10/2006, Working paper, 2006)
      We employ information-gap decision theory to derive a robust monetary policy response to Knightian parameter uncertainty. This approach provides a quantitative answer to the question: For a specified policy, how much can ...

    • Marriner S. Eccles and the 1951 Treasury–Federal Reserve Accord: Lessons for Central Bank Independence 

      Moe, Thorvald Grung (Working Papers;6/2014, Working paper, 2014)
      The 1951 Treasury–Federal Reserve Accord is an important milestone in central bank history. It led to a lasting separation between monetary policy and the Treasury's debtmanagement powers and established an independent ...

    • Matching Efficiency and Business Cycle Fluctuations 

      Furlanetto, Francesco; Groshenny, Nicolas (Working Papers;7/2012, Working paper, 2012)
      A large decline in the efficiency of the U.S. labor market in matching unemployed workers and vacant jobs has been documented during the Great Recession. We use a simple New Keynesian model with search and matching frictions ...

    • Mean Reversion in Profitability for Non-Listed Firms 

      Nordal, Kjell Bjørn; Næs, Randi (Working Papers;29/2009, Working paper, 2009)
      The presence of mean reversion in profitability at the firm level is important for valuation and prediction of growth and earnings. We investigate the mean reversion in accounting profitability for Norwegian non-listed ...