• Dealer Behavior and Trading Systems in Foreign Exchange Markets 

      Bjønnes, Geir Høidal; Rime, Dagfinn (Working Papers;10/2003, Working paper, 2003)
      We study dealer behavior in the foreign exchange spot market using a detailed data set on the complete transactions of four dealers. There is strong support for an information effect in incoming trades. Although there is ...
    • The decline of the labor share: new empirical evidence 

      Bergholt, Drago; Furlanetto, Francesco; Faccioli, Nicolò Maffei (Working Paper;18/2019, Working paper, 2019)
      We estimate a structural vector autoregressive model in order to quantify four main explanations for the decline of the US labor income share: (i) rising market power of firms, (ii) falling market power of workers, (iii) ...
    • Density Forecasts with Midas Models 

      Aastveit, Knut Are; Foroni, Claudia; Ravazzolo, Francesco (Working Papers;10/2014, Working paper, 2014)
      In this paper we derive a general parametric bootstrapping approach to compute density forecasts for various types of mixed-data sampling (MIDAS) regressions. We consider both classical and unrestricted MIDAS regressions ...
    • Detecting Imbalances in House Prices: What Goes up Must Come Down? 

      Anundsen, André K. (Working Papers;11/2016, Working paper, 2016)
      With the aid of econometric modeling, I investigate whether rapidly increasing house prices necessarily imply the existence of a bubble that will eventually burst. I consider four alternative econometric methods to construct ...
    • Did monetary policy kill the Phillips Curve? Some simple arithmetics 

      Bergholt, Drago; Furlanetto, Francesco; Vaccaro-Grange, Etienne (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 ...
    • Did Us Consumers ”Save for a Rainy Day” Before the Great Recession? 

      Anundsen, André K.; Nymoen, Ragnar (Working Papers;8/2015, Working paper, 2015)
      The 'saving for a rainy day' hypothesis implies that households' saving decisions reflect that they can (rationally) predict future income declines. The empirical relevance of this hypothesis plays a key role in discussions ...
    • Disability Benefits, Consumption Insurance, and Household Labor Supply 

      Autor, David; Kostøl, Andreas Ravndal; Mogstad, Magne; Setzler, Bradley (Working Papers;16/2017, Working paper, 2017)
      While a mature literature finds that Disability Insurance (DI) receipt discourages work, the welfare implications of these findings depend on two rarely studied economic quantities: the full cost of DI allowances to ...
    • Disclosing the Undisclosed: Commercial Paper As Hidden Liquidity Suffers 

      Klingler, Sven; Syrstad, Olav (Working paper;16/2021, Working paper, 2021)
      Using new transaction-level data for non-financial commercial paper (CP) in the U.S., we show that companies systematically reduce their outstanding short-term debt on quarterly and annual disclosure dates. Constraints on ...
    • Dissecting the 2007-2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad? 

      Bianchi, Daniele; Guidolin, Massimo; Ravazzolo, Francesco (Working Papers;22/2013, Working paper, 2013)
      We use Bayesian methods to estimate a multi-factor linear asset pricing model characterized by structural instability in factor loadings, idiosyncratic variances, and factor risk premia. We use such a framework to investigate ...
    • Dividend Signaling and Bank Payouts in the Great Financial Crisis 

      Juelsrud, Ragnar E.; Nenov, Plamen T. (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 ...
    • Do Central Banks Respond Timely to Developments in the Global Economy? 

      Bjørnland, Hilde C.; Thorsrud, Leif Anders; Zahiri, Sepideh Khayati (Working Papers;19/2016, Working paper, 2016)
      Our analysis suggests; they do not! To arrive at this conclusion we construct a real-time data set of interest rate projections from central banks in three small open economies; New Zealand, Norway, and Sweden, and analyze ...
    • Do Central Banks Respond to Exchange Rate Movements? a Markov-Switching Structural Investigation 

      Alstadheim, Ragna; Bjørnland, Hilde C.; Maih, Junior (Working Papers;24/2013, Working paper, 2013)
      Do central banks respond to exchange rate movements? According to Lubik and Schorfheide (2007) who estimate structural general equilibrium models with monetary policy rules, the answer is "Yes, some do". However, their ...
    • Do Re-Election Probabilities Influence Public Investment? 

      Fiva, Jon H.; Natvik, Gisle James (Working Papers;13/2009, Working paper, 2009)
      We identify exogenous variation in incumbent policymakers’ re-election probabilities and explore empirically how this variation affects the incumbents’ investment in physical capital. Our results indicate that a higher ...
    • Does Forecast Combination Improve Norges Bank Inflation Forecasts? 

      Bjørnland, Hilde C.; Gerdrup, Karsten R.; Jore, Anne Sofie; Smith, Christie; Thorsrud, Leif Anders (Working Papers;1/2009, Working paper, 2009)
      We develop a system that provides model-based forecasts for inflation in Norway. Forecasts are recursively evaluated from 1999 to 2008. The performance of the models over this period is then used to derive weights that are ...
    • Does Information Sharing Reduce the Role of Collateral as a Screening Device? 

      Karapetyan, Artashes; Stacescu, Bogdan (Working Papers;19/2012, Working paper, 2012)
      Information sharing and collateral reduce adverse selection costs, but are costly for lenders. When a bank learns more about the types of its rival's borrowers through information sharing (e.g., credit bureaus), it might ...
    • Does Monetary Policy React to Asset Prices? Some International Evidence 

      Furlanetto, Francesco (Working Papers;7/2008, Working paper, 2008)
      This paper attempts to measure the reaction of monetary policy to the stock market. We apply the procedure of Rigobon and Sack (2003) to identify and estimate a VAR in the presence of heteroskedasticity. This procedure ...
    • Does Publication of Interest Rate Paths Provide Guidance? 

      Rime, Dagfinn; Syrstad, Olav; Natvik, Gisle J. (Working Paper;16/2019, Working paper, 2019)
      Does the central bank practice of publishing interest rate projections (IRPs) improve how market participants map new information into future interest rates? Using high-frequent data on Forward Rate Agreements (FRAs) we ...
    • Does SOFR-linked debt cost borrowers more than LIBOR-linked debt? 

      Klingler, Sven; Syrstad, Olav (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 ...
    • Does the Law of One Price Hold in International Financial Markets? Evidence from Tick Data 

      Akram, Q. Farooq; Rime, Dagfinn; Sarno, Lucio (Working Papers;19/2008, Working paper, 2008)
      This paper investigates the validity of the law of one price (LOP) in international financial markets by examining the frequency, size and duration of inter-market price differentials for borrowing and lending services ...
    • Downward nominal house price rigidity: Evidence from three centuries of data on housing transactions 

      Erlandsen, Solveig K.; Juelsrud, Ragnar Enger (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 ...