Browsing Arbeidsnotater / Working Papers by Title
Now showing items 169-188 of 478
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Has globalization changed the international transmission of U.S. monetary policy?
(Working paper;15/2023, Working paper, 2023)We estimate a time-varying parameter vector autoregression to examine the evolution of international spillovers of U.S. monetary policy in light of increasing globalization in real and financial markets. We find that the ... -
Has the Fed Responded to House and Stock Prices? : a Time-Varying Analysis
(Working Papers;1/2017, Working paper, 2017)In this paper we use a structural VAR model with time-varying parameters and stochastic volatility to investigate whether the Federal Reserve has responded systematically to asset prices and whether this response has changed ... -
Have Standard VARs Remained Stable Since the Crisis?
(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, ... -
Heterogeneous Beliefs and Asset Price Dynamics: A Survey of Recent Evidence
(Working Papers;22/2017, Working paper, 2017)This paper reviews the empirical literature on heterogeneous beliefs and asset price dynamics that challenges the traditional rational agent framework. Emphasis is given to the validation and estimation of (dynamic) ... -
House Prices in Norway 1819–1989
(Working Papers;21/2004, Working paper, 2004)Annual house price indices for four Norwegian cities are presented for the period from 1819 to 1989. The indices are constructed on the basis of nominal housing transaction prices compiled from the real property registers ... -
House Prices, Credit and the Effect of Monetary Policy in Norway: Evidence from Structural VAR Models
(Working Papers;5/2014, Working paper, 2014)This paper investigates the responses of house prices and household credit to monetary policy shocks in Norway, using Bayesian structural VAR models. I find that the effect of a monetary policy shock on house prices is ... -
House Prices, Credit Growth, and Excess Volatility: Implications for Monetary and Macroprudential Policy
(Working Papers;8/2012, Working paper, 2012)Progress on the question of whether policymakers should respond directly to financial variables requires a realistic economic model that captures the links between asset prices, credit expansion, and real economic activity. ... -
House Prices, Expectations, and Time-Varying Fundamentals
(Working Papers;5/2013, Working paper, 2013)We investigate the behavior of the equilibrium price-rent ratio for housing in a simple Lucas-type asset pricing model. We allow for time-varying risk aversion (via external habit formation) and time-varying persistence ... -
Household Leverage and Labor Market Outcomes : Evidence from a Macroprudential Mortgage Restriction
(Working paper;14/2021, Working paper, 2021)Does household leverage matter for worker job search, matching in the labor market, and wages? Theoretically, household leverage can have opposing effects on the labor market through debt-overhang and liquidity constraint ... -
Housing bubble scars
(Working paper;13/2023, Working paper, 2023)We study scar formation and persistence after a house price bubble has burst using data on 3,089 US counties and county equivalents over the period 1980q1–2019q4. We date house price booms and busts for each county, and ... -
The housing channel of intergenerational wealth persistence
(Working paper;16/2023, Working paper, 2023)We use Norwegian tax data and a life-cycle model with housing to study how wealth transmits across generations through the housing market. After controlling for a rich set of attributes, households with richer parents are ... -
How broadband internet affects labor market matching
(Working Paper;1/2020, Working paper, 2020)How the internet affects job matching is not well understood due to a lack of data on job vacancies and quasi-experimental variation in internet use. This paper helps fill this gap using plausibly exogenous roll-out of ... -
How Do Banks’ Funding Costs Affect Interest Margins?
(Working Papers;9/2011, Working paper, 2011)We use a dynamic factor model and a detailed panel data set with quarterly accounts data on all Norwegian banks to study the effects of banks’ funding costs on their retail rates. Banks’ funds are categorized into two ... -
How does monetary policy affect household indebtedness?
(Working Paper;5/2021, Working paper, 2021)Households’ debt-to-income ratios change due to (a) primary deficits or (b) "Fisher effects" from interest costs, income growth, and inflation. With Norwegian micro data, we estimate how monetary policy affects household ... -
How Does Monetary Policy Respond to Exchange Rate Movements? New International Evidence
(Working Papers;15/2008, Working paper, 2008)This paper analyzes how monetary policy responds to exchange rate movements in open economies, paying particular attention to the two-way interaction between monetary policy and exchange rate movements. We address this ... -
How New Keynesian Is the US Phillips Curve?
(Working Papers;25/2013, Working paper, 2013)I provide a generalization of Calvo price setting, to include non-overlapping contracts as a special case and embed this in a small DSGE model. The resulting Generalized Phillips Curve (GPC) nests New-Keynesian and ... -
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 ... -
Hvilke faktorer driver kursutviklingen på Oslo Børs?
(Working Papers;8/2007, Working paper, 2007)I denne rapporten analyserer vi avkastningsmønstret på Oslo Børs over perioden 1980- 2006. Formålet med rapporten er å analysere drivkreftene bak kursutviklingen i det norske aksjemarkedet. Et viktig siktemål med analysen ... -
Identification and Real-Time Forecasting of Norwegian Business Cycles
(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 ... -
Identification of Financial Factors in Economic Fluctuations
(Working Papers;9/2014, Working paper, 2014)We estimate demand, supply, monetary, investment and financial shocks in a VAR identified with a minimum set of sign restrictions on US data. We find that financial shocks are major drivers of fluctuations in output, stock ...