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Forecast Density Combinations with Dynamic Learning for Large Data Sets in Economics and Finance
(Working Paper;7/2019, Working paper, 2019)A flexible forecast density combination approach is introduced that can deal with large data sets. It extends the mixture of experts approach by allowing for model set incompleteness and dynamic learning of combination ... -
Forecast Uncertainty in the Neighborhood of the Effective Lower Bound: How Much Asymmetry Should We Expect?
(Working Papers;13/2016, Working paper, 2016)The lower bound on interest rates has restricted the impact of conventional monetary policies over recent years and could continue to do so in the near future, with the decline in natural real rates not predicted to reverse ... -
Forecasting Cash Use in Legal and Illegal Activities
(Working Papers;14/2000, Working paper, 2000)A general econometric model is developed and used to estimate the share of cash in consumer point-of-sale transactions in Norway over 1980-99. The share of cash fell from 90% during the 1980s to 50% in 1999, primarily due ... -
Forecasting Commodity Currencies: The Role of Fundamentals with Short-Lived Predictive Content
(Working Papers;14/2015, Working paper, 2015)Recent evidence highlights that commodity price changes exhibit a short-lived, yet robust contemporaneous effect on commodity currencies, which is mainly detectable in daily-frequency data. We use MIDAS models in a Bayesian ... -
Forecasting GDP with Global Components. This Time Is Different
(Working Papers;5/2015, Working paper, 2015)A long strand of literature has shown that the world has become more global. Yet, the recent Great Global Recession turned out to be hard to predict, with forecasters across the world committing large forecast errors. We ... -
Forecasting Inflation with an Uncertain Output Gap
(Working Papers;2/2006, Working paper, 2006)The output gap is a crucial concept in the monetary policy framework, indicating demand pressure that generates inflation. However, its definition and estimation raise a number of theoretical and empirical questions. This ... -
Forecasting Macroeconomic Variables Using Disaggregate Survey Data
(Working Papers;4/2011, Working paper, 2011)We assess the forecast ability of Norges Bank’s regional survey for inflation, GDP growth and the unemployment rate in Norway. We propose several factor models based on regional and sectoral information given by the survey. ... -
Forecasting Recessions in Real Time
(Working Papers;2/2014, Working paper, 2014)We review several methods to define and forecast classical business cycle turning points in Norway. In the paper we compare the Bry - Boschan rule (BB) with a Markov Switching model (MS), using alternative vintages of ... -
Forecasting the Intraday Market Price of Money
(Working Papers;6/2011, Working paper, 2011)Market efficiency hypothesis suggests a zero level for the intraday interest rate. However, a liquidity crisis introduces frictions related to news, which can cause an upward jump of the intraday rate. This paper documents ... -
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 ... -
Foreign Exchange Market Structure, Players and Evolution
(Working Papers;10/2011, Working paper, 2011)Electronic trading has transformed foreign exchange markets over the past decade, and the pace of innovation only accelerates. This formerly opaque market is now fairly transparent and transaction costs are only a fraction ... -
Foreign Exchange Reserve Management in the 19th Century: The National Bank of Belgium in the 1850s
(Working Papers;7/2011, Working paper, 2011)As well as the current one, the wave of globalization culminated in 1913 was marked by increasing accumulation of foreign exchange reserves. But what did ‘reserves’ mean in the past, how were they managed, and how much ... -
Foreign Shocks
(Working Papers;15/2015, Working paper, 2015)How and to what extent are small open economies affected by international shocks? I develop and estimate a medium scale DSGE model that addresses both questions. The model incorporates i) international markets for firm-to-firm ... -
Forward Guidance Through Interest Rate Projections: Does It Work?
(Working Papers;6/2017, Working paper, 2017)Based on high-frequency data for Norway and Sweden, we investigate to what extent explicit forward guidance from monetary policy makers, by means of publishing the path of expected future policy rates, affects the market ... -
From a Fixed Exchange Rate Regime to Inflation Targeting
(Working Papers;13/2012, Working paper, 2012)This paper documents Norges Bank's role in the long transition period from a fixed exchange rate regime to inflation targeting in Norway. It is shown that the Bank's leadership and influential department leaders wanted ... -
Getting a Foot on the Housing Ladder: The Role of Parents in Giving a Leg-Up
(Working Papers;19/2017, Working paper, 2017)In this paper we question whether parental resources are important for first-time buyers? We find a nuanced set of results. First, when parents help out financially, it clearly increases the probability of entering the ... -
Global and Regional Business Cycles. Shocks and Propagations
(Working Papers;8/2013, Working paper, 2013)We study the synchronization of real and nominal variables across four different regions of the world, Asia, Europe, North and South America, covering 32 different countries. Employing a FAVAR framework, we distinguish ... -
Government Spending and the Taylor Principle
(Working Papers;11/2006, Working paper, 2006)This paper explores how government size affects the scope for equilibrium indeterminacy in a New Keynesian economy where part of the population live hand-to-mouth. I find that in this framework, a larger public sector may ... -
Government Spending Shocks and Rule-Of-Thumb Consumers: The Role of Steady State Inequality
(Working Papers;14/2010, Working paper, 2010)Galí, López-Salido, and Vallés (2007) suggest that because part of the population follow a rule-of-thumb by which they spend their entire disposable income each period, private consumption responds positively to deficit-financed ... -
Granular credit risk
(Working Paper;15/2020, Working paper, 2020)What is the impact of granular credit risk on banks and on the economy? We provide the first causal identification of single-name counterparty exposure risk in bank portfolios by applying a new empirical approach on an ...