Blar i Arbeidsnotater / Working Papers på tittel
Viser treff 175-194 av 472
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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 ... -
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 ... -
Identification of Interbank Loans and Interest Rates from Interbank Payments - a Reliability Assessment
(Working Paper;8/2018, Working paper, 2018)We investigate the reliability of the 'Furfine filter' often used to identify interbank loans and interest rates from interbank payments settled at central banks. To this end, we have been granted access to records of all ... -
Identifying Cross-Sided Liquidity Externalities
(Working Papers;20/2012, Working paper, 2012)We study the relevance of the cross-sided externality of liquidity between market makers and takers from the two-sided market perspective and test the empirical implications of the Foucault, Kadan, and Kandel (2012) model. ... -
Identifying the depreciation rate of durables from marginal spending responses
(Working paper;1/2022, Working paper, 2022)This paper presents a novel method to estimate the depreciation rate of durable goods using a combination of identified marginal and average spending shares. We apply our method to Chinese spending responses to disposable ... -
Identifying the Interdependence Between Us Monetary Policy and the Stock Market
(Working Papers;4/2008, Working paper, 2008)We estimate the interdependence between US monetary policy and the S&P 500 using structural VAR methodology. A solution is proposed to the simultaneity problem of identifying monetary and stock price shocks by using a ... -
Identifying the sources of the slowdown in growth: Demand vs. supply
(Working Paper;9/2021, Working paper, 2021)Long-run GDP growth has declined in the United States over the past two decades. Two competing views take the stage in accounting for this slowdown: demand-side and supply-side. I empirically quantify their relative ... -
Illiquidity, Insolvency, and Banking Regulation
(Working Papers;13/2011, Working paper, 2011)This paper provides a compact framework for banking regulation analysis in the presence of uncertainty between systemic liquidity and solvency shocks. It explains the asset price anomalies and bank lending freeze during ... -
Immigration and the Macroeconomy: Some New Empirical Evidence
(Working Papers;18/2016, Working paper, 2016)We propose a new VAR identification scheme that enables us to disentangle immigration shocks from other macroeconomic shocks. Identification is achieved by imposing sign restrictions on Norwegian data over the period 1990Q1 ... -
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 ... -
Implementing the Zero Lower Bound in an Estimated Regime-Switching DSGE Model
(Working Papers;3/2016, Working paper, 2016)The Zero Lower Bound (ZLB) on policy rates is one of the key monetary policy issues du jour. In this paper we investigate the problem of modelling and estimating the ZLB in a simple New Keynesian model with regime switches. ...