Blar i Arbeidsnotater / Working Papers på tittel
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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. ... -
Implications of Insights from Behavioral Economics for Macroeconomic Models
(Working Papers;12/2012, Working paper, 2012)The last 20 years, the importance of a number of behavioral features has been widely accepted within economics, and they are now regularly included in standard macro models. Where has this development led us? I argue that ... -
Implicit Intraday Interest Rate in the UK Unsecured Overnight Money Market
(Working Papers;9/2013, Working paper, 2013)This paper estimates the intraday value of money implicit in the UK unsecured overnight money market. Using transactions data on overnight loans advanced through the UK large value payments system CHAPS in 2003-2009, we ... -
Independence Within Government. A Comparative Perspective on Central Banking in Norway 1945-1970
(Working Papers;20/2011, Working paper, 2011)This article surveys the degree of central bank independence in Norway between 1945 and 1970. By comparing the developments in Norway with those of Sweden and the United Kingdom, it is shown that the Norwegian central bank ... -
Inference in small cointegrated systems: some Monte Carlo results
(Working Papers;9/1991, Working paper, 1991)The Johansen procedure for testing and estimating cointegration models is analysed from a practitioner's perspective. We adress the robustness of the cointegration tests in small samples and with respect to particular types ... -
Inferring Interbank Loans and Interest Rates from Interbank Payments - an Evaluation
(Working Papers;26/2013, Working paper, 2013)We investigate whether overnight interbank loans and interest rates can be reliably inferred at the market and bank level from central banks' interbank payments data. We identify overnight loans and interest rates among ...