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Leaning against persistent financial cycles with occasional crises
(Working Paper;11/2021, Working paper, 2021)Should central banks use leaning against the wind (LAW)-type monetary or macroprudential policy to address risks to financial stability? We first assess LAW as a one-off (nonsystematic) policy using an estimated large-scale ... -
Leaning Against the Credit Cycle
(Working Papers;4/2015, Working paper, 2015)We study the interaction between monetary policy and household debt dynamics. To this end, we develop a dynamic stochastic general equilibrium model where household debt is amortized gradually, and only new loans are ... -
Leaning Against the Wind When Credit Bites Back
(Working Papers;9/2016, Working paper, 2016)This paper analyzes the cost-benefit trade-off of leaning against the wind (LAW) in monetary policy. Our starting point is a New Keynesian Markov-switching model where the economy can be in a normal state or in a crisis ... -
“Leaning Against the Wind”, Macroprudential Policy and the Financial Cycle
(Working Paper;1/2019, Working paper, 2019)Should monetary policy lean against financial stability risks? This has been a subject of fierce debate over the last decades. We contribute to the debate about “leaning against the wind” (LAW) along three lines. First, ... -
Letting the Anchor Go: Monetary Policy in Neutral Norway During World War I
(Working Papers;28/2010, Working paper, 2010)Introduction: For later generations, August 1914 has become a watershed in monetary history. In a matter of days, the belligerent and neutral countries of Europe alike suspended the gold standard. The international monetary ... -
Life-Cycle Patterns of Interest Rate Markups in Small Firm Finance
(Working Papers;4/2007, Working paper, 2007)We derive empirical implications from a stylized theoretical model of bankborrower relationships. Banks’ interest rate markups are predicted to follow a life-cycle pattern over the borrowing firms’ age. Due to endogenous ... -
Liquidity and Asset Pricing: Evidence on the Role of Investor Holding Period
(Working Papers;11/2007, Working paper, 2007)We use data on actual holding periods for all investors in a stock market over a 10 year period to investigate the links between holding periods, liquidity, and asset returns. Microstructure measures of liquidity are shown ... -
Liquidity and the Business Cycle
(Working Papers;11/2008, Working paper, 2008)We show evidence of a contemporaneous relation between stock market liquidity and the business cycle. Stock market liquidity worsen when the economy is slowing down, and this effect is most pronounced for small firms. Using ... -
Liquidity at risk: Joint stress testing of solvency and liquidity
(Working Paper;11/2019, Working paper, 2019)The traditional approach to the stress testing of financial institutions focuses on capital adequacy and solvency. Liquidity stress tests are often applied in parallel to solvency stress tests, based on scenarios which may ... -
Liquidity at the Oslo Stock Exchange
(Working Papers;9/2008, Working paper, 2008)We analyze the relationship between the long term development in liquidity at the Oslo Stock Exchange and the Norwegian economy for the period 1980 to 2007. We calculate different liquidity measures that captures various ... -
Liquidity Management and Central Bank Strength: Bank of England Operations Reloaded, 1889-1910
(Working Papers;10/2016, Working paper, 2016)Is a strong commitment to monetary stability enough to ensure credibility? The recent literature suggests it might not be if the central bank cannot perform pure interest rate policy and has to resort to balance sheet ... -
Liquidity Provision in the Overnight Foreign Exchange Market
(Working Papers;13/2004, Working paper, 2004)We presents evidence that non-financial customers are the main liquidity providers in the overnight foreign exchange market using a unique daily data set covering almost all transactions in the SEK/EUR market over almost ... -
Location, location, location! - A quality-adjusted rent index for the Oslo office market
(Working Paper;2/2020, Working paper, 2020)In this paper, we construct a quality-adjusted rent index for the office market in Oslo. Commonly used rent indices are based on average developments or expert opinions. Such indices often suffer from compositional biases ... -
Loose Commitment in Medium-Scale Macroeconomic Models: Theory and an Application
(Working Papers;25/2010, Working paper, 2010)This paper proposes a method and a toolkit for solving optimal policy with imperfect commitment in linear quadratic models. As opposed to the existing literature, our method can be employed in medium- and large-scale models ... -
Lumpy Investment and State-Dependent Pricing in General Equilibrium
(Working Papers;5/2009, Working paper, 2009)The lumpy nature of plant-level investment is generally not taken into account in the context of monetary theory (see, e.g., Christiano et al. 2005 and Woodford 2005). We formulate a generalized (S,s) pricing and investment ... -
Macro Effects of Capital Requirements and Macroprudential Policy
(Working Papers;21/2012, Working paper, 2012)I investigate macro effects of higher bank capital requirements on the Norwegian economy and their use as a macroprudential policy instrument under Basel III. To this end, I develop a macroeconometric model where the capital ... -
Macro Modelling with Many Models
(Working Papers;15/2009, Working paper, 2009)We argue that the next generation of macro modellers at Inflation Targeting central banks should adapt a methodology from the weather forecasting literature known as `ensemble modelling'. In this approach, uncertainty about ... -
The macroeconomic effects of forward communication
(Working Paper;20/2019, Working paper, 2019)This paper provides an empirical assessment of the power of forward guidance at different horizons, shedding new light on the strength of the “forward guidance puzzle”. Our identification strategy allows us to disentangle ... -
Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section
(Working Papers;19/2013, Working paper, 2013)This paper proposes a Bayesian estimation framework for a typical multi-factor model with time-varying risk exposures to macroeconomic risk factors and corresponding premia to price U.S. stocks and bonds. The model assumes ... -
Managing Uncertainty Through Robust-Satisficing Monetary Policy
(Working Papers;10/2006, Working paper, 2006)We employ information-gap decision theory to derive a robust monetary policy response to Knightian parameter uncertainty. This approach provides a quantitative answer to the question: For a specified policy, how much can ...