Blar i Arbeidsnotater / Working Papers på tittel
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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 ... -
Marriner S. Eccles and the 1951 Treasury–Federal Reserve Accord: Lessons for Central Bank Independence
(Working Papers;6/2014, Working paper, 2014)The 1951 Treasury–Federal Reserve Accord is an important milestone in central bank history. It led to a lasting separation between monetary policy and the Treasury's debtmanagement powers and established an independent ... -
Matching Efficiency and Business Cycle Fluctuations
(Working Papers;7/2012, Working paper, 2012)A large decline in the efficiency of the U.S. labor market in matching unemployed workers and vacant jobs has been documented during the Great Recession. We use a simple New Keynesian model with search and matching frictions ... -
Mean Reversion in Profitability for Non-Listed Firms
(Working Papers;29/2009, Working paper, 2009)The presence of mean reversion in profitability at the firm level is important for valuation and prediction of growth and earnings. We investigate the mean reversion in accounting profitability for Norwegian non-listed ... -
Measuring Sovereign Contagion in Europe
(Working Papers;5/2012, Working paper, 2012)This paper analyzes the sovereign risk contagion using CDS spreads for the major euro area countries. Using several econometric approaches (non linear regression, quantile regression and Bayesian quantile with heteroskedasticity) ... -
Measuring Structural Unemployment: Is There a Rough and Ready Answer?
(Working Papers;9/1998, Working paper, 1998)In recent years, the OECD has measured the structural rate of unemployment by an indicator called the Non-Accelerating Wage Rate of Unemployment. The NAWRU indicator is an important element in the policy analysis of the ... -
Measuring Trends and Cycles in Industrial Production in Norway 1896-1948
(Working Papers;18/2015, Working paper, 2015)This paper presents new indices for industrial production in Norway covering the years 1896-1948. Separate annual and monthly indices of gross output and labour productivity are computed for 45 manufacturing and mining ... -
Mental Accounting in the Housing Market
(Working Papers;20/2010, Working paper, 2010)We report evidence that salience may have economically significant effects on homeowners' borrowing behavior, through a bias in favour of less salient but more costly loans. We outline a simple model in which some consumers ... -
Micro Approaches to Foreign Exchange Determination
(Working Papers;5/2011, Working paper, 2011)Micro-based exchange-rate research examines the determination and behavior of spot exchange rates in an environment that replicates the key features of trading in the foreign exchange (FX) market. Traditional macro ... -
Microstructure of Foreign Exchange Markets
(Working Paper;6/2019, Working paper, 2019)This article presents an overview of research on the Microstructure of Foreign Exchange Markets. We begin by summarizing the institutional features of FX trading and describe how they have evolved since the 1980s. We then ...