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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 ... -
Misallocation and the Recovery of Manufacturing TFP After a Financial Crisis
(Working Papers;1/2013, Working paper, 2013)The Chilean economy experienced a decade of sustained growth in aggregate out-put and productivity after the 1982 financial crisis. This paper analyzes the effects of resource misallocation on total factor productivity ... -
Mismatch Shocks and Unemployment During the Great Recession
(Working Papers;16/2013, Working paper, 2013)We investigate the macroeconomic consequences of fluctuations in the effectiveness of the labor-market matching process with a focus on the Great Recession. We conduct our analysis in the context of an estimated medium-scale ... -
Mixed Frequency Structural Models: Estimation, and Policy Analysis
(Working Papers;15/2013, Working paper, 2013)In this paper we show analytically, with simulation experiments and with actual data that a mismatch between the time scale of a DSGE model and that of the time series data used for its estimation generally creates ... -
Mixed Frequency Structural VARs
(Working Papers;1/2014, Working paper, 2014)A mismatch between the time scale of a structural VAR (SVAR) model and that of the time series data used for its estimation can have serious consequences for identification, estimation and interpretation of the impulse ... -
Model Selection for Monetary Policy Analysis – Importance of Empirical Validity
(Working Papers;13/2006, Working paper, 2006)We investigate the importance of employing a valid model for monetary policy analysis. Specifically, we investigate the economic significance of differences in specification and empirical validity of models. We consider ... -
Model Specification and Inflation Forecast Uncertainty
(Working Papers;6/2000, Working paper, 2000)Three classes of inflation models are discussed: Standard Phillips curves, New Keynesian Phillips curves and Incomplete Competition models. Their relative merits in explaining and forecasting inflation are investigated ... -
Modelling Inflation in the Euro Area
(Working Papers;10/2004, Working paper, 2004)The paper presents an incomplete competition model (ICM), where inflation is determined jointly with unit labour cost growth. The ICM is estimated on data for the Euro area and evaluated against existing models, i.e. the ... -
Modelling Occasionally Binding Constraints Using Regime-Switching
(Working Papers;23/2017, Working paper, 2017)Occasionally binding constraints are part of the economic landscape: for instance recent experience with the global financial crisis has highlighted the gravity of the lower bound constraint on interest rates; mortgagors ...